中国利率走廊上限渗漏现象的影响因素与实证研究  

Influencing Factors and Empirical Research on the Leakage Phenomenon of China’s Interest Rate Corridor Ceiling

作　　者：蒋益民 陈圳峰 芦涛 Jiang Yimin;Chen Zhenfeng;Lu Tao

机构地区：[1]云南民族大学

出　　处：《开发性金融研究》2023年第5期19-30,共12页Development Finance Research

摘　　要：人民银行通过构建利率走廊,引导短期市场利率向目标利率靠近,但市场利率常态化突破利率走廊上下限,即“利率走廊渗漏”。本文分析我国现阶段利率走廊渗漏现象,并结合美国经验,发现其不仅与市场供需流动性结构性不对等和抵押品限制等客观因素有关,还存在“贴现之耻”等主观因素,通过运用MSMH(2)-VAR(1)检验了中国利率走廊发展阶段曾出现的利率走廊上限常态化渗漏现象,得出结论:一是市场缺乏流动性容易引起利率走廊上限渗漏现象;二是受外部利率冲击容易引起利率走廊上限渗漏现象;三是抵押品成本越高越容易引发利率走廊上限渗漏现象;四是合理的通胀有助于抑制利率走廊上限渗漏现象的发生。因此,本文建议完善利率走廊制度设置、加强需求方流动性的可得性,同时完善利率市场逻辑,增强需求方贴现意愿。Tracing the history of the development of the interest rate corridor exploration stage,we can find that the interest rate corridor had a normalised leakage phenomenon.This paper uses MSMH(2)-VAR(1)to test the normalised leakage phenomenon of the interest rate corridor ceiling in China’s interest rate corridor development stage,and concludes that:(1)a lack of liquidity in the market is likely to cause leakage phenomenon of the interest rate corridor ceiling;(2)a shock of external interest rates is likely to cause leakage phenomenon of the interest rate corridor ceiling;(3)a higher collateral cost is likely to cause leakage phenomenon;(4)reasonable inflation can help to suppress the interest corridor ceiling;and(5)reasonable inflation can help to restrain the interest corridor ceiling.The conclusion is that:(1)the lack of market liquidity is likely to cause the leakage of the interest rate corridor ceiling;(2)the external interest rate shock is likely to cause the leakage of the interest rate corridor ceiling;(3)the higher the cost of collateral is more likely to cause the leakage of the interest rate corridor ceiling;(4)reasonable inflation can help to suppress the leakage of the interest rate corridor ceiling.This paper analyses the current stage of the problem in China and combines it with the experience of the United States,and finds that the leakage phenomenon is not only related to the objective factors such as structural mismatch of market supply and demand liquidity and collateral constraints,but also the subjective factors such as the“shame of discounting”.

关 键 词：渗漏现象 利率走廊 MSMH(2)-VAR(1) 

分 类 号：F832[经济管理—金融学]