基准利率传导和管理的金融市场微观机制研究
摘要
20世纪90年代以来,主要发达国家纷纷放弃将货币供应量作为货币政策操作的中介目标,重新转向以利率为主要中介目标的操作模式。在利率为中介目标的操作模式下,一个完整的货币政策传导机制包括两个核心环节:第一个环节是中央银行选择一个基准利率作为货币政策中介目标,通过货币政策工具改变基准利率水平,基准利率的变化将作用于金融市场体系,引起市场利率、金融资产价格、汇率等变量发生变化;第二个环节是市场利率、金融资产价格、汇率等变量发生变化后,将通过不同的传导机制作用于实体经济,引起总需求的变化,最后实现货币政策的最终目标。至今为止国内的研究成果主要集中在对第二个传导环节的研究,而对第一个传导环节的研究成果相对较少。这正是本文的研究重点。
本文旨在回答一个核心的问题,即为何在当前发达市场经济国家,央行只调控一个短期的基准利率,就能对所有的金融资产价格产生传导作用,并最终实现货币政策的目标。这就需要深入金融市场内部,探究基准利率与各类金融市场的传导关系和央行对基准利率的选择和管理机制,因此,本文以基准利率为主线,分析了其与国债市场、企业债市场、股票市场和货币市场等金融市场间的传导关系,并对现阶段我国利率政策传导的效果进行了实证检验,并在此基础上总结利率政策通过金融市场传导的有效性。本文的具体安排如下:
第一章为提出问题,界定本文研究的主要问题和关键概念,并在回顾相关文献的基础上,对本文的研究目的、方法作了探讨;
第二章研究央行基准利率变动对国债市场利率和收益率的影响,本部分研究的重点是基准利率与利率期限结构的关系。笔者将首先分析利率期限结构在货币政策传导机制中的重要性,然后建立基准利率与利率期限结构的理论模型,并对现阶段中国基准利率与国债收益率的关系进行实证检验,并对实证结果进行解释。
第三章研究基准利率变动对企业债市场的影响。本部分先说明信用因素在货币政策传导中的重要性,并就基准利率、国债利率期限结构变动与企业债和贷款利率信用溢价的关系进行理论分析,然后对现阶段中国基准利率、国债利率期限结构变动对企业债和贷款利率的关系进行实证检验,并对实证结果进行解释。
第四章探讨基准利率变动对股票市场的影响。本部分首先说明股票市场的资产价格效应对货币政策传导的意义,然后建立基准利率和国债期限结构变动对股票价格影响的理论模型,并对现阶段中国基准利率、国债利率期限结构变动对股票市场的影响进行实证检验,并对实证结果进行解释。
第五章重点研究基准利率与货币市场的关系。由于货币市场是利率政策在金融市场内部传导的首要环节,不同的货币政策工具对货币市场利率的影响机制会存在较大差异,同时在目前人民币面临升值的压力下,央行在外汇市场和国内货币市场利率调控方面存在本外币协调的必要性,所以第五章重点研究央行对货币市场利率的控制力问题,并对中国现阶段央行基准利率与货币市场利率的关系实证检验,并对实证结果进行解释。
第六章为本文的结论。
Since the 1990's, the main developed countries successively turned back to regard the interest rate as the intermediary objective of the monetary policy operation instead of the money supply. Under this operation model, a complete monetary policy transmission mechanism includes two core links: one is that the central bank chooses a base rate as the intermediary objective and changes the base rate level through the monetary policy instrument. The base rate's change will have effect on the financial markets system and give rise to the change of different variables, such as the market rates, the financial assets' prices and the foreign exchange rate etc.; the other is that after these variables change, the effects will act on the real economy via various transmission mechanisms and give rise to the aggregate demand's change and eventually realize the ultimate objective of the monetary policy. So far the research findings have been focused on the second transmission link, while it's relatively less for the first one, which is just the key research point in this paper.
This paper aims at answering one essential question, that is, why in the current developed market economy countries, the central bank is able to have the transmissive effect on all types of financial assets by only adjusting and controlling a short term base rate and eventually realize the objective of the monetary policy? It requires us to go deep into the internal financial markets, study the transmission relation between the base rate and all types of financial markets and make research on the central bank's choice and administration mechanism on the base rate. Therefore, this paper regards the base rate as the main line and makes study on its transmission relation to the Treasury bond market, the corporate bond market, the stock market and the monetary market. It also makes empirical proof-test on the interest rate policy transmissive result in the current stage. On that basis, it concludes the monetary policy transmissive effectiveness via the financial markets. The detailed chapter arrangement is as follows:
In the first chapter, it brings forward the main issues and key conceptions that be studied in this paper; in retrospect to historical works, it discusses the study objectives and approaches.
In the second chapter, it studies the base rate change impacts in the central bank on the interest rate and yield rate in the Treasury bond market. The key research point in this part is the relation between the base rate and the interest rate term structure. It firstly studies the term structure's importance in the monetary policy transmission mechanism, and then it sets up the theoretical model and makes empirical study on the relation between the base rate and the Treasury bond yield rate and in the current stage in China, lastly it explains the empirical study results.
In the third chapter, it studies the base rate's change on the corporate bond market. It firstly the credit factor's importance in the monetary policy transmission, and then it makes theoretical analysis on the relation between the changes of the base rate and the term structure of the Treasury bond rate and the credit premium of the corporate bond and loan rate. Lastly it makes empirical test-proof and explains the study results.
In the fourth chapter, it analyses the impact of the base rate's change on the stock market. It firstly illustrates the significance of the assets' price effect in the stock market to the monetary policy transmission, then it sets up the theoretical model to illustrate the effect of the base rate and the T-bond term structure rate's changes on the stock price. Lastly it makes empirical study and explains the study results.
In the fifth chapter, it mainly analyses relation between the base rate and the monetary market. As the monetary market is the prime link for the interest rate policy to transmit in the internal financial markets, different monetary policy instruments' effect mechanisms on the interest rate will have relatively big differences. In the mean time, under the RMB's appreciation pressure, it's necessary for the central bank to coordinate the RMB and foreign currency and adjust and control the interest rate in the foreign exchange market and the domestic monetary market as well. Therefore, in this chapter it mainly studies the central bank's controlling capacity in the monetary market interest rate and makes empirical study on the relation between the base rate in the central bank and the interest rate in the monetary market, lastly it explains the study results. The six chapter is the conclusion for this paper.
本文旨在回答一个核心的问题,即为何在当前发达市场经济国家,央行只调控一个短期的基准利率,就能对所有的金融资产价格产生传导作用,并最终实现货币政策的目标。这就需要深入金融市场内部,探究基准利率与各类金融市场的传导关系和央行对基准利率的选择和管理机制,因此,本文以基准利率为主线,分析了其与国债市场、企业债市场、股票市场和货币市场等金融市场间的传导关系,并对现阶段我国利率政策传导的效果进行了实证检验,并在此基础上总结利率政策通过金融市场传导的有效性。本文的具体安排如下:
第一章为提出问题,界定本文研究的主要问题和关键概念,并在回顾相关文献的基础上,对本文的研究目的、方法作了探讨;
第二章研究央行基准利率变动对国债市场利率和收益率的影响,本部分研究的重点是基准利率与利率期限结构的关系。笔者将首先分析利率期限结构在货币政策传导机制中的重要性,然后建立基准利率与利率期限结构的理论模型,并对现阶段中国基准利率与国债收益率的关系进行实证检验,并对实证结果进行解释。
第三章研究基准利率变动对企业债市场的影响。本部分先说明信用因素在货币政策传导中的重要性,并就基准利率、国债利率期限结构变动与企业债和贷款利率信用溢价的关系进行理论分析,然后对现阶段中国基准利率、国债利率期限结构变动对企业债和贷款利率的关系进行实证检验,并对实证结果进行解释。
第四章探讨基准利率变动对股票市场的影响。本部分首先说明股票市场的资产价格效应对货币政策传导的意义,然后建立基准利率和国债期限结构变动对股票价格影响的理论模型,并对现阶段中国基准利率、国债利率期限结构变动对股票市场的影响进行实证检验,并对实证结果进行解释。
第五章重点研究基准利率与货币市场的关系。由于货币市场是利率政策在金融市场内部传导的首要环节,不同的货币政策工具对货币市场利率的影响机制会存在较大差异,同时在目前人民币面临升值的压力下,央行在外汇市场和国内货币市场利率调控方面存在本外币协调的必要性,所以第五章重点研究央行对货币市场利率的控制力问题,并对中国现阶段央行基准利率与货币市场利率的关系实证检验,并对实证结果进行解释。
第六章为本文的结论。
Since the 1990's, the main developed countries successively turned back to regard the interest rate as the intermediary objective of the monetary policy operation instead of the money supply. Under this operation model, a complete monetary policy transmission mechanism includes two core links: one is that the central bank chooses a base rate as the intermediary objective and changes the base rate level through the monetary policy instrument. The base rate's change will have effect on the financial markets system and give rise to the change of different variables, such as the market rates, the financial assets' prices and the foreign exchange rate etc.; the other is that after these variables change, the effects will act on the real economy via various transmission mechanisms and give rise to the aggregate demand's change and eventually realize the ultimate objective of the monetary policy. So far the research findings have been focused on the second transmission link, while it's relatively less for the first one, which is just the key research point in this paper.
This paper aims at answering one essential question, that is, why in the current developed market economy countries, the central bank is able to have the transmissive effect on all types of financial assets by only adjusting and controlling a short term base rate and eventually realize the objective of the monetary policy? It requires us to go deep into the internal financial markets, study the transmission relation between the base rate and all types of financial markets and make research on the central bank's choice and administration mechanism on the base rate. Therefore, this paper regards the base rate as the main line and makes study on its transmission relation to the Treasury bond market, the corporate bond market, the stock market and the monetary market. It also makes empirical proof-test on the interest rate policy transmissive result in the current stage. On that basis, it concludes the monetary policy transmissive effectiveness via the financial markets. The detailed chapter arrangement is as follows:
In the first chapter, it brings forward the main issues and key conceptions that be studied in this paper; in retrospect to historical works, it discusses the study objectives and approaches.
In the second chapter, it studies the base rate change impacts in the central bank on the interest rate and yield rate in the Treasury bond market. The key research point in this part is the relation between the base rate and the interest rate term structure. It firstly studies the term structure's importance in the monetary policy transmission mechanism, and then it sets up the theoretical model and makes empirical study on the relation between the base rate and the Treasury bond yield rate and in the current stage in China, lastly it explains the empirical study results.
In the third chapter, it studies the base rate's change on the corporate bond market. It firstly the credit factor's importance in the monetary policy transmission, and then it makes theoretical analysis on the relation between the changes of the base rate and the term structure of the Treasury bond rate and the credit premium of the corporate bond and loan rate. Lastly it makes empirical test-proof and explains the study results.
In the fourth chapter, it analyses the impact of the base rate's change on the stock market. It firstly illustrates the significance of the assets' price effect in the stock market to the monetary policy transmission, then it sets up the theoretical model to illustrate the effect of the base rate and the T-bond term structure rate's changes on the stock price. Lastly it makes empirical study and explains the study results.
In the fifth chapter, it mainly analyses relation between the base rate and the monetary market. As the monetary market is the prime link for the interest rate policy to transmit in the internal financial markets, different monetary policy instruments' effect mechanisms on the interest rate will have relatively big differences. In the mean time, under the RMB's appreciation pressure, it's necessary for the central bank to coordinate the RMB and foreign currency and adjust and control the interest rate in the foreign exchange market and the domestic monetary market as well. Therefore, in this chapter it mainly studies the central bank's controlling capacity in the monetary market interest rate and makes empirical study on the relation between the base rate in the central bank and the interest rate in the monetary market, lastly it explains the study results. The six chapter is the conclusion for this paper.
引文
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[2]王媛,管锡展,王勇:《利率的期限结构与经济增长预期》,载《系统工程学报》,2004年2月
[3]谢赤,董华香:《论货币政策对利率期限结构的影响》,载《经济管理》,2005年3月
[4]韩士专:《股权风险溢价历史回顾与未来展望》,载《证券市场导报》,2003年9月
[5]夏斌,廖强:《货币供应量已不宜作为当前我国货币政策的中介目标》,载《经济研究》,2001年3月
[6]吴丹,谢赤:《中国银行间国债利率期限结构的预期理论检验》,载《管理学报》,2005年9月
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