通胀预期、信贷管制与利率传导效应
摘要
我国于1996年1月建立起全国性的同业拆借市场,同年5月,放开同业拆借利率,首先实现了同业拆借利率市场化。随后,一系列的利率逐步放开：短期证券市场、贴现市场在近年来发展迅速,国债利率也基本实现了市场化。同时,贷款通过先实行浮动利率,后逐步调宽浮动幅度的办法,向利率放开过渡。2000年9月,又放开了外币贷款利率和外币大额定期存款利率。2002年5月全国已经有八家农村信用社开始尝试更大程度上的浮动利率制。从2004年以来,我国金融机构更是出现基准利率上浮30%、30%-50%、50%-100%甚至100%以上的贷款占比。我国的“十二五”经济规划更是将实现全面的利率市场化作为下一个五年的金融改革重点。这自然而然就引申出一个重要问题,如何有序稳妥地推进我国利率市场化改革,或者说,如何能够有效避免利率全面放开对我国金融体系乃至整个经济体系造成负面冲击。利率市场化改革意味着我国宏观调控手段将转向以利率调控为主的价格管理手段,这表明,解决上述问题的关键是要研究我国利率市场化改革过程中,影响我国利率传导的关键因素,以及如何充分完善我国利率市场化所需的制度基础。
本文正是基于我国利率市场化的现实背景,从通胀预期和信贷管制两个方面入手,实证研究通胀预期和信贷管制的利率传导效应,并基于如何稳定通胀预期、如何放松信贷管制来提出完善我国利率市场化的制度建设的政策建议,因此,本文研究具有重要的理论价值和现实意义。
除导言和结论外,本文研究内容分为4章：
第2章主要给出了通胀预期、信贷管制与利率传导效应的理论基础。通胀预期与利率传导效应的理论基础是菲利普斯曲线。附加通胀预期的菲利普斯曲线不仅反映了通胀预期对当期通胀率的影响,从而可以刻画通货膨胀的动态特征而且通过对比附加通胀预期的菲利普斯曲线的相关系数与传统菲利普斯曲线相关系数的大小,还可以分析通胀预期对利率传导效应的影响。信贷管制与利率传导效应的理论基础是IS曲线。信贷传导和利率传导是货币政策传导渠道中最主要的两种传导方式,通过定性比较信贷管制约束下的信贷传导效应和利率传导效应,以价格调控为主的利率传导效应要优于以数量调控为主的信贷传导效应。
第3章从通胀预期的角度入手,利用我国2000.1-2012.4的季度经济数据,基于菲利普斯曲线的LS计量模型和GMM计量模型分别实证分析了我国理性通胀预期和Kalman通胀预期的利率传导效应。实证分析结论表明：通胀预期对货币政策利率传导途径具有正效应,即通胀预期对利率传导效应具有积极影响,但附加Kalman通胀预期相对于理性通胀预期对菲利普斯曲线相关系数的改善效果更明显,Kalman通胀预期的利率传导效应强于理性通胀预期。
第4章从信贷管制的角度入手,利用我国2004-3-2012.4的季度经济数据,基于IS曲线的LS计量模型和GMM计量模型分别实证分析了我国信贷管制的利率传导效应。实证分析结论表明：信贷管制对货币政策利率传导途径具有负效应,即信贷管制对利率传导效应具有消极影响,但这种消极影响非常有限,虽然我国金融市场存在一定程度的信贷管制,但信贷管制程度尚未太高,从而为我国利率市场化提供了一个良好的市场基础。
第5章基于我国通胀预期和信贷管制的利率传导效应,从路径选择和制度建设两个层面提出了加快我国利率市场化改革和加强我国利率传导效应的政策建议。利率市场化改革的起点到实现利率市场化不可能一蹴而就,我国应根据实际经济情况采取了渐进式的利率市场化改革方式。在我国利率市场化的制度建设方面,首先,应逐步建立利率管理的货币政策框架体系,稳定通胀预期。其次,应有序推进金融体系改革,逐步放松信贷管制,加强货币市场金融监管与协调。
Our country have established the inter-bank market in1996.1.in may the same year,let go out of interbank rates,realize the interbank lending market interest rates in the first time.Then, a series of interest rate gradually liberalized:short-term stock market and the discount market developed rapidly in recent years.,bond interest rate have also realize the marketization. In the same time, loans are transitioned to the interest rate liberalization through the way of floating rate loans firstly, and the gradual increase of fluctuation range.in2009.9,Let go of the interest rates of foreign currency loans and foreign currency long-term deposit interest rate also.in2005,there are five Rural credit cooperatives beginning to try fluctuate the rate more greatly.Our financial institutions appear that The benchmark interest rate float up30%,30%-50%,50%-100%or even more than100%of the loans accountes.Our country "10.25" planning take the achieving a comprehensive interest rate market As the next five years of financial reform focus. An important question raises naturally,how to push forward the reform of China's market-oriented interest rate,in another way, how to avoid the negative impact of full liberalization of interest rates on China's financial system and the whole economic system.The market-oriented reform of interest rate means that China's macro-control will be shifted to the interest rate regulation price management,it means that the key to solving these problems is to study key factors affecting our country's interest rate transmission,in China's market-oriented interest rate reform process, and how to fully improve the system foundation for interest rate market.
This paper base on the realistic background of interest rate liberalization in China,Begin from two aspects of inflation expectations and the control of credit, empirically research on the conduction effect of inflation expectations and credit control, and based on how to stabilize inflation expectations, how to relax the credit control, Put forward to policy recommendations to perfect the system construction of China's market-oriented interest rate.in this way, this paper has important theory value and practical significance.
In addition to the introduction and conclusion, this study is divided into four chapters: Chapter2gives the theoretical basis of inflation expectations, the effect of credit controls and interest rate transmission. Inflation expectations and interest rates transmisiion effect theory is based on the Phillips curve. Additional inflation expectations Phillips curve reflects not only the impact of the inflation expectations of the current rate of inflation, which can characterize the dynamic characteristics of the inflation and by contrast the additional inflation expectations Phillips curve correlation coefficient with the traditional Phillips curve the size of the correlation coefficient, inflation expectations can also analyze the effect of interest rate transmission. The transmisson effect theory of credit controls and interest rate is based on the IS curve. The most important monetary policy transmission channels are Credit transmission and interest rate transmission. through the qualitative comparison of credit controls under the restriction of credit conduction effect and interest rate transmission effect, give priority to with price regulation and control of interest rate conduction effect is superior to give priority to with quantity regulation of credit conduction effect.
Chapter3, starting from the point of view of inflation expectations, the use of2000.1-2012.4quarter economic data, based on the Phillips curve LS econometric models and GMM econometric model empirical analysis of rational inflation expectations in China and the Kalman inflation expectations of interest rate transmission effect. Empirical analysis concluded that:inflation expectations in the pathway of the monetary policy interest rate has a positive effect, and that inflation is expected to have a positive impact on the interest rate transmission effect, but additional Kalman inflation expected relative to the rational inflation expectations Phillips curve correlation coefficient to improve the effect is more obvious, the Kalman inflation expectations of interest rate transmission effect is stronger than rational inflation expectations.
In Chapter4, starting from. the term of credit control, using economic data of2004.3-2012.4of China, based on we analyzed LS model of IS curve and GMM model to analyze the effect of interest rate transmission about credit control of China empirically. The empirical analysis suggests:credit control has bad effect on the interest channel of monetory policy, that is that credit control has negative effect on interest rate transmission. But the negative effect is limited.Although there is a certain degree of credit control in our country, the degree of credit control isn't high. So it provides a good market foundation for marketization of interest rate in China.
In Chapter5,based on interest rate transmission of inflation and credit control in China, from the path selection and system construction,we put forward some advises about speeding up the progress of China's market-oriented interest rate reform and strengthening the effect of interest rate transmission. Realizing from the starting of interest rate marketization to the ending can't be accomplished by one strike. Our country should take gradual reform of the interest rate marketization based on the actual economic situation. In the system construction of interest rate marketization, firstly, we should establish management framework of monetory policy and stable the inflation. Secondly, we should promote the reform of the financial system orderly, relax the credit control gradually and strengthen the financial supervision and coordination of monetory market.
本文正是基于我国利率市场化的现实背景,从通胀预期和信贷管制两个方面入手,实证研究通胀预期和信贷管制的利率传导效应,并基于如何稳定通胀预期、如何放松信贷管制来提出完善我国利率市场化的制度建设的政策建议,因此,本文研究具有重要的理论价值和现实意义。
除导言和结论外,本文研究内容分为4章：
第2章主要给出了通胀预期、信贷管制与利率传导效应的理论基础。通胀预期与利率传导效应的理论基础是菲利普斯曲线。附加通胀预期的菲利普斯曲线不仅反映了通胀预期对当期通胀率的影响,从而可以刻画通货膨胀的动态特征而且通过对比附加通胀预期的菲利普斯曲线的相关系数与传统菲利普斯曲线相关系数的大小,还可以分析通胀预期对利率传导效应的影响。信贷管制与利率传导效应的理论基础是IS曲线。信贷传导和利率传导是货币政策传导渠道中最主要的两种传导方式,通过定性比较信贷管制约束下的信贷传导效应和利率传导效应,以价格调控为主的利率传导效应要优于以数量调控为主的信贷传导效应。
第3章从通胀预期的角度入手,利用我国2000.1-2012.4的季度经济数据,基于菲利普斯曲线的LS计量模型和GMM计量模型分别实证分析了我国理性通胀预期和Kalman通胀预期的利率传导效应。实证分析结论表明：通胀预期对货币政策利率传导途径具有正效应,即通胀预期对利率传导效应具有积极影响,但附加Kalman通胀预期相对于理性通胀预期对菲利普斯曲线相关系数的改善效果更明显,Kalman通胀预期的利率传导效应强于理性通胀预期。
第4章从信贷管制的角度入手,利用我国2004-3-2012.4的季度经济数据,基于IS曲线的LS计量模型和GMM计量模型分别实证分析了我国信贷管制的利率传导效应。实证分析结论表明：信贷管制对货币政策利率传导途径具有负效应,即信贷管制对利率传导效应具有消极影响,但这种消极影响非常有限,虽然我国金融市场存在一定程度的信贷管制,但信贷管制程度尚未太高,从而为我国利率市场化提供了一个良好的市场基础。
第5章基于我国通胀预期和信贷管制的利率传导效应,从路径选择和制度建设两个层面提出了加快我国利率市场化改革和加强我国利率传导效应的政策建议。利率市场化改革的起点到实现利率市场化不可能一蹴而就,我国应根据实际经济情况采取了渐进式的利率市场化改革方式。在我国利率市场化的制度建设方面,首先,应逐步建立利率管理的货币政策框架体系,稳定通胀预期。其次,应有序推进金融体系改革,逐步放松信贷管制,加强货币市场金融监管与协调。
Our country have established the inter-bank market in1996.1.in may the same year,let go out of interbank rates,realize the interbank lending market interest rates in the first time.Then, a series of interest rate gradually liberalized:short-term stock market and the discount market developed rapidly in recent years.,bond interest rate have also realize the marketization. In the same time, loans are transitioned to the interest rate liberalization through the way of floating rate loans firstly, and the gradual increase of fluctuation range.in2009.9,Let go of the interest rates of foreign currency loans and foreign currency long-term deposit interest rate also.in2005,there are five Rural credit cooperatives beginning to try fluctuate the rate more greatly.Our financial institutions appear that The benchmark interest rate float up30%,30%-50%,50%-100%or even more than100%of the loans accountes.Our country "10.25" planning take the achieving a comprehensive interest rate market As the next five years of financial reform focus. An important question raises naturally,how to push forward the reform of China's market-oriented interest rate,in another way, how to avoid the negative impact of full liberalization of interest rates on China's financial system and the whole economic system.The market-oriented reform of interest rate means that China's macro-control will be shifted to the interest rate regulation price management,it means that the key to solving these problems is to study key factors affecting our country's interest rate transmission,in China's market-oriented interest rate reform process, and how to fully improve the system foundation for interest rate market.
This paper base on the realistic background of interest rate liberalization in China,Begin from two aspects of inflation expectations and the control of credit, empirically research on the conduction effect of inflation expectations and credit control, and based on how to stabilize inflation expectations, how to relax the credit control, Put forward to policy recommendations to perfect the system construction of China's market-oriented interest rate.in this way, this paper has important theory value and practical significance.
In addition to the introduction and conclusion, this study is divided into four chapters: Chapter2gives the theoretical basis of inflation expectations, the effect of credit controls and interest rate transmission. Inflation expectations and interest rates transmisiion effect theory is based on the Phillips curve. Additional inflation expectations Phillips curve reflects not only the impact of the inflation expectations of the current rate of inflation, which can characterize the dynamic characteristics of the inflation and by contrast the additional inflation expectations Phillips curve correlation coefficient with the traditional Phillips curve the size of the correlation coefficient, inflation expectations can also analyze the effect of interest rate transmission. The transmisson effect theory of credit controls and interest rate is based on the IS curve. The most important monetary policy transmission channels are Credit transmission and interest rate transmission. through the qualitative comparison of credit controls under the restriction of credit conduction effect and interest rate transmission effect, give priority to with price regulation and control of interest rate conduction effect is superior to give priority to with quantity regulation of credit conduction effect.
Chapter3, starting from the point of view of inflation expectations, the use of2000.1-2012.4quarter economic data, based on the Phillips curve LS econometric models and GMM econometric model empirical analysis of rational inflation expectations in China and the Kalman inflation expectations of interest rate transmission effect. Empirical analysis concluded that:inflation expectations in the pathway of the monetary policy interest rate has a positive effect, and that inflation is expected to have a positive impact on the interest rate transmission effect, but additional Kalman inflation expected relative to the rational inflation expectations Phillips curve correlation coefficient to improve the effect is more obvious, the Kalman inflation expectations of interest rate transmission effect is stronger than rational inflation expectations.
In Chapter4, starting from. the term of credit control, using economic data of2004.3-2012.4of China, based on we analyzed LS model of IS curve and GMM model to analyze the effect of interest rate transmission about credit control of China empirically. The empirical analysis suggests:credit control has bad effect on the interest channel of monetory policy, that is that credit control has negative effect on interest rate transmission. But the negative effect is limited.Although there is a certain degree of credit control in our country, the degree of credit control isn't high. So it provides a good market foundation for marketization of interest rate in China.
In Chapter5,based on interest rate transmission of inflation and credit control in China, from the path selection and system construction,we put forward some advises about speeding up the progress of China's market-oriented interest rate reform and strengthening the effect of interest rate transmission. Realizing from the starting of interest rate marketization to the ending can't be accomplished by one strike. Our country should take gradual reform of the interest rate marketization based on the actual economic situation. In the system construction of interest rate marketization, firstly, we should establish management framework of monetory policy and stable the inflation. Secondly, we should promote the reform of the financial system orderly, relax the credit control gradually and strengthen the financial supervision and coordination of monetory market.
引文
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