利率市场化改革与货币政策银行利率传导

现代货币政策框架的内涵之一是畅通的货币政策传导机制。在货币政策对银行利率的传导中,政策利率尤其是再融资工具利率能够通过市场利率向贷款利率和存款利率顺畅传导。本文构造了一个多部门局部均衡模型,刻画利率市场化程度的时变特征,从理论上讨论利率市场化程度与货币政策银行利率传导之间的内生关系,两者共同决定了利率市场化改革的成效。基于时变因子扩展向量自回归模型,本文进一步验证了理论分析的结论。研究发现:(1)利率市场化改革具有阶段性波动特征,利率市场化程度不是一直上升的,改革可能会曲折迂回。(2)利率市场化改革具有动态政策效应,多种改革政策共同推动渐进的利率市场化,但从货币政策银行利率传导的有效性进行考察,利率市场化改革仍然存在进一步推进的空间。因此,有必要完善贷款市场报价利率的形成、传导与调控机制,理顺不同利率之间的联动关系,疏通货币政策对银行利率的传导,充分发挥利率市场化改革的潜力。

Liberalization Reform,Interest Rates,and Monetary Policy

On October 29, 2020, the Fifth Plenary Session of the 19th CPC Central Committee adopted the Outline of the 14th Five-Year Plan (2021-2025) for National Economic and Social Development and the Long-Range Objectives Through the Year 2035, which clearly indicated the need to improve the market-based mechanism for setting and transmitting interest rates. After more than 20 years of interest rate liberalization reform, which has included increasing links between deposit interest rates, loan interest rates, market interest rates, and policy interest rates, China's monetary policy framework now has a unique and extremely important transmission channel for bank interest rates. There are two important issues to clarify in the discussion of the traditional interest rate transmission channel. First, it is necessary to recognize that monetary policy is directly related to bank interest rates. Second, various factors may create friction that blocks or interrupts the transmission from short-term nominal to real interest rates. Interest rate liberalization plays an important role in the allocation of financial resources if it allows central bank's policy interest rates to be smoothly transmitted to loan interest and deposit interest rates through market interest rate. In the context of China's continuing interest rate liberalization reforms, this study treats the adoption of the monetary policy on bank interest rate transmission as a turning point, and comprehensively investigates the effects of two aspects of interest rate liberalization reform: the degree of interest rate liberalization and the monetary policy price rule.This study constructs a partial equilibrium model that includes residents, manufacturers, and commercial banks to describe the time-varying characteristics of the degree of interest rate liberalization, and then discusses the endogenous relationship between the degree of interest rate liberalization and the transmission of monetary policy to bank interest rates. Both of these factors determine the efficiency of interest rate liberalization reform. Using the TVP-FAVAR model, this study then verifies the conclusion of the theoretical analysis. The data are from the China Financial Statistics Yearbooks, China Economic Network Statistical database, Wind, and Bankscope (renamed Moody's Analytics BankFocus). Public bank annual reports are used to supplement the databases. This study offers two main conclusions. (1) China's interest rate liberalization reform is characterized by periodic fluctuations, and the progress of interest rate liberalization is not linear. (2) The interest rate liberalization reform has a dynamic policy effect. Various reform policies increase the degree of interest rate liberalization, which in turn makes the transmission of monetary policy to bank interest rates smoother. However, the policy effects are not always marginally incremental.The effect of the monetary policy price rule on interest rate liberalization reform could be strengthened, and the launch of the LPR formation mechanism reform in 2019 is a good opportunity. Therefore, this study suggests that there is a need to further improve the LPR formation, transmission, and regulation mechanism, improve the Funds Transfer Pricing mechanism so that bank interest rates meet market demand, encourage representative financial institutions to participate in the LPR, regulate the development of shadow banking businesses, exercise prudential supervision based on categories, ensure the effective transmission of monetary policy to bank interest rates, and strengthen the effects of interest rate liberalization reform.The main contributions of this study are as follows. (1) Drawing on Ma and Wang (2014), this study considers the factors that create frictions between deposit interest rates, loan interest rates, market interest rates, and policy interest rates. The study also creates an index of the degree of interest rate liberalization based on time-varying characteristics and explores the endogenous relationship between the time-varying degrees of interest rate liberalization and the transmission of monetary policy to bank interest rates. The findings show that an objective and comprehensive evaluation of the effect of interest rate liberalization must consider both the degree of interest rate liberalization and the effectiveness of the monetary policy price rule. (2) Drawing on Liu et al. (2018), this study estimates the degree of interest rate liberalization and its time-varying characteristics. Through the time point impulse response function, the lead time impulse response function, and the time-varying forecast variance decomposition, this study explores how to promote the reform by enhancing the effectiveness of the price rule at the macro level.The deregulation of interest rates in China should not be the full extent of interest rate liberalization. It is necessary to continue interest rate liberalization reforms.Future research should explore the role of shadow banking and digital currency in the process of unifying the dual-track interest rates into one track.