债券利率向银行贷款利率的传导机制研究  

Research on the Transmission Mechanism of Bond Interest Rate to Bank Loan Interest Rate

作　　者：韩思达 陈涛[1] Han Sida;Chen Tao(School of Banking and Finance,University of International Business and Economics)

机构地区：[1]对外经济贸易大学金融学院

出　　处：《国际金融研究》2022年第5期64-74,共11页Studies of International Finance

摘　　要：本文阐述了债券利率向银行贷款利率传导的替代性渠道、期望收益率渠道和流动性渠道,并结合银行内部资金转移定价模式,构建了三条渠道的理论模型。通过实证分析发现,中国国债利率对贷款利率不存在显著影响及长期均衡关系,美国则均存在,两国的信用债利差均不在利率传导中发挥作用。中国债券利率向贷款利率传导效率较低,除了受到贷款基准利率的影响,还受到三条传导渠道不畅通的影响。一是信用债发行门槛高、发行效率低,导致替代性渠道不畅;二是银行业竞争不充分、信用评级和贷款担保制度不健全,导致期望收益率渠道和流动性渠道不畅;三是银行债券投资以中长期且持有到期为主,导致流动性渠道不畅。This paper elaborates on the transmission mechanism of bond interest rate to bank loan interest rate, including substitutability channel,expected return channel and liquidity channel, then constructs a theoretical model of these three channels combined with the funds transfer pricing(FTP) process. The empirical results show that T-bond interest rate of China has no significant impact on loan interest rate and there is no long-term equilibrium relationship between them, while the T-bond interest rate of the US has a significant positive impact on loan interest rate and there is a long-term equilibrium relationship between them. Neither the credit spread in China or that in the US plays a role in the transmission. The poor transmission efficiency of bond interest rate to loan interest rate in China is not only affected by the loan benchmark interest rate, but also affected by the three unsmooth transmission channels. Firstly, the high threshold and low efficiency of the issuance of credit bonds leads to inefficiency of alternative channel. Secondly, the incomplete competition and the imperfect credit rating and loan guarantee system of the banking industry leads to inefficiency of expected return channel and liquidity channel.Thirdly, the investment mode that the commercial banks hold a large number of medium and long-term bonds to maturity leads to inefficiency of liquidity channel.

关 键 词：贷款利率 债券利率 流动性渠道 期望收益率渠道 替代性渠道 

分 类 号：F830[经济管理—金融学]