存款准备金率调整的利率冲击效应——基于货币市场的分析  

The impact effect of interest rate on the adjustment of deposit reserve ratio——The analysis based on money market

作　　者：祁永忠[1] 李红霞[1] QI Yongzhong;LI Hongxia(Yinchuan Central Sub -branch of the People's Bank of China,Yinchuan Ningxia 750001)

机构地区：[1]中国人民银行银川中心支行,宁夏银川750001

出　　处：《宁夏师范学院学报》2021年第1期98-105,共8页Journal of Ningxia Normal University

基　　金：宁夏哲学社会科学规划项目(2020年度).

摘　　要：运用2009年10月31日-2019年12月20日的日数据,构建了存款准备金率、隔夜同业拆借利率、7天同业拆借利率和14天同业拆借利率的向量自回归(VAR)模型,并以此为基础进行了脉冲响应分析.模型结果显示,只考虑直接影响,滞后1-15阶的存款准备金率调整对隔夜同业拆借利率分布均值有显著性影响但回归系数较小;考虑直接和间接影响,滞后1-15阶的存款准备金率调整对隔夜同业拆借利率、7天同业拆借利率、14天同业拆借利率分布均值均有影响,而且冲击峰值逐次延长.建议坚持稳健货币政策,在此基础上强化结构性货币政策工具的使用,持续优化信贷结构;平稳推动“两轨并一轨”,加快培育金融市场利率体系,逐步畅通货币政策利率传导机制.Based on the daily data from October 31 in 2009 to December 20 in 2019,the vector autoregressive(VaR)models of deposit reserve rate,overnight interbank offered rate,the 7 days interbank offered rate and the 14 days interbank offered rate are constructed.Andon this basis,the impulse response analysis is carried out.The model results show that only considering the direct impact,the 1-15 order lag of the deposit reserve ratio adjustment has a significant impact on the average distribution of the overnight interbank offered rate,but the regression coefficient is small;considering the direct and indirect effects,the adjustment of the deposit reserve ratio with a lag of 1-15 orders has an impact on the average distribution of overnight interbank offered rate,7 days interbank offered rate and 14 days interbank offered rate,and the impact peak value was prolonged gradually.It is suggested that we should adhere to the prudent monetary policy,strengthen the use of structural monetary policy tools,and continuously optimize the credit structure;steadily promote the"two track and one track",accelerate the cultivation of financial market interest rate system,and gradually smooth the transmission mechanism of monetary policy interest rate.

关 键 词：存款准备金率 同业市场利率 向量自回归(VAR)模型 

分 类 号：F832.4[经济管理—金融学]