贷款市场报价利率的定价机制与宏观效应  

The Pricing Mechanism and Macro Effect of Loan Prime Rate

作　　者：殷红 张龙 吴安兵 张博[4] Yin Hong;Zhang Long;Wu Anbing;Zhang Bo(International School of Business&Finance,Sun Yat-sen University;Investment Banking Division,China Guangfa Bank;School of Economics,Jiangxi University of Finance and Economics;Institute of Chinese Financial Studies,Southwestern University of Finance and Economics)

机构地区：[1]中山大学国际金融学院 [2]广发银行总行投资银行部 [3]江西财经大学经济学院 [4]西南财经大学中国金融研究院

出　　处：《管理世界》2024年第6期31-59,113,共30页Journal of Management World

基　　金：国家自然科学基金青年项目“央行‘双边’预期管理的机制设计、行为优化与最优策略研究”(72203053);广东金融学会基础课题“结构性货币政策对系统性金融风险的防范效应研究”(JCKT202406)的资助。

摘　　要：在疏通货币政策传导渠道、降低实体经济融资成本的政策要求下,央行适时改革贷款市场报价利率形成机制,赋予商业银行更大的定价自主性。本文将贷款市场报价利率定价过程模型化,引入商业银行的策略性报价与两阶段加点特征,在此基础上对新机制的降息有效性和金融稳定效应进行仿真模拟研究。研究发现:第一,新机制下中期借贷便利利率可有效疏通政策利率向市场利率的传导渠道,确保政策信号灵活适度,商业银行自主加点则可有效“挤出”利率中偏离市场实际需求的虚高水分,打开贷款利率的政策性降息空间与市场化降息空间。第二,新机制下第一阶段加点随着金融市场风险的加大而显著提高,第二阶段加点则会综合考虑中小企业客户的盈利能力、资产负债与风险状况等因素,从而优化信贷资源配置,增强经济系统抵御风险的能力。第三,报价行信息精确度的提高将增强市场化降息有效性与金融稳定性。为了更好地发挥贷款市场报价利率改革效能,建议加强新机制与宏观审慎评估等政策的协调配合,督促商业银行科学合理定价。本文对于健全金融机构自主定价机制以及深入推进利率市场化改革具有参考价值。Under the policy requirements of dredging the transmission channel of monetary policy and reducing the financing cost of the real economy, the central bank launched the reform of the Loan Prime Rate formation mechanism in a timely manner, giving commercial banks greater pricing autonomy. This paper models the Loan Prime Rate pricing process and introduces the strategic quotation and two-stage dot feature of commercial banks. On this basis, the paper conducts a simulation study on the effectiveness of the new mechanism of interest rate reduction and the effect of financial stability. The main research findings of the paper are as follows: firstly, under the new mechanism, the medium-term lending facility rate can effectively unclog the transmission channel of the policy interest rate to the market interest rate, ensure that the policy signal is flexible and moderate, and commercial banks can effectively "squeeze out" the virtual high water in the interest rate that deviates from the actual market demand, and open the policy interest rate reduction space and market interest rate reduction space. Secondly, the first stage of the new mechanism will significantly increase with the increase of financial market risks,and the second stage will comprehensively consider the profitability, assets and liabilities and risk status of small and medium-sized enterprise customers, so as to optimize the allocation of credit resources and enhance the ability of the economic system to resist risks. Thirdly,the improvement of the information accuracy of quotation lines will lead to the enhancement of the effectiveness of market-oriented interest rate cuts and financial stability and the weakening of the effectiveness of policy interest rate cuts. In order to better exert the efficiency of the Loan Prime Rate reform, it is suggested to strengthen the coordination and cooperation between the new mechanism and other policies such as macro-prudential assessment, and to urge commercial banks to set prices scientifically and reasonably. Th

关 键 词：贷款市场报价利率 定价机制 全局博弈 金融稳定 降息有效性 

分 类 号：F832.4[经济管理—金融学]