中国货币政策利率传导状态的实证研究  

An Empirical Study on the Transmission Channel of Interest Rate in China’s Monetary Policy

作　　者：窦鹏鹏 DOU Peng-peng(Graduate School of Chinese Academy of Social Sciences,Beijing 102488,China)

机构地区：[1]中国社会科学院研究生院

出　　处：《经济体制改革》2019年第3期135-142,共8页Reform of Economic System

基　　金：国家社会科学基金项目“我国银行信贷错配的经济效应及优化机制研究”(15BJY172)

摘　　要：本文基于1998年1月~2018年9月的月度数据,使用VAR模型研究了目前中国利率传导的状态,发现相对于货币供应,市场利率对宏观经济变量的解释力更强,利率已经是中国货币政策传导的重要渠道。同时,利率传导的敏感度与速度在货币-证券市场之间、证券-信贷市场之间都比较高,信贷市场的利率对货币市场的利率有单向影响;但是利率通过信贷市场向消费的传导存在阻滞,向产出和投资的传导效率在不断提高。Based on the monthly data from January 1998 to September 2017 ,the VAR model is used to test and analyze the interest rate transmission's condition in China.It is found that the interest rate of the market is more powerful than the money supply in explaining the macroeconomic variables.The interest rate has become an important tool for China's monetary policy to affect its economy.The interest rates transmission speed in the market of the money market and the securities market and the interest rate transmission between the securities market and the credit market are more sensitive,and the interest rate in the credit market has single direction influence on the interest rate of money market.But the transmission of interest rate through the credit market is blocked,and the transmission efficiency to the output and investment is gradually improved.

关 键 词：货币政策 利率传导 中介目标 VAR模型 

分 类 号：F822.1[经济管理—财政学]