数字化背景下中国货币政策利率传导效率研究——来自数字消费信贷市场的微观证据  

Transmission Efficiency of China's Monetary Policy under the Background of Digitalization:Micro-evidence from the Digital Consumer Credit Market

作　　者：尹振涛[1] 罗朝阳 汪勇 Yin Zhentao;Luo Chaoyang;Wang Yong(Institute of Finance&Banking,Chinese Academy of Social Sciences;Institute of Quantitative&Technological Economics,Chinese Academy of Social Sciences)

机构地区：[1]中国社会科学院金融研究所 [2]中国社会科学院数量经济与技术经济研究所

出　　处：《管理世界》2023年第4期33-46,99,共15页Journal of Management World

基　　金：国家社会科学基金青年项目“银行数字化转型与货币政策传导有效性研究”(21CJY066);数字经济开放研究平台“先锋奖”的资助。

摘　　要：数字经济的快速发展及数字技术的广泛应用深刻改变了金融市场结构与金融运行特征,对货币政策利率传导效率也产生了重要影响。本文利用2018~2020年国内某头部助贷机构的数字消费信贷微观数据,首次实证考察了中国货币市场利率在数字消费信贷市场上的传导效率。研究发现,数字化背景下我国货币政策利率能够有效传导至数字消费信贷市场,表明该市场具有正规金融的属性。异质性分析发现,货币市场利率对数字消费信贷市场高信用借款者、贷款期限更长产品的利率影响更大,表明该市场具有明显的信用溢价和违约风险溢价特征。进一步分析发现,以中期借贷便利为代表的中期政策利率以及货币政策利率处于货币政策紧缩期对数字消费信贷利率具有更高的传导效率,数字消费信贷市场同样存在货币政策的风险承担渠道。本文研究对疏通货币政策利率传导机制、健全现代货币政策框架以及对微观市场的监管具有重要现实意义。The rapid development of the digital economy and the widespread use of digital technologies have profoundly changed the structure of the financial market and the characteristics of financial operations,and have had an important impact on the efficiency of monetary policy interest rate transmission.This paper uses digital consumer credit microdata from a leading domestic assisted lender from 2018 to 2020 to empirically examine the transmission efficiency of China's money market interest rates in the digital consumer credit market for the first time.It is found that monetary policy interest rates in China can be effectively transmitted to the digital consumer credit market,indicating that the market has the atributes of formal finance.The heterogeneity analysis results show that market interest rates have a greater impact on the interest rates of high credit borrowers and longer loan maturity products in the digital consumer credit market,indicating that this market is characterized by a significant credit premium and default risk premium.Further analysis finds that the medium-term policy rate represented by MLF and the monetary policy rate in a period of monetary policy tightening have higher transmission efficiency,and there exists the risk-taking channel of monetary policy in the digital consumer credit market.This research has important practical implications for the central bank to unblock the transmission of monetary policy interest rates,to improve the modern monetary policy framework and to regulate themicro market.

关 键 词：货币政策 利率传导 数字消费信贷 数字金融 金融科技 

分 类 号：F822.0[经济管理—财政学]