市场基准利率与我国货币政策目标的相关性研究

发布时间：2018-06-07 02:16

本文选题：市场基准利率 + 利率传导机制　；参考：《浙江大学》2017年硕士论文

【摘要】：2015年10月,中国人民银行宣布取消存款利率浮动上限,这表明我国利率市场化改革已基本完成。迄今为止,我国货币当局推出了以Shibor、LPR以及国债收益率曲线为代表的货币、债券及信贷市场基准利率体系,并灵活运用常备借贷便利(SLF)等新型货币政策工具来推进利率走廊调控,这一系列措施表明我国货币政策正在从数量型调控向利率型调控转型,符合"十三五"规划对金融领域改革所提出的要求。本文主要研究了市场基准利率与我国货币政策目标之间的相关性。为此,本文首先阐述了我国利率市场化的改革进程、市场基准利率的形成机制以及货币政策中介目标的选择标准,进而分析了我国人行选取利率作为货币政策中介目标的可行性。其次,本文对货币政策的利率传导机制按照从操作目标到中介目标、再到最终目标的时间顺序进行详细分析,其中从操作目标到中介目标的利率传导机制又依次从"央行至货币市场"以及"货币市场至资本市场"两个角度进行研究。然后,本文以2007年1月至2016年12月的月度数据为样本进行了实证分析,本文主要运用Johansen协整检验、格兰杰因果检验及脉冲响应函数等方法研究了 Shibor与经济增长(GDP、消费、投资、出口)以及物价稳定(CPI)之间的相关性,并在模型中加入货币供应量M2指标作为对照。结果表明,Shibor与GDP、CPI之间存在格兰杰因果关系,但脉冲响应的反应路径并不显著。因此,虽然我国存在从央行到实体经济的利率传导机制,但仍不够通畅,有待继续监测。综上所述,本文认为我国货币政策的利率传导机制虽然从理论角度看存在并且符合逻辑,但实际发挥的作用仍较有限,市场基准利率指标与货币政策目标之间的相关性比较微弱,故在当前经济转型期间,货币当局在实施货币政策时应兼顾数量型指标和价格型指标,同时继续深化经济金融体制改革,培育健全成熟的市场基准利率体系,切实加快多层次金融市场体系建设。
[Abstract]:In October 2015, the people's Bank of China announced the abolition of the ceiling on the floating interest rate of deposits, which indicates that the reform of interest rate marketization in China has basically been completed. So far, the monetary authorities of our country have introduced a benchmark interest rate system for money, bonds and credit markets, represented by Shiboran LPR and the yield curve of national debt, and flexible use of new monetary policy tools such as the standing loan facility (SLFF) to promote interest rate corridor regulation. This series of measures indicates that China's monetary policy is transforming from quantitative to interest-rate control, which is in line with the requirements of the 13th Five-Year Plan for financial sector reform. This paper mainly studies the correlation between the market benchmark interest rate and the monetary policy objectives of our country. For this reason, this article first elaborated our country interest rate marketization reform process, the market benchmark interest rate formation mechanism as well as the monetary policy intermediary target choice standard. Then it analyzes the feasibility of the people's Bank of China to select interest rate as the intermediate target of monetary policy. Secondly, this paper makes a detailed analysis of the transmission mechanism of interest rate in monetary policy according to the time sequence from the operational objective to the intermediate objective, and then to the final goal. The transmission mechanism of interest rate from operation target to intermediate target is studied from two angles: "central bank to money market" and "money market to capital market". Then, based on the monthly data from January 2007 to December 2016, this paper mainly uses Johansen cointegration test, Granger causality test and impulse response function to study Shibor and economic growth, consumption, investment, etc. The correlation between export and CPI is analyzed, and the M2 index of money supply is added to the model as a control. The results show that there is a Granger causality relationship between Shibor and GDP CPI, but the response path of pulse response is not significant. Therefore, although China has an interest rate transmission mechanism from the central bank to the real economy, it is still not smooth enough to be monitored. To sum up, this paper holds that although the interest rate transmission mechanism of monetary policy in China exists from a theoretical point of view and is in line with logic, it still plays a relatively limited role in practice. The correlation between the market benchmark interest rate index and the monetary policy objective is relatively weak. Therefore, during the period of current economic transformation, monetary authorities should take both quantitative and price indicators into account in the implementation of monetary policy. At the same time, we will continue to deepen the reform of the economic and financial system, foster and improve the mature market benchmark interest rate system, and earnestly speed up the construction of a multi-level financial market system.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0

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