我国利率走廊的构建及国际经验分析

利率走廊是中央银行为了调控货币市场基准利率而设置的政策操作系统,其运行机制是,中央银行通过向商业银行提供存款便利工具和贷款便利工具,同时配合公开市场操作,将货币市场基准利率控制在中央银行政策目标利率附近,从而实现货币政策目标.加拿大中央银行和欧洲中央银行在利率走廊的构建和运行上积累了较为成功的经验,可为我国借鉴.我国中央银行的利率走廊上限应为常备借贷便利利率,下限可以选择超额存款准备金利率,货币市场基准利率为存款类金融机构间债券回购利率(DR),政策目标利率可以选择存款类金融机构间债券隔夜回购利率(DR001).为了使利率走廊充分发挥作用,还需要采取一些配套政策措施.     

加拿大利率走廊调控模式的研究及对我国的启示

目前加拿大取消了法定准备金制度,而且加拿大银行通过设定利率走廊来稳定银行间同业拆借利率,这种调控模式正逐渐取代公开市场操作的位置。利率走廊调控模式不但简化了利率调控的方式,而且提高了刺率调控效果。正基于此,我国货币当局也可以适时地借鉴这种新的利率调控模式,有助于我国央行建立一个效率更高的货币政策调控框架。     

利率走廊的国际经验与我国利率走廊构建研究

利率走廊是20世纪90年代兴起的货币政策实施框架,也是许多国际货币政策转型的主要方向。本文首先回顾了加拿大、欧洲央行和美国等国家利率走廊的实践经验,发现利率走廊和公开市场操作不是替代关系,而是互补关系,中央银行通过结合利率走廊和公开市场操作,可以更好地调控市场利率。对我国的实证研究表明:7天银行间质押式回购利率最适合成为我国利率走廊的操作对象;央行的常备借贷便利利率和超额存款准备金有可能成为未来我国利率走廊的上、下限。模拟分析发现,我国利率走廊仍然存在宽度较大的问题,不利于央行控制市场利率的波动。文章最后提出,我国目前适合建立以公开市场操作为主、利率走廊为辅的货币政策调控框架,并给出了我国利率走廊的构建路径。     

消费金融公司、贷款准备金政策与总需求结构调整

消费金融公司的设立将有利于刺激居民消费,拉动内需。但是,在利率非市场化条件下,这也带来新的货币政策调控问题:中央银行如何对消费金融公司调控来实现政策目标。存款准备金政策对不吸收公众存款而发放无抵押担保的信用贷款的消费金融公司将无用武之地,而以贷款准备金政策(对贷款征收法定准备金)为工具的货币政策调控框架将会大展身手。文章构建了贷款准备金政策调控框架并用以分析其对需求结构的调节效应。     

中央银行利率调控模式的比较分析北大核心SSCI

上个世纪八九十年代以来,西方发达国家中央银行的货币政策框架在从数量型向价格型转变的过程中,形成了公开市场操作和利率走廊两大模式,当前后者逐渐演变为各国央行利率调控的主流模式。本文对国际上中央银行利率市场化调控方式的演进过程进行了梳理,探讨利率走廊机制在世界各国的操作实践,着重分析总结了利率走廊机制自诞生至今运行二十多年来的经验教训,以期对两种市场化利率调控模式进行更为深入的比较分析。     

美联储重启扩表政策背后的深层次问题北大核心CSSCI

2019年10月,美联储开启"不是量宽的扩表政策"。目前,针对美联储为何采取该措施的讨论,主要围绕准备金数量不足、国债和税收缴款、加强流动性监管等导致流动性紧张的直接因素。其实,在提前停止缩表的背景下,扩表不仅凸显联储利率操作框架尚未构建对称利率走廊安排、主要依赖公开市场操作的明显缺陷,更反映其政策操作难以有效兼顾量与价、货币决策独立性面临挑战等其他深层次问题,这对于完善中国公开市场操作与利率走廊相结合的利率操作框架、顺利实现货币价格调控方式转型具有一定的启示意义。     

对我国存款准备金付息制度的分析与探讨

法定准备金和超额准备金都是中央银行货币政策传导机制中的媒介,法定准备金具有强制性质,超额准备金具有数量越少,对中央银行的政策工具的反应则越灵敏,货币政策传导机制的作用则越强的特点,基于这些特点和中央银行不以盈利为目的的经营原则,各国中央银行都以法定制度的形式对商业银行的准备金存款不予付息,使之成为商业银行的一种机会成本,故又被称为"准备金税".     

金融危机前后的美联储货币政策调控方式演变

2008年国际金融危机前后,美联储的货币政策调控方式发生了明显变化.从金融危机之前准备金短缺下的公开市场操作调控转变为金融危机之后准备金充裕下的利率走廊与公开市场操作相结合的调控方式.本文详细分析了危机前后美联储货币政策调控方式的变化情况,这对于理解和预测未来美联储货币政策调控具有重要意义.     

国际存款准备金制度演变及启示

从国际经验看,存款准备金制度主要经历了应付存款支取和防范挤兑、货币政策重要工具及逐渐退出中央银行货币政策调控框架的演变过程。自1984年建立以来,我国不断完善的存款准备金制度以及创新的差别准备金动态调整机制和准备金定向调控模式在促进经济金融发展中起到了重要作用。本文在分析国际存款准备金制度发展实践和我国准备金调控过程的基础上,认为我国应继续坚持准备金制度,不断进行准备金操作模式创新,提高准备金制度管理水平。     

我国市场化利率形成问题研究

利率市场化是从管制利率到重新找寻市场化均衡利率的过程,这一过程既体现为利率定价的市场化和中央银行调控框架的改革,也需要逐渐完善与之相应的经济金融体制.本文以Shibor、贷款基础利率（LPR）、同业存单（NCD）为代表,简述了利率改革的现状,分析了我国利率走廊构建、基准利率培育以及短端利率向中长期利率的传导等问题.最后,从转变经济发展方式、改革财税制度、加强金融市场制度建设等方面提出进一步推进利率改革的相关建议.     

Corridor System and Interest Rates: Volatility and Asymmetry

The corridor system in its current form is believed to reduce the volatility of overnight interest rates and to eliminate any chance of persistent upward or downward bias. The model presented here serves to highlight two main findings: one is that a central bank can further reduce the volatility of overnight interest rates by allowing banks some flexibility to meet their reserve targets within a small range, as observed in the UK data. The second is that a seemingly symmetric corridor may be asymmetric in practice due to several distortions, as the UK and euro area data suggest.     

Interest rate corridors and reserves

This paper evaluates reserves regimes versus interest rate corridors, which have become competing frameworks for monetary policy implementation. Rate corridors, relying on lending and deposit facilities to create ceilings and floors for overnight interest rates, evince mixed results on controlling volatility. Reserve requirements allow period-average smoothing of interest rates but, even if remunerated, are subject to reserve avoidance activities. A system of voluntary, period-average reserve commitments could offer equivalent rate-smoothing advantages. If central banks created symmetric opportunity costs of meeting or falling short of period-average reserve requirements (or commitments), they could achieve flat reserve demand on settlement day.     

Banks’ reserve management,transaction costs,and the timing of Federal Reserve intervention

We use daily data on bank reserves and overnight interest rates to document a striking pattern in the high-frequency behavior of the US market for federal funds: depository institutions tend to hold more reserves during the last few days of each “reserve maintenance period”, when the opportunity cost of holding reserves is typically highest. We then propose and analyze a model of the federal funds market where uncertain liquidity flows and transaction costs induce banks to delay trading and to bid up interest rates at the end of each maintenance period. In this context, the central bank’s interest-rate-smoothing policy causes a high supply of liquid funds to be associated with high interest rates around reserve-settlement days.     

高利率能否捍卫汇率稳定：基于马尔科夫变换的世代交叠模型的分析

按照传统观点,在本国货币遭受投机攻击时,中央银行的典型做法是提高短期利率来捍卫货币和汇率制度。但批评者认为,提高利率会增加经济发展的成本,容易引发信用恐慌和产出减少。通过建立一个基于马尔科夫变换的世代交叠模型可以发现,利率被提的越高,汇率波动率也会随之相应增加。当高利率的货币政策使经济增长放缓甚至衰退,维持汇率稳定的可信度下降时,投机者就会发动对本币的投机攻击。最后在外汇储备耗尽的情况下,中央银行权衡得失后不得不实行浮动汇率制。     

International reserves and global interest rates

In this paper we study the relationship between foreign currency international reserve holdings and global interest rates. To guide empirical work we solve a simple, small open-economy model with money, where the central bank manages international reserves to smooth inflation over time. This model shows that changes in interest rates are positively related to the target level of reserves. As a consequence interest rate hikes increase reserve transfers, defined as the change in international reserves net of the interest earned on reserves. Using quarterly data for 75 countries between 2000 and 2013, we document a positive relationship between interest-rate changes and reserve transfers as a share of GDP, that is consistent with the model.     

Alternative central bank credit policies for liquidity provision in a model of payments

I explore alternative central bank policies for liquidity provision in a model of payments. I use a mechanism design approach so that agents’ incentives to default are explicit and contingent on the credit policy designed. In the first policy, the central bank invests in costly enforcement and charges an interest rate to recover costs. I show that the second-best solution is not distortionary. In the second policy, the central bank requires collateral. If collateral does not bear an opportunity cost, then the solution is first best. Otherwise, the second best is distortionary because collateral serves as a binding credit constraint.     

On the precautionary demand for assets

Precautionary demand models are developed for n assets under assumptions of both fixed and variable transactions costs. Applications of the models are made to all short-run cash needs portfolios as well as to the traditional banking case. Implications of the models are shown for interest rate structure and central bank reserve and secondary reserve controls. Emphasis is put on unsolved problems with the models such as integration with capital asset pricing models and problems with intraperiod timing with the hope of spurring additional research in this rather neglected area.     

中国的利率体系与利率市场化改革

利率对宏观经济均衡和资源配置有重要导向意义。央行确定政策利率要符合经济规律、宏观调控和跨周期设计需要。目前,中国的真实利率略低于经济增速,处于较为合理水平。中国已形成较为完整的市场化利率体系,主要通过货币政策工具调节银行体系流动性,释放政策利率调控信号,在利率走廊的辅助下,引导市场基准利率以政策利率为中枢运行,并通过银行体系传导至贷款利率,调节和优化资源配置,实现货币政策目标。中国具备继续实施正常货币政策的条件,将尽可能地延长正常货币政策的时间,目前不需要实施资产购买操作。在市场化利率体系中,收益率曲线非常重要,它反映利率由短及长的期限结构,可为各类金融产品和市场主体提供定价参考。收益率曲线的短端为货币市场基准利率,直接受央行货币政策操作的影响;长端则为国债收益率,主要反映市场对未来宏观经济走势的预期。经过多年发展,我国的国债收益率曲线应用日益广泛,整体趋于成熟,而在市场基础方面还有进一步提升的空间。     

Inflation targeting,credibility, and non-linear Taylor rules

In this paper we systematically evaluate how central banks respond to deviations from the inflation target. We present a stylized New Keynesian model in which agents' inflation expectations are sensitive to deviations from the inflation target. To (re-) establish credibility, monetary policy under discretion sets higher interest rates today if average inflation exceeded the target in the past. Moreover, the central bank responds non-linearly to past inflation gaps. This is reflected in an additional term in the central bank's instrument rule, which we refer to as the ”credibility loss.” Augmenting a standard Taylor (1993) rule with the latter term, we provide empirical evidence for the interest rate response for a sample of five inflation targeting (IT) economies. We find, first, that past deviations from IT feed back into the reaction function and that this influence is economically meaningful. Deterioration in credibility (ceteris paribus) forces central bankers to undertake larger interest rate steps. Second, we detect an asymmetric reaction to positive and negative credibility losses, with the latter dominating the former.     

Liability and asset uncertainty for banks

Models of bank behavior are developed which incorporate both deposit and loan demand uncertainty. Extensions of the traditional and simple deposit uncertainty model involve the inclusion of required reserves, fixed penalty costs for reserve deficiencies, limits on normal borrowing, and uncertain spot loan demand and use of lines of credit. Results include normal borrowing limits as a new theoretical constraint on bank size and the existence of small fixed costs as a reason for the real world lack of deficient reserves. Policy conclusions include the effects of current reserve accounting and the effects of various interest rate changes.