利率市场化改革背景下我国利率传导机制效应研究

发布时间：2018-04-02 07:16

本文选题：利率市场化　切入点：货币政策　出处：《浙江工商大学》2013年硕士论文

【摘要】：利率传导机制是一种机理和过程,它描述了如何通过货币政策引导利率,进而由利率影响微观经济主体的行为活动,最终对宏观经济产生影响。我国的利率市场化改革仍然在有条不紊地进行,并已经取得了初步的成果,而随着其不断推进,利率传导机制的作用也开始凸显。因此,研究利率市场化改革背景下我国利率传导机制效应,不仅丰富了理论,也具有一定的现实意义。本文将在传统的凯恩斯利率传导机制理论的基础上,结合我国利率市场化改革仍在进行的这一现状,研究我国“双轨制”利率传导机制的效应是否显著,以及利率市场化改革过程中“双轨制”利率传导效应的变化。在分析阻滞利率传导机制的因素的基础上,提出相应的建议以推进利率市场化改革和更好地发挥利率传导效应。首先,由于本文是在利率市场化改革的背景下进行研究,笔者综述了利率市场化的理论支撑,包括金融抑制理论、金融深化理论以及之后的金融约束理论。在利率市场化相关理论的基础上,本文同时简要介绍了我国不同市场内利率市场化改革的进程,具体包括银行间同业拆借市场利率、银行间债券市场利率以及存贷款利率的市场化改革情况。其次,本文以凯恩斯理论为依据,结合我国现行利率体系特点,提出了我国的货币政策利率传导机制。传统的凯恩斯利率传导机制理论包含了一些前提条件,其要求商品市场和资本市场两者的功能比较完善。然而我国的资本市场和商品市场的市场化程度并不高,导致这些利率传导机制理论在我国的应用仍然受到一些局限。在总结和分析了我国现行的利率体系及其特点之后,本文提出了管制利率和市场利率同时运行的“双轨制”利率传导机制。第三,基于我国利率市场化改革尚未完成,管制利率和市场利率双轨运行的这一现状,本文创建一个同时包含管制利率和市场利率的VAR模型。通过格兰杰因果检验、脉冲响应分析、方差分解分析等实证研究方法,对我国“双轨制”利率传导机制的效应进行了研究。研究表明,由于利率管制依然存在,企业投资对利率反应不敏感,商业银行的经营行为,金融市场发展不完善等原因,整个利率传导机制的传导效应并不畅通。然而,随着利率市场化进程的推进,管制利率和市场利率的传导效应呈现出有规律的动态特征。一方面,管制利率调整对经济波动的传导效应逐渐降低了；另一方面,市场利率变动对经济波动的传导效果趋于更强劲、更持续。这也意味着我国实行的利率市场化改革已经获得了一定的显著成果。最后,本文总结了主要结论,并在其基础上提出一些政策建议：一是加快推进利率市场化改革；二是提高实体经济对利率的敏感性；三是进一步发展和完善金融市场；四是完善央行的利率调控机制等。
[Abstract]:The mechanism of interest rate transmission is a mechanism and process. It describes how to guide interest rate through monetary policy and then influence the behavior of microeconomic subject by interest rate. The reform of interest rate marketization in our country is still going on methodically, and has made preliminary achievements, and with its continuous advancement, the role of interest rate transmission mechanism is also beginning to highlight. The study on the effect of interest rate conduction mechanism under the background of interest rate marketization reform not only enriches the theory, but also has certain practical significance. This paper will be based on the traditional Keynesian interest rate transmission mechanism theory. According to the current situation that the interest rate marketization reform is still going on in our country, this paper studies whether the effect of the interest rate transmission mechanism of the "two-track system" in our country is significant. On the basis of analyzing the factors that block the interest rate conduction mechanism, the corresponding suggestions are put forward in order to promote the interest rate marketization reform and give better play to the interest rate conduction effect. First of all, because this article is in the interest rate marketization reform background carries on the research, the author has summarized the interest rate marketization theory support, including the financial suppression theory, Based on the relevant theories of interest rate marketization, this paper also briefly introduces the process of interest rate marketization reform in different markets in China, including the interbank lending market interest rate. Market reform of interbank bond market interest rate and deposit and loan interest rate. Secondly, on the basis of Keynes' theory and combining with the characteristics of China's current interest rate system, this paper puts forward the interest rate transmission mechanism of monetary policy in China. The traditional Keynesian interest rate transmission mechanism theory contains some preconditions. The function of commodity market and capital market is relatively perfect. However, the degree of marketization of capital market and commodity market in China is not high. As a result, the application of these theories in China is still limited. After summarizing and analyzing the current interest rate system and its characteristics in China, This paper puts forward a "double track" interest rate transmission mechanism in which the regulated interest rate and the market interest rate operate simultaneously. Thirdly, based on the fact that China's interest rate marketization reform has not been completed and the regulatory interest rate and the market interest rate are running on a dual track, this paper establishes a VAR model which includes both regulated interest rate and market interest rate. The Granger causality test is adopted. Impulse response analysis, variance decomposition analysis and other empirical research methods are used to study the effect of interest rate conduction mechanism of "two-track system" in China. The results show that because interest rate regulation still exists, enterprise investment is insensitive to interest rate response. The conduction effect of the whole interest rate transmission mechanism is not smooth due to the management behavior of commercial banks and the imperfect development of the financial market. However, with the advancement of the interest rate marketization process, The conduction effect of regulatory interest rate and market interest rate shows a regular dynamic characteristic. On the one hand, the conduction effect of regulating interest rate adjustment on economic fluctuation decreases gradually; on the other hand, The transmission effect of market interest rate changes on economic fluctuation tends to be stronger and more sustainable, which means that the market-oriented interest rate reform in China has achieved some remarkable results. Finally, this paper summarizes the main conclusions and puts forward some policy suggestions on the basis of which: first, accelerate the reform of interest rate marketization; second, enhance the sensitivity of the real economy to interest rate; third, further develop and perfect the financial market; Fourth, improve the central bank's interest rate control mechanism and so on.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822.0;F832.51

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