银行间市场短端利率波动与货币政策传导效率——基于利率互换市场高频识别与局部投影方法  

Short-term Interest Rate Fluctuations and the Interest Rate Transmission Efficiency——Based on High Frequency Identification and Local Projection

作　　者：范志勇[1] 安戈洋 章永辉 FAN Zhiyong;AN Geyang;ZHANG Yonghui(School of Economics,Renmin University of China)

机构地区：[1]中国人民大学经济学院,北京100872

出　　处：《金融研究》2024年第9期1-19,共19页Journal of Financial Research

摘　　要：基于利率互换交易数据,本文首先使用高频识别方法识别出未预期到的货币政策变动,避免了传统识别方法的内生性问题。在此基础上,本文利用工具变量局部投影法(LP-IV),估计货币政策变动后短端利率变化向各期限国债收益率动态传导的效率,以及短端利率自身波动对传导效率的影响。研究发现:首先,货币政策变动显著且持久影响短端利率向国债收益率传导;其次,短端利率自身波动将削弱货币政策变动的传导效率;最后,短端利率波动导致的传导效率削弱存在非对称性,对宽松货币政策具有较强的削弱效应,但对紧缩货币政策的削弱效应较弱,且对不同期限债券的影响不同。With China's monetary policy regime shifting gradually from a quantitative-based framework to a price-based one,short-term interest rates in the inter-bank market play an increasingly critical role in monetary policy transmission.As the most sensitive measure of the inter-bank market liquidity,short-term interest rate in the inter-bank market not only reflects the monetary policy orientation of the central bank,but also measures the inter-bank financing cost of financial institutions.The transmission of short-term interest rate along the treasury yield curve is an important part of the entire interest rate transmission mechanism in the price-based monetary policy framework.At the same time,the volatility of short-term interest rates in China's inter-bank market is relatively high compared with that of most developed and developing countries.The high volatility of short-term interest rates has had an adverse impact on the operation of financial institutions and the transmission of monetary policy.In recent years,the People's Bank of China(PBoC)has focused on optimizing the liquidity provision mechanism,and gradually improved the interest rate corridor mechanism through the introduction of standing lending facilities and other arrangements,and decreased the volatility of short-term interest rates.Naturally,the question is,how does short-term interest rate volatility in the inter-bank market affect the transmission efficiency of monetary policy shocks along the yield curve and how are financial market participants involved in this process?This is exactly what this article is concentrates on.Traditional empirical research on the transmission of monetary policy has the following difficulties.First,the use of interest rates or money growth rate as proxy variables for monetary policy has a strong endogenous problem.Second,the conventional single-equation estimation method can only explore the current impact of policy shocks,but cannot capture the complex dynamic effects.Third,China's current quantitative and price-based

关 键 词：货币政策变动 利率传导效率 高频识别 局部投影 

分 类 号：F83[经济管理—金融学]