公开市场操作、利率走廊与市场拆借利率
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摘要
文章构建了一个银行同业拆借市场的三期模型,为分析公开市场操作和利率走廊两种货币政策工具提供了一个理论框架。理论分析发现,公开市场操作和利率走廊都会影响拆借利率,但利率走廊稳定拆借利率的效果要优于公开市场操作。公开市场操作对拆借利率的影响大小取决于其是否被预期到,与基本面不一致的未预期到的公开市场操作会引起拆借利率的异常波动。而无论是预期到的还是未预期到的利率走廊,都能起到稳定拆借利率的作用。但具有严格抵押要求的利率走廊会减弱政策效果,抵押溢价会导致拆借利率突破政策利率上限。数值模拟分析进一步证实了上述结论。
In recent years, there have been sharp fluctuations in short-term interest rates in China's financial markets, posing challenges to the implementation of monetary policies and the stability of financial markets. There was a similar phenomenon in LIBOR rates of major currencies during the financial crisis. After the financial crisis, the "interest rate corridor" gradually became a new trend of monetary policies, and the central bank of China gradually introduced a similar mechanism to implement monetary policies.This paper sets up a three-phase model of the inter-bank market, expanding the traditional analytical framework into a peer-to-peer market with OTC market attributes. This approach enables the model of this paper to characterize the heterogeneous characteristics of the bank's liquidity, and distinguish between banks which need interest rate corridors and those which have no need of the corridors, so that the unique mechanism that interest rate corridors affect market liquidity can be reflected. The establishment of the interest rate corridor mechanism will affect the liquidity position of commercial banks by affecting the expected liquidity management costs and benefits of commercial banks. Thus, the inter-bank offered rate can be impacted and it will be stable within interest rate corridors. In order to highlight the unique mechanism of the interest rate corridor mechanism, this paper first analyzes the impact of open market operations with characteristics of quantitative regulation on market interest rates, and demonstrates the advantages and disadvantages of the interest rate corridor mechanism through comparison.The theoretical analysis shows that open market operations and interest rate corridors have their own advantages and disadvantages in regulating interest rate fluctuations. First, open market operations regulate interest rate volatility by regulating the liquidity of the whole interbank market. Interest rate corridors only need to adjust the liquidity of part of the banks to regulate interest rate fluctuations, so interest rate corridors affect market activities from the margin, and the regulation has less disturbance to the market. Second, in terms of regulating short-term interest rates, both the expected open market operations and interest rate corridor adjustments will be constrained by the "liquidity substitution effect". Because of the liquidity substitution effect, the adjustment of open market operations may be completely offset, but that of interest rate corridors cannot be. In terms of stabilizing interest rates, open market operations rely on the judgment of the central bank, while interest rate corridors can be more independently implemented. Finally, under the interest rate corridor mechanism, a tight mortgage policy may cause the inter-bank offered rate to break through the interest rate corridor ceiling. However, the central bank can adjust the mortgage policy, using the camera selection strategy and the cooperation with macro-prudential management, which can respectively achieve different purposes for posthoc response and pre-existing prevention.
In recent years, there have been sharp fluctuations in short-term interest rates in China's financial markets, posing challenges to the implementation of monetary policies and the stability of financial markets. There was a similar phenomenon in LIBOR rates of major currencies during the financial crisis. After the financial crisis, the "interest rate corridor" gradually became a new trend of monetary policies, and the central bank of China gradually introduced a similar mechanism to implement monetary policies.This paper sets up a three-phase model of the inter-bank market, expanding the traditional analytical framework into a peer-to-peer market with OTC market attributes. This approach enables the model of this paper to characterize the heterogeneous characteristics of the bank's liquidity, and distinguish between banks which need interest rate corridors and those which have no need of the corridors, so that the unique mechanism that interest rate corridors affect market liquidity can be reflected. The establishment of the interest rate corridor mechanism will affect the liquidity position of commercial banks by affecting the expected liquidity management costs and benefits of commercial banks. Thus, the inter-bank offered rate can be impacted and it will be stable within interest rate corridors. In order to highlight the unique mechanism of the interest rate corridor mechanism, this paper first analyzes the impact of open market operations with characteristics of quantitative regulation on market interest rates, and demonstrates the advantages and disadvantages of the interest rate corridor mechanism through comparison.The theoretical analysis shows that open market operations and interest rate corridors have their own advantages and disadvantages in regulating interest rate fluctuations. First, open market operations regulate interest rate volatility by regulating the liquidity of the whole interbank market. Interest rate corridors only need to adjust the liquidity of part of the banks to regulate interest rate fluctuations, so interest rate corridors affect market activities from the margin, and the regulation has less disturbance to the market. Second, in terms of regulating short-term interest rates, both the expected open market operations and interest rate corridor adjustments will be constrained by the "liquidity substitution effect". Because of the liquidity substitution effect, the adjustment of open market operations may be completely offset, but that of interest rate corridors cannot be. In terms of stabilizing interest rates, open market operations rely on the judgment of the central bank, while interest rate corridors can be more independently implemented. Finally, under the interest rate corridor mechanism, a tight mortgage policy may cause the inter-bank offered rate to break through the interest rate corridor ceiling. However, the central bank can adjust the mortgage policy, using the camera selection strategy and the cooperation with macro-prudential management, which can respectively achieve different purposes for posthoc response and pre-existing prevention.
引文
[1]董小君.从“热钱”到“钱荒”:形势逆转的原因、影响及应对之策[J].经济学动态,2013,(7):94-98.
[2]马骏,施康,王红林,等.利率传导机制的动态研究[J].金融研究,2016,(1):31-49.
[3]牛慕鸿.利率走廊运行机理再认识[J].中国金融,2018,(9):25-27.
[4]牛慕鸿,张黎娜,张翔.利率走廊、利率稳定性和调控成本[J].金融研究,2017,(7):16-28.
[5]孙国峰,蔡春春.货币市场利率、流动性供求与中央银行流动性管理——对货币市场利率波动的新分析框架[J].经济研究,2014,(12):33-44.
[6]伍戈,李斌.货币数量、利率调控与政策转型[M].北京:中国金融出版社,2016.
[7]杨光,孙浦阳.流动性过剩是否造成了“钱荒”现象-基于异质性DSGE框架的分析[J].南开经济研究,2015,(5):59-73.
[8]张明.银行间市场“钱荒”的根源及政策含义[J].金融市场研究,2013,(7):30-33.
[9]张明,郭子睿,何帆.“钱荒”为什么会发生?-上海银行间同业拆放利率的影响因素分析[J].国际金融研究,2016,(12):84-93.
[10]朱孟楠,侯哲.中国商业银行资金错配问题研究-基于“钱荒”背景下的思考[J].国际金融研究,2014,(4):62-69.
[11]Ashcraft A,McAndrews J,Skeie D. Precautionary reserves and the interbank market[J]. Journal of Money,Credit and Banking,2011,43:311-348.
[12]Berentsen A, Monnet C. Monetary policy in a channel system[J].Journal of Monetary Economics, 2008, 55(6):1067-1080.
[13]Berentsen A,Marchesiani A,Waller C J. Channel systems:Why is there a positive spread?[R]. CESifo Working Paper No.3251,2010.
[14]Berentsen A, Marchesiani A, Waller C J. Floor systems for implementing monetary policy:Some unpleasant fiscal arithmetic[J]. Review of Economic Dynamics,2014,17(3):523-542.
[15]Heider F,Hoerova M,Holthausen C. Liquidity hoarding and interbank market rates:The role of counterparty risk[J].Journal of Financial Economics,2015,118(2):336-354.
[16]Whitesell W. Interest rate corridors and reserves[J]. Journal of Monetary Economics,2006,53(6):1177-1195.
(1)一些文献已经证实,包括我国在内的世界上大多数国家的银行间市场是OTC市场(Ashcraft等,2011;周荣芳,2015)。另外,中国人民银行制定的《同业拆借管理办法》第十五条规定,同业拆借交易以询价方式进行,自主谈判、逐笔成交;第十六条规定,同业拆借利率由交易双方自行商定。
[2]马骏,施康,王红林,等.利率传导机制的动态研究[J].金融研究,2016,(1):31-49.
[3]牛慕鸿.利率走廊运行机理再认识[J].中国金融,2018,(9):25-27.
[4]牛慕鸿,张黎娜,张翔.利率走廊、利率稳定性和调控成本[J].金融研究,2017,(7):16-28.
[5]孙国峰,蔡春春.货币市场利率、流动性供求与中央银行流动性管理——对货币市场利率波动的新分析框架[J].经济研究,2014,(12):33-44.
[6]伍戈,李斌.货币数量、利率调控与政策转型[M].北京:中国金融出版社,2016.
[7]杨光,孙浦阳.流动性过剩是否造成了“钱荒”现象-基于异质性DSGE框架的分析[J].南开经济研究,2015,(5):59-73.
[8]张明.银行间市场“钱荒”的根源及政策含义[J].金融市场研究,2013,(7):30-33.
[9]张明,郭子睿,何帆.“钱荒”为什么会发生?-上海银行间同业拆放利率的影响因素分析[J].国际金融研究,2016,(12):84-93.
[10]朱孟楠,侯哲.中国商业银行资金错配问题研究-基于“钱荒”背景下的思考[J].国际金融研究,2014,(4):62-69.
[11]Ashcraft A,McAndrews J,Skeie D. Precautionary reserves and the interbank market[J]. Journal of Money,Credit and Banking,2011,43:311-348.
[12]Berentsen A, Monnet C. Monetary policy in a channel system[J].Journal of Monetary Economics, 2008, 55(6):1067-1080.
[13]Berentsen A,Marchesiani A,Waller C J. Channel systems:Why is there a positive spread?[R]. CESifo Working Paper No.3251,2010.
[14]Berentsen A, Marchesiani A, Waller C J. Floor systems for implementing monetary policy:Some unpleasant fiscal arithmetic[J]. Review of Economic Dynamics,2014,17(3):523-542.
[15]Heider F,Hoerova M,Holthausen C. Liquidity hoarding and interbank market rates:The role of counterparty risk[J].Journal of Financial Economics,2015,118(2):336-354.
[16]Whitesell W. Interest rate corridors and reserves[J]. Journal of Monetary Economics,2006,53(6):1177-1195.
(1)一些文献已经证实,包括我国在内的世界上大多数国家的银行间市场是OTC市场(Ashcraft等,2011;周荣芳,2015)。另外,中国人民银行制定的《同业拆借管理办法》第十五条规定,同业拆借交易以询价方式进行,自主谈判、逐笔成交;第十六条规定,同业拆借利率由交易双方自行商定。