关于货币政策长期利率目标制研究

央行直接调节长期利率是救助此次国际金融危机的重要手段。文章综合实务界和理论界观点,分析常规货币政策框架和非常规货币政策框架下,中央银行调节长期利率的不同机制和效果;在此基础上,对央行能否将长期利率调节作为常规货币政策工具的相关研究进展进行综述和评析。     

Forecast rationality and monetary policy frameworks: Evidence from UK interest rate forecasts

We find evidence of heterogeneity and irrationality among professional forecasts for three-month inter-bank rates and ten-year gilt yields at both short and long forecast horizons over the period 1989-2006. The majority of biased forecasts overestimate the future spot rate, consistent with slow adjustment to the declining trend in inflation and interest rates. Furthermore, we produce evidence indicating that both monetary policy actions and elements of communication policy have information content regarding the rationality of forecasts. Changes in official bank rates and disagreement among the Monetary Policy Committee influence the rationality of forecasts. The publication of inflation reports has no effect.     

基于利率途径的货币政策传导效果实证研究

本文选取1998年第一季度-2007年第二季度的数据,运用Johansen协整检验、格兰杰因果检验、向量自回归模型(VAR)、脉冲响应函数和方差分解等多种计量方法,对我国利率途径的货币政策传导机制进行实证分析,研究结果表明,我国利率途径不通畅而不能充分发挥其传导作用,而货币供给量却表现出相对显著的传导效果。本文在此基础上揭示我国应重视对利率传导渠道的完善,并提出应进一步推进利率市场化、企业与金融机构改革、微观主体对利率的敏感性改革的相关政策建议。     

货币政策透明度的新领域:政策路径的信息沟通

政策路径的信息沟通是货币政策透明度研究的一个新领域。目前绝大多数央行只公布当前的政策利率,对未来政策利率走势的预测很少提及。本文分析央行政策路径构建的基础和沟通方式,通过比较各国央行在政策路径沟通实践上的差异,探寻制约央行公布政策路径的原因。     

Innovation in monetary policy: Challenge and response

This paper presents some relatively non-technical thoughts on the changing rôle of money under the pressure of declining transactions costs and the innovations in monetary policy-making it induces or requires. In the first part, recent British experience is interpreted as a serious warning about the special rôle of money among financial assets under present-day circumstances and the high cost of disregarding it. While this may please the ‘monetarists’, the remainder of the paper argues, as a counterpoint, that this may not remain so forever. In particular, as argued in the second part, the evolution of the Eurodollar market suggests that the rôle of bank money and the significance of the money multiplier are declining. The third part visualizes the outlines of an economy in which the decline in transactions costs has made money stocks generally obsolete.     

Estimating monetary policy effects when interest rates are close to zero

Using a nonlinear structural VAR approach, we estimate the effects of exogenous monetary policy shocks in the presence of a zero lower bound constraint on nominal interest rates and examine the impact of such a constraint on the effectiveness of counter-cyclical monetary policies based on the data from Japan. We find that when interest rates are at zero, the output effect of exogenous shocks to monetary policy is cut in half if the central bank continues to target the interest rate. The conditional impulse response functions allow us to isolate the effect of monetary policy shocks operating through the interest rate channel when other possible channels of monetary transmission are present.     

对恢复我国利率期货的再认识

我在《中国金融电脑，2005年第2期《自由论坛》栏目中就恢复期货交易谈了个人的看法(详见《恢复国债期货势在必行》一)。后来，又阅读了一些新的关资料，回过头来重新审视自己的看法，感觉有些问题阐述得不够全面或深入，故借贵刊的《编读往来》栏目予以补充。     

Banking and interest rates in monetary policy analysis: A quantitative exploration

The paper reconsiders the role of money and banking in monetary policy analysis by including a banking sector and money in an optimizing model otherwise of a standard type. The model is implemented quantitatively, with a calibration based on US data. It is reasonably successful in providing an endogenous explanation for substantial steady-state differentials between the interbank policy rate and (i) the collateralized loan rate, (ii) the uncollateralized loan rate, (iii) the T-bill rate, (iv) the net marginal product of capital, and (v) a pure intertemporal rate. We find a differential of over 3% p.a. between (iii) and (iv), thereby contributing to resolution of the equity premium puzzle. Dynamic impulse response functions imply pro- or counter-cyclical movements in an external finance premium that can be of quantitative significance. In addition, they suggest that a central bank that fails to recognize the distinction between interbank and other short rates could miss its appropriate settings by as much as 4% p.a. Also, shocks to banking productivity or collateral effectiveness call for large responses in the policy rate.     

The high-frequency response of exchange rates to monetary policy actions and statements

This paper investigates the impact of US monetary policy on the level and volatility of exchange rates using an event study with intraday data for five currencies (the US dollar exchange rate versus the euro, the Canadian dollar, the British pound, the Swiss franc, and the Japanese yen). I construct two indicators of news about monetary policy stemming separately from policy decisions and from balance of risk statements. Estimation results show that both policy decisions and communication have economically large and highly significant effects on the exchange rates, with the surprise component of statements accounting for most of the explainable variation in exchange rate returns in response to monetary policy. This paper also shows that exchange rates tend to absorb FOMC monetary surprises within 30-40 min from the announcement release.     

New measures of monetary policy surprises and jumps in interest rates

We propose new surprise measures to characterise two important dimensions of monetary policy. Our measures outperform the traditional monetary shocks in explaining variation of interest rates in the event-study framework. We also study the extent to which the ECB caused jumps in euro area interest rates. The new surprises still prevail upon the traditional ones. Jumps play a great role in the variation of interest rates and the ECB induced several jumps with its decisions, but its predictability has improved over time. We find that, although the surprise measures become somewhat distorted due to money market tensions during the financial turmoil, our model still provides an interesting insight into interest rate behaviour throughout the crisis.     

Money supply announcements and interest rates: Does monetary policy matter?

Most current explanations of the effect of money supply announcements on the rate of interest center on central bank policy. This paper analyzes a flexible price macroeconomic model where present and future monetary policy have no influence on either interest rates or real output, but monetary data signal information about real economic activity which influences both short- and long-term real rates of interest. The magnitude of the interest rate response is shown to depend on the difference in the income elasticities of currency and deposit demand and the relative size of monetary and real disturbances to the economy.     

利率市场化条件下商业银行经营环境变化及战略选择

利率市场化会深刻改变利率体系和金融市场环境,对我国银行业经营发展产生重大影响。文章基于利率市场化环境下商业银行经营战略转型的视角,评述我国继续推进利率市场化的方向,探讨利率市场化改革对利率体系与商业银行经营环境带来的影响,并提出商业银行推进经营发展转型的相关建议。     

The dynamic adjustment path for perfectly foreseen changes in monetary policy

This paper investigates the real effects of announced or perfectly foreseen changes in monetary policy produced by the Mundell-Tobin effect. A particularly good place to study these non-neutralities appears to be the period between announcement and implementation of new policies. At announcement the economy jumps to a new equilibrium path moving continuously even after implementation. All transition paths between announcement and implementation are established to be scalar multiples of each other. The path depends upon the structure of the economy and the discounted present value of the change in policy. Both algebraic and diagrammatical analyses are presented.     

Market structure and microstructure, in international interest rate futures markets

We examine the role of market structure in identifying microstructure features of the NYSE.Euronext-LIFFE STIR futures market by comparing the ability of two bid-ask spread component models to explain bid-ask spreads. These two models differ only in their assumptions about whether or not market makers are present. The period we analyze includes data from pit-based trading alongside electronic market data. We explore how market structure affects the way private information influences bid-ask spreads and return volatility. A second part of our study employs intraday correlation to investigate these links in greater depth, while a third part looks at how private information and trading noise contribute to price evolution.     

利率的内生性、外生性：辩证关系及政策含义

利率具有二重属性－内在性和外在性，其内生性须从真实经济的层面予以考察，其外生性可从相关的政策因素考察，利率二重性之间具有辩证统一关系，但并不是均等的分布同一利率体中，在货币政策初中和利率体制改革中，即应尊重利率的内生性，也应尊重利率的外生性。     

Australian and US interest rate swap markets: comparison and linkages

We investigate and compare the determinants of US and Australian interest rate swap spreads and the linkages between these markets. The slope of the risk‐free term structure is the most significant determinant and its importance is greater for longer terms to maturity. Interest rate levels and, in Australia, the default premium also have some impact. The influences of interest rate volatility, the liquidity premium and (in the USA) the default premium are small or negligible. We hypothesise, and our evidence confirms, that the US swap market significantly affects the Australian swap market but not vice‐versa.     

International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore

This paper investigates the responses of market interest rates to US monetary policy announcements for the US and two emerging economies, Hong Kong and Singapore which are similar on many respects but have experienced opposite exchange rate regimes in the last twenty years. Our results, based on market expectations extracted from federal fund futures rates, document that FOMC announcements significantly affect the term structure of interest rate in the US and both Asian countries. Further, international interest rate differentials around FOMC meeting dates tend to be negative for short maturities with the impact gradually dissipating as bond maturity increases. Finally, for the case of Singapore, we find that domestic interest rates react to both external and domestic monetary policy announcements with a magnitude that is larger over the full bond maturity spectrum for domestic announcements. These results are robust to time-varying futures risk premia and alternative measures of interest rates expectations.