管理评论

›› 2020, Vol. 32 ›› Issue (4): 48-63.

• 经济与金融管理 • 上一篇    下一篇

基于利率走廊机制的中国利率传导有效性研究：理论推导及实证检验

袁思思1, 宋吟秋1, 吕萍2, 王德卿1   

  1. 1. 中国科学院大学经济与管理学院, 北京 100190;
    2. 中国科学技术大学管理学院, 安徽 230026
  • 收稿日期:2019-03-22 出版日期:2020-04-28 发布日期:2020-05-07
  • 通讯作者: 宋吟秋(通讯作者),中国科学院大学经济与管理学院教授,博士生导师
  • 作者简介:袁思思,中国科学院大学经济与管理学院硕士研究生;吕萍,中国科学技术大学管理学院副教授;王德卿,中国科学院大学经济与管理学院博士研究生。
  • 基金资助:

    中国科学院项目（Y72902DEB1）。

Correlation Mechanism: Theoretical Derivation and Empirical Test

Yuan Sisi1, Song Yinqiu1, Lv Ping2, Wang Deqing1   

  1. 1. School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190;
    2. School of Management, University of Science and Technology of China, Anhui 230026
  • Received:2019-03-22 Online:2020-04-28 Published:2020-05-07

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摘要：

本文将利率传导机制细分为两个过程，更加系统地研究常备借贷便利利率作为利率走廊上限的传导情况，这两个过程分别为：（1）SLF作为利率走廊上限向市场利率传导的短端传导渠道；（2）通过中期借贷进一步向债券市场等金融资产传导的中长端传导渠道。通过建立一般均衡模型及数值模拟，理论上论证了利率传导的长短端机制的有效性，得到短端传导比中长端传导更加有效的结论。在此基础上，本文运用2015—2019年的月度数据，实证检验了中国当前经济状况下利率的长短端传导效应，结果显示传导均有效，对于结构性货币工具，SLF、MLF的传导也有效，但PSL存在时滞。因此建议中央银行应当适时疏通利率传导机制，从而提高货币政策的实施效果。

关键词: 利率走廊, 长短端利率传导机制, 一般均衡模型, 实证检验

Abstract:

This paper divides the interest rate transmission mechanism into two processes, and systematically studies the transmission of SLF as the interest rate corridor. These two processes are:(1) SLF as the upper limit of the interest rate corridor to the market interest rate; and (2) the medium-term and long-term transmission channel that is further transmitted to financial assets such as the bond market through medium-term lending. By establishing a general equilibrium model and numerical simulation, the validity of the long-term and short-term mechanism of interest rate conduction is theoretically demonstrated, and the conclusion is that the short-term conduction is more effective than the long-end. According to this, this paper uses the monthly data of 2015-2018 to empirically analyze the long-term and short-term interest rates conduction effects in China's current economic conditions, which proves that both are effective, but short-end conduction has a certain time-delay effect. It is suggested that the central bank should promptly streamline the interest rate transmission mechanism, so as to improve the implementation effect of monetary policy.

Key words: interest rate corridor, long-term and short-term interest rate transmission mechanism, general equilibrium model, empirical analysis