货币政策预期管理对抑制商业银行资金同业空转的作用——基于德格鲁特模型的预期构建分析  

The Effect of Expectation Management of Monetary Policy on Restraining the Idling of Funds Among Commercial Banks:Epected Construction Analysis Based on Degroot Model

作　　者：胡国晖[1] 蒋璐阳 Hu Guohui;Jiang Luyang

机构地区：[1]武汉理工大学经济学院,湖北武汉430070

出　　处：《金融理论与实践》2022年第1期9-19,共11页Financial Theory and Practice

摘　　要：从货币政策预期管理的角度出发,采用德格鲁特模型构建货币政策一致性预期,以2015年1月—2020年9月商业银行同业业务规模月度数据为样本,研究货币政策预期管理能否抑制商业银行资金同业空转。实证结果表明:央行对公众和研究机构的货币政策预期管理均能有效抑制商业银行资金同业空转;随着央行逐渐增加对公众和研究机构的预期管理力度,货币政策预期管理抑制商业银行资金同业空转的效果分别是增强和减弱的;在央行货币政策预期管理力度较大的情况下,央行对公众进行预期管理能更有效地抑制商业银行资金同业空转。From the perspective of monetary policy expectation management,this paper constructs the monetary policy consistency expectation by using the degroot model,and takes the monthly data of interbank business scale of commercial banks from January 2015 to September 2020 as a sample to study whether the monetary policy expectation management can inhibit the idling of funds among commercial banks.The empirical results show that the central bank’s monetary policy expectation management of the public and research institutions can effectively inhibit the idling of funds among commercial banks;With the central bank gradually increasing the expected management of the public and research institutions,the effect of monetary policy expected management on restraining the idling of funds among commercial banks is enhanced and weakened respectively;When the central bank’s monetary policy expectation management is strong,the central bank’s expectation management of the public can more effectively curb the idling of commercial banks’funds.

关 键 词：商业银行 资金同业空转 德格鲁特模型 货币政策预期管理 

分 类 号：F832[经济管理—金融学]