利率管制、LPR与完全市场化下的货币政策传导机制:理论对比与实证检验  

Monetary Policy Transmission Mechanism under Interest Rate Control,LPR and Full Marketization:Theoretical Comparison and Empirical Test

作　　者：徐宁 丁一兵[1] 张男 Xu Ning;Ding Yibing;Zhang Nan

机构地区：[1]吉林大学经济学院 [2]吉林大学商学院,130012

出　　处：《南方经济》2020年第5期34-48,共15页South China Journal of Economics

基　　金：国家社会科学基金专项重大项目《‘一带一路’建设过程中推进金融创新和金融保障体系研究》(17VDL012);教育部重点研究基地重大项目《中国国有企业国际化发展研究》(17JJD630001);中国博士后科学基金特别资助项目《资产价格错位与货币政策规则:解域模拟与损失计量》(2019T120229)的资助。

摘　　要：2019年8月,中国人民银行正式启用修订后的贷款基础利率(LPR),标志着中国利率市场化改革步入收官阶段。这使得有关利率市场化能否保障货币政策有效性并从根本上改善货币政策传导效率的探讨再度成为焦点。鉴于此,文章构建了DSGE模型和TVP-VAR模型,详细对比了不同市场化程度下利率政策的有效性和传导效率,主要得出以下三点结论:第一,随着市场化程度的不断加深,产出、通胀与企业价值对利率调控的反应愈加敏感,表明利率市场化改革能够优化利率的宏微观传导效率;第二,模拟分析显示,完全市场化将会大幅降低利率政策的宏观传导效率,同时还可能诱发逆向选择并导致微观传导渠道失灵,因此货币当局仍应对利率完全市场化持必要谨慎;最后,实证检验结果表明,LPR的推出进一步提高了利率传导效率,这说明在完全市场化的初级阶段,采取LPR等过渡元素逐渐加强市场定价主导地位不失为双轨合一过程中的有益尝试。In August 2019,the People’s Bank of China formally launched the revised Loan Base Rate(LPR),marking the end of China’s interest rate marketization reform.This makes the discussion about whether the interest rate marketization can guarantee the effectiveness of monetary policy as well as fundamentally improve the transmission efficiency of monetary policy become the focus again.In view of this,this paper constructs a Dynamic Stochastic General Equilibrium(DSGE)model and Time Varying Coefficient Vector Autoregression(TVP-VAR)model to compere the effectiveness and transmission efficiency of interest rate policy under different marketization levels.The main conclusions are as follows:First,with the deepening of marketization,output and inflation fluctuations are more sensitive to interest rate adjustments,showing that interest rate liberalization reform can optimize the macro and micro transmission efficiency of interest rates.Second,the simulation analysis indicates that full marketization will greatly reduce the macro transmission efficiency of interest rate policy,at the same time may also induce adverse selection and cause failure of micro transmission channels.Therefore,monetary authorities should still be cautious about full liberalization of interest rates.Finally,the empirical results show that the introduction of LPR further improves the transmission efficiency of interest rates,which indicates that in the initial stage of full marketization,it is a useful attempt to gradually strengthen the dominant position of market pricing by the adopting LPR and other transition elements in the process of dual-track integration.We can see from the current policy initiatives of the Central Bank that the official launch of LPR has undoubtedly opened the curtain for full marketization of interest rates,and is an important milestone in China’s process of establishing interest rate liberalization.The LPR not only inherits the advantages of gradual reform,but also incorporates important marketization elements for the lo

关 键 词：利率市场化 完全市场化 LPR DSGE模型 TVP-VAR模型 

分 类 号：F832[经济管理—金融学]