政策利率传导机制的理论模型-中国金融论坛.pdfVIP

中国人民银行工作论文 No.2014/1 PBC Working Paper No.2014/1 2014 年 10月 24日 October 24,2014 政策利率传导机制的理论模型 马 骏 王红林1 摘要： 本文通过建立一个利率市场化后政策利率传导的理论模型，分析在新的货币政策框架下， 央行的政策利率如何影响各种市场利率（债券收益率和银行存贷款利率）。模型揭示了利率市场 化后政策利率传导的机理：商业银行和厂商在利润最大化（或融资成本最小化）、居民在投资回 报最大化的驱动下，在各个金融市场之间的资产负债最优化配置行为。本文还利用理论模型分析 了存款准备金率、贷存比、对贷款的数量限制、债券发行和交易成本高、债券发行限额、债券市 场流动性不足、企业预算软约束和银行资产证券化等因素对政策利率传导方向与效率的影响。结 果显示，存款准备金率、贷存比、对贷款的数量限制、企业预算软约束和债券市场流动性不足都 会不同程度地弱化政策利率对银行存贷利率的传导效率，而债券发行与交易成本提高和发行限额 虽然会使得市场利率对政策利率更为敏感，但因此导致的债券市场规模变小可能会削弱货币政策 对实体经济的影响。 Abstract: We construct a general equilibrium model to illustrate the transmission mechanism of the central bank policy rate after interest rate deregulation. Specially, we focus on how changes of the central bank policy rate could impact other interest rates, including bond yields as well as bank deposit and lending rates. The benchmark model reveals the drivers of the transmission: various economic agents (commercial banks, households, and firms) maximize their profits or minimize their funding costs through optimizing asset allocations in different financial markets when facing policy shocks from the central bank. More importantly, the benchmark model is extended to analyze the impact of various policy restrictions and market frictions (such as the reserve requirement ratio, loan-to-deposit ratio, quantitative restrictions on lending, high issuance and trading costs in the bond market, lack of bond market liquidity, firms’ soft budget constraint, and loan securitization) on interest rate transmission. We find that a high reserve requirement ratio, the existence of the loan-to-deposit ratio, quantitative restrictions on lending, firms’ soft budget constraint and bond market illiquidity may weaken policy