经济波动、货币政策与广谱利率冲击研究--基于分层贝叶斯VAR方法  

Economic Fluctuations,Monetary Policy and Shocks to Broad-spectrum Interest Rates--A Hierarchical Bayesian VAR Approach

作　　者：孙龙才 黄磊 SUN Longcai;HUANG Lei

机构地区：[1]中国建设银行江苏省分行 [2]中国建设银行江苏省分行财务会计部

出　　处：《金融监管研究》2022年第4期1-16,共16页Financial Regulation Research

摘　　要：本文选取了二十个变量进行分层贝叶斯VAR建模,定量刻画了宏观经济波动、货币政策冲击与广谱利率变化之间的相互关系。研究发现,我国银行间市场、债券市场、衍生品市场、非正规金融市场的代表性利率对不同类型冲击的反馈存在明显差异,而监管机构有针对性的专项治理能够提高货币政策的有效性。“叠加态”“组合拳”情形下的监管决策需充分考量不同市场主体的差异化反应,相机抉择优化监管“力度”和政策“剂量”。本文建议,监管机构建立更加全面精准的政策评估和监测体系,引导市场主体防范利率风险传染;通过有序开展专项治理工作,持续强化对非正规金融市场的引导和规范,逐步降低企业融资的“隐性成本”,推动实体经济综合融资成本稳中有降。This paper selects twenty variables to carry out hierarchical Bayesian VAR modeling,and quantitatively characterizes the interrelationship between macroeconomic fluctuations,monetary policy shocks,and broad-spectrum interest rates.By analyzing the impulse responses of representative interest rates from China's interbank market,bond market,derivative market,and the informal financial market,we find that the potential influence of different types of shocks is diverse,and the targeted governance by regulatory authorities can improve the effectiveness of monetary policy.We propose that regulatory authorities under the"superposition state"or"combination punches situation"should fully consider the diverse responses of different market entities,and make decisions to optimize the effects of regulatory policies.We suggest that regulatory authorities should establish a more comprehensive and accurate evaluation system to guide market entities to prevent the contagion of interest rate risks,carry out targeted governance to gradually reduce the"hidden cost"of enterprise financing,and promote the steady decline of the overall financing cost of the real economy.

关 键 词：货币政策 利率传导机制 分层贝叶斯VAR模型 

分 类 号：F830.33[经济管理—金融学] F832