利率市场化及其传导效率的时变效应——基于DSGE和SV-TVP-VAR模型的分析

文章首先构建新凯恩斯DSGE模型从理论上模拟了我国政策利率传导的基准效应,然后构建SV-TVP-VAR模型实证研究了利率市场化进程中传导的时变效应并根据基准效应计算了传导效率。DSGE理论模拟结果显示,在理想的情况下政策利率可以传导至产出、价格、消费、投资等变量以及影响劳动力市场和工资水平,同时理想的政策利率传导没有时滞效应。从持续期来看,政策利率冲击对产出、价格、消费、投资、劳动力需求等变量的调控效果在中长期趋于收敛,但对工资的影响并没有表现出收敛趋势。基于SV-TVP-VAR模型的实证结果表明,我国政策利率对产出、通货膨胀率、消费、投资变量均产生了良好的逆周期调控效果,对通货膨胀率、消费和投资的调控存在一定的时滞效应。综合两个模型结果的进一步分析表明,随着利率市场化的推进,政策利率对产出、通货膨胀率、消费、投资的传导效率不断提升,1996-2019年对四个变量的传导效率分别由43%、27%、18%、52%上升至86%、36%、54%、95%。文章推断,所有制差异和利率双轨制可能是现阶段制约传导效率提升的两大问题,应以破解利率双轨制逐步取消存贷款基准利率为抓手推进利率市场化,形成政策利率向市场基准利率再到货币市场、债券市场、信贷市场利率的联动传导机制,同时通过国有企业改革打破预算软约束,弱化信贷方面隐性担保的体制优势,使得所有市场主体真正对利率变动敏感,政策调控可以更加顺畅地传导至实体经济。文章的边际贡献在于综合理论模拟和实证研究为利率传导效率和利率市场化分析提供了一个新的思路。

Time-varying Effect of Transmission Efficiencyin Interest Rate Marketization: Research Based on DSGE and SV-TVP-VAR Model

This paper first constructs the new Keynesian DSGE model to simulate the benchmark effect of policy interest rate transmission in China theoretically, and then constructs the SV-TVP-VAR model to study the time-varying effect of interest rate marketization and calculate the conduction efficiency according to the benchmark effect. DSGE theoretical simulation results show that, ideally, policy interest rates can be transmitted to variables such as output, price, consumption, investment, and influence labor market and wage levels, while ideal policy interest rate transmission has no delay effect. From the perspective of duration, the effect of policy interest rate impact on output, price, consumption, investment, labor demand and other variables tends to converge in the medium and long term, but the impact on wages does not show a convergence trend. Based on the empirical results of the SV-TVP-VAR model, the policy interest rate in China has a good effect on the output, inflation rate, consumption and investment variables, and there is a certain delay effect on the regulation of inflation rate, consumption and investment. Further analysis of the results of the two models shows that with the promotion of interest rate marketization, the transmission efficiency of policy interest rate to output, inflation rate, consumption and investment is increasing, and the transmission efficiency of the four variables from 43%,27%,18%,52% to 86%,36%,54%,95% in 1996-2019. This paper infers that ownership difference and interest rate dual track system may be two major problems restricting the improvement of transmission efficiency at the present stage. At the same time through the reform of state-owned enterprises to break the budget soft constraints. First, we should rely on the reform of interest rate marketization to straighten out the chain of interest rate transmission, and its overall direction should be to gradually cancel the two-track system of interest rate and the benchmark interest rate of deposit and loan, and to realize the parallel track of interest rate. After the completion of the market-oriented interest rate formation mechanism, the overall interest rate system should only anchor the market benchmark interest rate. The central bank influences the market benchmark interest rate through the policy interest rate. At the micro level, on the one hand, we should perfect the construction of multi-level capital market, perfect the financial system and supervision mechanism, popularize financial knowledge to the public, and increase the channels of maintaining and increasing the value of residents'assets. On the other hand, it is necessary to improve the internal capital pricing and management ability of commercial banks, speed up the improvement or construction of FTP systems, enhance the scientific nature and timeliness of FTP, strengthen management, and improve the performance appraisal system for grass-roots units. Improve the business ability of grass-roots salespeople. Second, it is necessary to break through the single thinking of financial reform and strengthen the reform of the fiscal and taxation system and the reform of state-owned enterprises. It is necessary to break the soft budget constraints of local governments and state-owned enterprise departments, weaken the institutional advantages of implicit guarantee in credit, make all market subjects really sensitive to interest rate changes, and monetary policy can be transmitted more smoothly to the real economy. Among them, the local government should straighten out the matching mechanism of the local government's financial power, optimize the tax distribution mechanism, reduce the financial constraints faced by the development government, weaken the investment impulse, and reduce the rigid demand for funds. In the aspect of state-owned enterprises, we should break down the malady of "no distinction between government and enterprise", keep the competition neutral, make the state-owned enterprises really participate in the competition as the main body of the market, and enhance the sensitivity to the change of interest rate. The marginal contribution of this paper is that comprehensive theoretical simulation and empirical research provide a new idea for interest rate transmission efficiency and interest rate marketization analysis.