利率走廊是短期利率的自动稳定器吗?——来自国外的经验证据
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摘要
本文首先基于货币需求曲线理论分析了利率走廊降低市场利率波动的作用原理,然后从美国、印度、土耳其等国的相关实践中总结了经验和教训,随后利用CKLS-GARCH模型计量检验了利率走廊影响短期利率波动的效果,最后提出了政策建议。分析表明:利率走廊是短期市场利率变动的自动稳定器,即使在经济异动条件下也能有效降低短期利率波动。本文建议,近中期我国应积极推进以利率走廊为主、公开市场操作为辅的一整套引导利率走势、影响利率结构的货币政策操作体系。
Based on a literature review,this paper firstly expounds the mechanism of Interest Rate Corridor( IRC) through the principle of money supply and demand curve with a static equilibrium model of short-term interest rate determination under asymmetric information condition; afterwards,the paper tests the effect of IRC on short-term interest rate volatility in abnormal economic fluctuations and in emerging economies respectively; at the end of the paper,this paper puts forward some concrete suggestions for China to improve the IRC system. The result shows that IRC is the automatic stabilizer of short-term market interest rates,which can effectively reduce short-term interest rates volatility even under the condition of abnormal economic fluctuations. China should actively promote a set of monetary policy operating system which takes IRC as the main tool and open market operations as a supplement.
Based on a literature review,this paper firstly expounds the mechanism of Interest Rate Corridor( IRC) through the principle of money supply and demand curve with a static equilibrium model of short-term interest rate determination under asymmetric information condition; afterwards,the paper tests the effect of IRC on short-term interest rate volatility in abnormal economic fluctuations and in emerging economies respectively; at the end of the paper,this paper puts forward some concrete suggestions for China to improve the IRC system. The result shows that IRC is the automatic stabilizer of short-term market interest rates,which can effectively reduce short-term interest rates volatility even under the condition of abnormal economic fluctuations. China should actively promote a set of monetary policy operating system which takes IRC as the main tool and open market operations as a supplement.
引文
[1]封思贤、朱闻宇:《实施利率走廊机制的国际经验及启示》,《经济学家》2018年第1期。
[2]官慧、刘义圣:《利率走廊模式的国际比较与我国现实选择》,《亚太经济》2016年第6期。
[3]李扬:《中国暂不宜实施利率走廊调控机制》,国家金融与发展实验室网(http://www.nifd.cn/Paper/Details/145),2016年11月10日。
[4]牛慕鸿、张黎娜、张翔:《利率走廊、利率稳定性和调控成本》,《金融研究》2017年第7期。
[5]徐忠:《中国稳健货币政策的实践经验与货币政策理论的国际前沿》,《金融研究》2017年第1期。
[6]Bulut U.The interest rate corridor as a macroprudential tool to mitigate rapid growth in credits:evidence from Turkey,Theoretical and Applied Economics,2015,22(4):133-144.
[7]Inaba K.I.,O’Farrell R.,and Rawdanowicz L.,“The Conduct of Monetary Policy in the Future”,OECD Economic Department Working Paper,No.1187,2015.
[8]Kalevras K V.Quantitative Easing and Interest on Reserves:How Significant is it?SSRN Electronic Journal,2013(2):1-8.
[9]Quiros P G,Mendizábal H R.The daily market for funds in Europe:What has changed with the EMU?Journal of Money,Credit,and Banking,2006,38(1):91-118.
[10]Woodford M.Monetary policy in a world without money,International Finance,2000,3(2):229-260.
[11]Woodford M.Monetary policy in the information economy,NBER Working Paper,2001,No.8674.
(1)土耳其自2010年底宣布实施利率走廊,但其银行间隔夜回购利率报价也始于2011年,故不作样本国。
(2)FFR均值方程系数不显著可能的一个原因是,金融危机扩散后,美联储为迅速刺激经济而实行接近于零水平的利率政策,均值方程各系数不能拒绝非零假设恰恰反映这一经济状况。
(3)变异系数等于同业拆借利率标准差与其平均数之比,用于测度利率离散程度。
(4)平均利率偏差等于同业拆借市场利率与目标利率离差平方的平均数的平方根,单位为1个基点(BP),用于衡量实际利率与政策目标的偏离程度。
(5)金融危机初期,英国利率走廊效果不及其他发达经济体的一个可能原因是英磅市场受欧元市场影响较大,致使货币当局决策较为被动,货币政策独立性较弱。
(6)该时段内印度目标利率数据不可得,故该指标无法测算。
[2]官慧、刘义圣:《利率走廊模式的国际比较与我国现实选择》,《亚太经济》2016年第6期。
[3]李扬:《中国暂不宜实施利率走廊调控机制》,国家金融与发展实验室网(http://www.nifd.cn/Paper/Details/145),2016年11月10日。
[4]牛慕鸿、张黎娜、张翔:《利率走廊、利率稳定性和调控成本》,《金融研究》2017年第7期。
[5]徐忠:《中国稳健货币政策的实践经验与货币政策理论的国际前沿》,《金融研究》2017年第1期。
[6]Bulut U.The interest rate corridor as a macroprudential tool to mitigate rapid growth in credits:evidence from Turkey,Theoretical and Applied Economics,2015,22(4):133-144.
[7]Inaba K.I.,O’Farrell R.,and Rawdanowicz L.,“The Conduct of Monetary Policy in the Future”,OECD Economic Department Working Paper,No.1187,2015.
[8]Kalevras K V.Quantitative Easing and Interest on Reserves:How Significant is it?SSRN Electronic Journal,2013(2):1-8.
[9]Quiros P G,Mendizábal H R.The daily market for funds in Europe:What has changed with the EMU?Journal of Money,Credit,and Banking,2006,38(1):91-118.
[10]Woodford M.Monetary policy in a world without money,International Finance,2000,3(2):229-260.
[11]Woodford M.Monetary policy in the information economy,NBER Working Paper,2001,No.8674.
(1)土耳其自2010年底宣布实施利率走廊,但其银行间隔夜回购利率报价也始于2011年,故不作样本国。
(2)FFR均值方程系数不显著可能的一个原因是,金融危机扩散后,美联储为迅速刺激经济而实行接近于零水平的利率政策,均值方程各系数不能拒绝非零假设恰恰反映这一经济状况。
(3)变异系数等于同业拆借利率标准差与其平均数之比,用于测度利率离散程度。
(4)平均利率偏差等于同业拆借市场利率与目标利率离差平方的平均数的平方根,单位为1个基点(BP),用于衡量实际利率与政策目标的偏离程度。
(5)金融危机初期,英国利率走廊效果不及其他发达经济体的一个可能原因是英磅市场受欧元市场影响较大,致使货币当局决策较为被动,货币政策独立性较弱。
(6)该时段内印度目标利率数据不可得,故该指标无法测算。