央行沟通信息与政策利率传导--基于公开市场操作的研究  

Central Bank Communication and Policy Interest Rate Transmission:A Study Based on Open Market Operation

作　　者：张一帆[1] 樊嘉诚 林建浩[2] 林鸿翔 Zhang Yifan;Fan Jiacheng;Lin Jianhao;Lin Hongxiang

机构地区：[1]中山大学商学院 [2]中山大学岭南学院 [3]中信证券股份有限公司

出　　处：《统计研究》2024年第12期54-70,共17页Statistical Research

基　　金：国家社会科学基金重点项目“‘三重压力’下‘双支柱’调控的政策效应评估与优化研究”(22AZD121)。

摘　　要：疏通政策利率到市场利率的传导是深化利率市场化改革和提升货币政策有效性的关键所在。随着每日发布公开市场操作公告成为惯例,中国人民银行(以下简称央行)尝试在公告中向市场披露额外沟通信息。本文基于2013—2022年的公开市场操作以及银行间货币市场数据进行实证检验。结果显示,一是货币市场普遍更关注逆回购利率而非货币净投放量,但当市场不确定性较高时逆回购利率的引导能力有所下降。可见公开市场操作的价格信息更能引导市场,这与央行的利率市场化改革方向相符。二是操作公告中的额外沟通信息兼具对实际操作效果的强化效应和对价格信号的聚焦效应。前者体现为提升政策利率对市场利率的引导作用,后者则会显著降低货币市场多家报价银行关于短期流动性的分歧。本文结果表明,公开市场操作的沟通具备作为常规性货币政策沟通机制的潜力,央行可以尝试及时调整措辞、增加披露新信息以及探索前瞻性指引,更加有效地引导市场预期并提高货币政策传导效率。Enhancing the transmission of policy interest rates to market interest rates is the key to deepening the market-oriented reform of interest rates and improving the effectiveness of monetary policy.With the daily release of Open Market Operation(OMO)announcements,the People's Bank of China(PBC)frequently releases additional information,i.e.,the OMO notices.Based on the daily OMOs and their notices from 2013 to 2022,we empirically show that:first,the money market focuses more on reverse repo rates than money supply,but the guiding role of reverse repo rates declines with higher market uncertainty.This result implies that the market focuses more on interest rate than money supply,which is consistent with the PBC's current reform.Second,the notices have both strengthening effect on the actual operation and focusing effect on the interest rate.The former effect is to strengthen the guidance of policy interest rates to market interest rates,and the latter effect is to significantly reduce the divergence among the SHIBOR quotation banks.Overall,the OMO notices can serve as a regular central bank communication instrument.That is,the PBC can manage the market expectations more effectively by providing more frequent and timely communications,and even exploring forward guidance tools with these notices.

关 键 词：央行沟通 公开市场操作 市场利率 

分 类 号：F82[经济管理—财政学]