货币政策通过银行体系传导.PDFVIP

中国人民银行工作论文 No.2016/4 PBC Working Paper No.2016/4 2016 年4 月8 日 April 8,2016 货币政策通过银行体系的传导 纪 敏 张 翔 牛慕鸿 马 骏1 摘要：本文首先定性分析了我国商业银行存贷款利率定价的机制和面临的问题，然后用实证 方法检验了短期利率对商业银行贷款利率的传导效果，以及各种体制性因素对利率传导效果 的制约。本文的主要实证结果是，我国短期市场利率能在一定程度上传导至贷款利率，但传 导效率可能只有美国的20%-80%。原因之一是，由于历史上短期利率波动过大、国债收益率 的基准性有限、缺乏利率对冲工具、资产负债的市场化程度较低等原因，多数商业银行仍然 不愿意采用市场利率作为人民币存贷款产品定价的基础。另外，我们的实证研究表明，历史 上贷存比上限、高存款准备金率、软预算约束等体制性因素对银行利率传导的阻碍作用也在 统计上是显著的。为了改善市场利率通过银行的传导，应该针对上述制约传导效果的体制因 素进行改革，并通过建立利率走廊、改善国债发行结构和衍生工具市场、鼓励发行大额存单 和资产证券化等手段来提高银行负债与资产的市场化程度。 Abstract: This paper analyzes the mechanism and problems of deposit and loan pricing by commercial banks in China, tests the effectiveness of transmission of short-term market rates to lending rates, and identifies the institutional factors that weaken interest rate transmission. Our empirical results indicate that, changes in short-term market rates can influence bank lending rates, but the efficacy of transmission may be only 20%-80% of that in the US. One reason is that, due to the high volatility of short-term rates, under-development of interest rate hedging instruments, as well as the low proportion of wholesale funding and traded assets on banks ’ balance sheet, most commercial banks remain reluctant to adopt market-based pricing for deposits and loans. In addition, our empirical study shows that the cap on loan-to-deposit ratio, the high reserve requirement ratio, soft budget constraints and other institutional factors may weaken interest rate transmission. Reforms to improve the interest rate transmission should include the establishing an interest rate corridor, improving the treasury bond issuance structure and the derivatives market, and fu