金融市场化改革政策的跨市场信息传递机制

在金融业分业监管的背景下,我国金融市场化改革政策的发布往往是独立的,少有对信息跨市场传递的影响进行全局性考量。通过构建TVP-VAR模型,对金融市场化改革政策在货币市场、外汇市场、股票市场和债券市场间的跨市场信息传递路径进行识别,结果发现:金融市场各子市场间的跨市场信息传递路径正在向理论机制靠拢,且随着我国金融市场化程度的提高而趋于稳定。这意味着,金融市场的市场化程度与政府机构对其把控力度并不冲突,但须在金融市场化改革政策落地前加强对信息跨市场传递总体影响的评估,避免因政策制定而引发不同子市场间的顺周期波动。

Cross-market Information Transmission of Financial Marketization Reform Policy

In the context of separate supervision on the financial industry,the release of China’s financial marketization reform policies is often independent.As a result,the cross-market transmission of them is always lack of overall consideration.By constructing the TVP-VAR model,this paper identifies the cross-market transmission mechanism of reform policy information on the currency market,foreign exchange market,stock market and bond market.It is found that the mechanism is moving closer to the theoretical way and tends to be stable with the overall improvement of China’s financial marketization.This means that the marketization is not in conflict with the government’s control,but it is necessary to identify the macro-impact before the financial market reform policy is put forward,in case of procyclical fluctuation among different sub-markets.