LPR改革是否有效引导了信贷利率走势——基于广义双重差分和合成控制法的实证检验  

Does LPR Reform Effectively Guide the Trend of Credit Interest Rates?--Empirical Analysis Based on Generalized Difference-in-Difference Model and Synthetic Control Method

作　　者：梁斯 于典威 LIANG Si;YU Dianwei

机构地区：[1]中国银行研究院 [2]对外经济贸易大学中国金融学院

出　　处：《金融监管研究》2024年第12期40-58,共19页Financial Regulation Research

摘　　要：LPR改革是我国利率市场化进程中的里程碑事件,对推动贷款利率市场化定价、提高利率传导机制效率具有重要意义。本文以上市银行数据为样本,使用广义DID模型就LPR改革对银行贷款利率的影响进行了实证研究,研究发现,LPR改革显著降低了我国商业银行的贷款利率,且影响程度随时间逐渐加深。这说明我国中期政策利率传导机制发挥了显著作用。为探究以LPR为锚和以贷款基准利率为锚对贷款利率的影响效果,本文使用合成控制法进行反事实分析后发现,LPR改革对贷款利率的引导作用要显著优于以贷款基准利率为锚的定价模式,进一步佐证了LPR的改革效果。根据以上研究结论,本文最后提出了进一步优化LPR报价机制、提升利率传导机制有效性的对策建议。本文为中期政策利率及LPR改革的有效性提供了实证支持。LPR reform is a milestone event in China's interest rate marketization process,which is of great significance in promoting market-oriented pricing of credit interest rates and improving the efficiency of interest rate transmission mechanisms.This paper empirically studies the impact of LPR reform on bank credit interest rates using the generalized DID model based on data from the listed banks as samples.The results show that LPR reform has significantly driven down the credit interest rates of commercial banks in China,and the degree of impact gradually deepens over time,indicating a significant transmission mechanism of medium-term policy interest rates in China.To compare the impact of LPR as an anchor and loan benchmark interest rate as an anchor on credit interest rates,this paper uses synthetic control method for counterfactual analysis and finds that the guiding effect of LPR reform on credit interest rates is significantly better than the pricing model anchored by credit benchmark interest rates,further supporting the reform effect of LPR.This paper provides empirical support for the effectiveness of mid-term policy interest rates and LPR reform,and based on this,proposes countermeasures and suggestions to further optimize the LPR quotation mechanism and enhance the effectiveness of interest rate transmission mechanism.

关 键 词：LPR改革 信贷利率 广义双重差分 合成控制法 

分 类 号：F832[经济管理—金融学]