货币政策的互联网金融市场利率效应研究——基于阈值向量误差修正模型的实证分析
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摘要
相对于传统的金融市场,货币政策对互联网金融市场的影响、作用机制更加复杂,运用阈值向量误差修正模型研究了货币政策的互联网金融市场利率效应。研究发现:货币政策对互联网金融市场利率的影响具有非线性特征,即当货币政策调控的金融市场利率水平较高时,货币政策趋紧,货币政策调控的短期利率与互联网金融市场利率的波动方向相反,它们偏离长期均衡的速度较小;当货币政策宽松时,货币政策调控的利率与互联网金融市场利率呈同方向波动,且偏离长期均衡的速度较大;货币政策对互联网金融市场的影响具有很强的结构性特征,因此,为了保持互联网金融市场的稳定以及货币政策的有效性,中央银行有必要考虑货币政策的结构特征,审慎出台相应的货币政策,保持货币政策的连续性。
The influence and the effect the monetary police exert on the Internet financial market is more complicated than the traditional financial market. We have made a study about the effect with the threshold vector error correction model. We have found that,the influence of monetary policy on the interest rate of Internet financial market is nonlinear. When the interest rate of the financial market adjusted by monetary policy is higher,ie. monetary policy is getting tight,the short-term interest rate regulated by monetary policy has opposite trend with the Internet financial market interest rate,deviating from the long-run equilibrium at a lower speed. When the monetary policy is loose,the interest rate of monetary policy fluchuate at the same direction as the Internet financial market interest rate deviating from the long-term equilibrium at a greater speed. This shows that the effect of monetary policy on the Internet financial market has strong structural characteristics,therefore,in order to maintain the effectiveness of monetary policy and Internet financial market stability,it is necessary for central bank to consider the structure characteristics of monetary policy,the appropriate prudent monetary policy,and also maintain the continuity of the monetary policy.
The influence and the effect the monetary police exert on the Internet financial market is more complicated than the traditional financial market. We have made a study about the effect with the threshold vector error correction model. We have found that,the influence of monetary policy on the interest rate of Internet financial market is nonlinear. When the interest rate of the financial market adjusted by monetary policy is higher,ie. monetary policy is getting tight,the short-term interest rate regulated by monetary policy has opposite trend with the Internet financial market interest rate,deviating from the long-run equilibrium at a lower speed. When the monetary policy is loose,the interest rate of monetary policy fluchuate at the same direction as the Internet financial market interest rate deviating from the long-term equilibrium at a greater speed. This shows that the effect of monetary policy on the Internet financial market has strong structural characteristics,therefore,in order to maintain the effectiveness of monetary policy and Internet financial market stability,it is necessary for central bank to consider the structure characteristics of monetary policy,the appropriate prudent monetary policy,and also maintain the continuity of the monetary policy.
引文
[1]吴晓求.互联网金融:成长的逻辑[J].财贸经济,2015(2):5-15.
[2]JORGENSON D W.Capital theory and investment behavior[J].American Economic Review,1963(53):247-259.
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[6]刘澜飚,齐炎龙,张靖佳.互联网金融对货币政策有效性的影响——基于微观银行学框架的经济学分析[J].财贸经济,2016(1):61-73.
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[10]王亚君,邢乐成.互联网金融、货币政策与银行流动性[J].浙江金融,2016(6):18-24.
[11]邹新月,罗亚南,高杨.互联网金融对我国货币政策影响分析[J].湖南科技大学学报(社会科学版),2014(7):84-89.
[12]HANSEN B E,SEO B.Testing for two-regime threshold cointegration in vector error correction models[J].Journal of Econometrics,2002,110(2):293-318.
[13]VICENTE E,CECILIO T.Threshold cointegration and nonlinear adjustment between CO2and income:the environmental Kuznets curve in Spain,1857-2007[J].Working Papers in Applied Economics,2011.
[14]黄春全,司伟.国际甘蔗燃料乙醇与食糖市场间的非对称价格传导效应[J].经济问题探索,2014(2):123-130.
[15]冯宗宪,郭建伟,霍天翔.市场基准利率Shibor的基准性检验[J].西安交通大学学报(社会科学版),2009(5):24-30.
[16]李良松,柳永明.新魏克塞尔主义下我国基准利率的比较与定位[J].财经研究,2009(6):52-64.
[17]项卫星,李宏瑾.货币市场基准利率的性质及对Shibor的实证研究[J].经济评论,2014(1):107-117.
[18]钱雪松,杜立,马文涛.中国货币政策利率传导有效性研究:中介效应和体制内外差异[J].管理世界,2015(11):12-26.
[2]JORGENSON D W.Capital theory and investment behavior[J].American Economic Review,1963(53):247-259.
[3]BERNANKE B S,BLINDER A S.The federal funds rate and the channels of monetary transmission[J].American Economic Review,1992(84):901-921.
[4]张辉,黄泽华.我国货币政策利率传导机制的实证研究[J].经济学动态,2011(3):54-58.
[5]杨德勇,刘笑彤,赵袁军.互联网金融背景下中国货币政策工具的使用研究——基于金融市场反应机制及VEC模型的实证分析[J].武汉金融,2017(2):26-32.
[6]刘澜飚,齐炎龙,张靖佳.互联网金融对货币政策有效性的影响——基于微观银行学框架的经济学分析[J].财贸经济,2016(1):61-73.
[7]陈霄,叶德珠.中国P2P网络借贷利率波动研究[J].国际金融研究,2016(1):84-96.
[8]何启志,彭明生.基于互联网金融的网贷利率特征研究[J].金融研究,2016(10):95-110.
[9]周耿,范从来.货币政策对P2P网贷市场利率的影响研究[J].中央财经大学学报,2016(6):29-38.
[10]王亚君,邢乐成.互联网金融、货币政策与银行流动性[J].浙江金融,2016(6):18-24.
[11]邹新月,罗亚南,高杨.互联网金融对我国货币政策影响分析[J].湖南科技大学学报(社会科学版),2014(7):84-89.
[12]HANSEN B E,SEO B.Testing for two-regime threshold cointegration in vector error correction models[J].Journal of Econometrics,2002,110(2):293-318.
[13]VICENTE E,CECILIO T.Threshold cointegration and nonlinear adjustment between CO2and income:the environmental Kuznets curve in Spain,1857-2007[J].Working Papers in Applied Economics,2011.
[14]黄春全,司伟.国际甘蔗燃料乙醇与食糖市场间的非对称价格传导效应[J].经济问题探索,2014(2):123-130.
[15]冯宗宪,郭建伟,霍天翔.市场基准利率Shibor的基准性检验[J].西安交通大学学报(社会科学版),2009(5):24-30.
[16]李良松,柳永明.新魏克塞尔主义下我国基准利率的比较与定位[J].财经研究,2009(6):52-64.
[17]项卫星,李宏瑾.货币市场基准利率的性质及对Shibor的实证研究[J].经济评论,2014(1):107-117.
[18]钱雪松,杜立,马文涛.中国货币政策利率传导有效性研究:中介效应和体制内外差异[J].管理世界,2015(11):12-26.