The Decline in the Natural Rate of Interest

With the Federal Reserve widely expected to begin normalization of monetary policy in the wake of the Great Recession—perhaps in 2015—an important question for public policy and private-sector planning is what the “new normal” for interest rates is likely to be. In particular, are real interest rates likely to be lower in the future than in recent decades? An investigation through the use of the Kalman filter shows that the natural rate of interest—the real federal funds rate consistent with the economy operating at its full potential—has declined since 1980, especially after the Great Recession. This will have important implications for monetary policy and for the private sector, including recognition that the natural rate of interest is not fixed.     

利率冲击对天然橡胶与合成橡胶价格影响分析

利用中国银行间市场的同业拆借、债券质押回购利率和天然橡胶、合成橡胶价格的数据,分析了利率变动对商品价格的影响.研究发现:名义利率与天然橡胶期现货价格以及合成橡胶现货价格呈正相关,而实际利率与这些变量的关系则是负相关,与Frankel(弗兰克,2006;2008)的结论一致;名义利率、实际利率与各类价格均存在协整关系,实际利率对合成橡胶现货价格具有预测力;名义利率冲击对天然橡胶价格的影响相对大一些,而实际利率对合成橡胶价格冲击更大,第一季度冲击的影响更为持久.     

Measuring the Impact of Reserve Requirement Changes Using Interest Rate Spreads: Evidence from Costa Rica

Researchers have proposed several different theories regarding the effects of reserve requirement changes. One theory suggests that reserve requirements represent a tax on financial institutions. This theory is usually tested by examining stock price responses to announced reserve requirement changes. Reliable, historical stock price information for Costa Rica firms is generally not publicly available. In this paper, the spread between deposit rates and loan rates is used as a proxy for firm profitability. The results indicate a complex response to reserve requirement changes that is dependent on bank classification.     

"利率通道"调控模式对我国利率市场化改革的启示

金融自由化理论的发展对各国金融改革提供了理论支持,我国正在进行的利率市场化改革,迫切需要构建适合实际和发展需要的利率调控模式,所以必须了解“利率通道”调控模式的运行机制,运用实证数据对“利率通道”调控模式进行模拟分析,从而建立以“利率通道”调控为主、公开市场操作调控为辅的利率调控模式作为我国利率市场化改革的选择。     

论中国利率市场化进程与利率期货的推出

中国利率市场化的进程正在有步骤地加速推进,利率的市场化必然带来利率波动幅度的加大,如果没有有效的利率风险管理工具作为配套机制,必然会影响利率市场化的顺利进展,也影响到整个金融市场应有作用的发挥.发达国家的经验表明,利率市场化要求利率期货作为利率风险管理的机制予以配合,因此,在推进中国利率市场化的进程中应研究推出利率期货交易的问题.利率期货的最主要承载体是国债期货.根据中国目前利率市场化进展的实际情况,从各类经济实体已经或可能面临的利率风险看,对国债期货的需求日渐强烈.本文的主旨是,在论述中国利率市场化进程中,分析各类经济实体所面临的各种利率风险,以及国债期货对于这一风险管理所起的应有作用,从而得出应当推出国债期货的结论.     

利率杠杆的选择及人民币利率下调的论证

随着财政政策效力的减弱,在继续实施积极的财政政策的同时,应让货币政策发挥积极的作用,以保持适当较快的贷币供应增长,满足宏观经济增长的需要。连续七次降息,政策效果明显。当前有效需求不足、经济增长趋缓、储蓄存款增长、债券利率下降、国际利率降息浪潮及较低的通货膨胀率等现实的存在,都说明人民币利率再次下调有其客观性。     

关于我国利率市场化若干问题的研究

实行利率市场化有利于增强我国银行对外资银行的竞争力,是我国金融体制改革的必然选择。研究利率市场化对我国宏观投资效益、存贷款先后次序安排及汇率的效应分析,有利于改进资金使用的宏观效益。我国是发展中国家,金融市场发育尚不完善,应选择渐近式实施利率市场化进程为宜。     

论我国利率市场化

本文首先对我国的利率市场化作定性描述,指出我国目前存在管制利率、市场利率和灰色利率三种利率,然后采用实证研究的方法,运用TSP辅助软件包,对我国利率的市场化程度进行分析,指出储蓄和投资对利率的无弹性;进而分析原因,逆向概括出我国利率市场化的五个条件:金融深化和金融资产高度、居民消费市场化、建立现代企业制度、信用制度硬化、政府管理利率职能的转化。     

Interest Rate Dynamics and Consistent Forward Rate Curves

We consider as given an arbitrage‐free interest rate model M, and a parametrized family of forward rate curves G. We study the question as to when the given family G is consistent with the dynamics of the interest rate model M, in the sense that M actually will produce forward rate curves belonging to G. We allow the interest rate model to be driven by a multidimensional Wiener process, as well as by a marked point process, and we give necessary and sufficient conditions for consistency. As test cases, we study some popular models, obtaining both positive and negative results about consistency. We also introduce a natural exponential‐polynomial family of forward rate curves, and for this family we give necessary and sufficient conditions for the existence of consistent interest rate models with deterministic volatility functions.     

常备借贷便利与逆回购操作对货币市场利率的影响

本文基于我国平均法定准备金制度,从理论模型和实证结果上分析了常备借贷便利与央行逆回购操作对货币市场利率的影响.研究发现:(1)由不同期限,按其投放数量作为权重得出的逆回购加权利率的上升,会对货币市场利率产生正效应的影响;(2)银行局部流动性水平与开展逆回购操作概率的变化,使常备借贷便利与逆回购加权利率的调整对货币市场利率的影响具有时变特征;(3)逆回购加权利率对货币市场利率的影响在50％左右,常备借贷便利的影响弱于逆回购,但随着常备借贷便利申请数量的上升,其影响不断增强;(4)与银行间质押式回购加权利率和上海银行间同业拆放利率相比,隔夜存款类机构质押式回购加权利率对货币政策的传导最顺畅,因此可作为央行利率操作目标.     

Interest Rate Raised as Expected

The People's Bank of China (PBOC),the central bank, announced on April 5th that it would raise bank's benchmark one-year deposit and lending rates by 0.25 percentage points effective April 6th;rates of other borrowing and lending would also be adjusted accordingly. This was the fourth adjustment by the PBOC since last October and hereafter one-year deposit rate was raised to 3.25 percent and one-year lending rate to 6.31 percent. The rate rise was announced at a time expected by the market. Experts say t...     

我国利率市场化的进程分析

利率市场化改革宜采取渐进推进的方式,改革利率结构,完整浮动利率制并逐步放开利率,建立以中央银行基准利率为中心的健全规范的利率传导机制,完善拆借利率和国债利率作为中央银行确定基准利率参考指标的作用。     

On the Characterisation of the World Real Interest Rate

This paper characterises the world real interest rate as a common trend in real interest rates in Germany, Japan, and the United States even if there is scepticism in the existence of the world real interest. In theoretical terms, real interest parity is based on the presumed validity of uncovered interest parity and purchasing power parity, but the empirical evidence of these parity conditions is not strong and thus the presence of the world real interest rate. The significance of this paper is, therefore, to visualise the current level of international economic integration by characterising the approximate world real interest rate as a single common trend, taking full advantage of the fact that real interest rates in three large open economies have been moving together sharing a common component even if their levels are distinctively different. This single common trend has desirable properties as the world real interest rate. First, it is a parsimonious and monotonically increasing function of the real interest rates in three large open economies that can be world price or interest rate maker, in contrast with small open economies. Second, it is moving together with national real interest rates one for one. Hence, the deviations from the world rate are temporary because common trend represents the common driving force of national rates over the long run period. Third, it can explain as high a proportion as possible of the variances of national rates.     

对我国低利率政策无效性的探讨

近几年来，我国实行的低利率货币政策不但没有有效地刺激消费、扩大企业投资，使宏观经济摆脱通货紧缩的困境，反而呈现“流动性陷阱”的迹象。分析低利率政策在我国宏观经济调控中没有取得预期作用的原因，利率杠杆没有起到预期作用。要提高我国利率政策的有效性应继续推进经济体制改革，提高居民消费预期和发展货币市场与资本市场，完善货币政策的传导机制。     

The Market Model of Interest Rate Dynamics

A class of term structure models with volatility of lognormal type is analyzed in the general HJM framework. The corresponding market forward rates do not explode, and are positive and mean reverting. Pricing of caps and floors is consistent with the Black formulas used in the market. Swaptions are priced with closed formulas that reduce (with an extra assumption) to exactly the Black swaption formulas when yield and volatility are flat. A two–factor version of the model is calibrated to the U.K. market price of caps and swaptions and to the historically estimated correlation between the forward rates.     

人民币利率市场化对银行息差管理影响的机理分析

人民币利率市场化是我国金融市场化过程中的重要环节,机遇与挑战并存。随着人民币利率市场化,我国银行系统也将承受起相应的风险。文章以人民币利率市场化为研究大背景,介绍了人民币利率市场化的进程;利用息差的计算公式总结了银行息差的影响因素,分别为银行资产收益率、资产负债率、银行负债成本率,并对银行息差问题提出应对措施。     

Interest Rate Option Pricing With Poisson-Gaussian Forward Rate Curve Processes

We study a continuous trading bond model where the associated forward rate curve follows a multidimensional Poisson-Gaussian process. the bond market is complete, and the unique arbitrage-free interest rate call option price is explicitly derived.