利率市场化进程中我国货币政策传导动态变化研究.docVIP

利率市场化进程中我国货币政策传导动态变化研究 　　摘要 ： 　　我国由于利率市场化进程中存在双轨制利率，使得货币政策利率传导具有市场化利率渠道和管制利率渠道两条途径。将2007年央行正式推出Shibor作为分界点，把利率市场化进程划分为利率市场化初期和深化期两个阶段，运用VAR模型，分别对两阶段中的利率渠道和信贷渠道进行格兰杰因果检验和脉冲响应函数分析，得出各渠道传导的有效性及其在两阶段中的动态变化。结果表明：管制利率渠道有效性强于市场化利率渠道;从对物价的影响上看，利率渠道较信贷渠道发挥着更重要作用;深化期较初期管制利率渠道有效性明显增强，市场化利率渠道有效性有所提高，信贷渠道有效性有所减弱。 　　关键词：货币政策;市场化利率渠道;管制利率渠道;信贷渠道;向量自回归模型; 　　中图分类号：F830.9文献标志码：A文章编号：1671-1254（2014）06-0064-08 　　Research on the Dynamic Change of China’s Monetary Policy 　　Transmission in the Process of Interest Rate Marketization 　　LIU Feng1，ZOU Ping1，2，FAN Qiqiang1，CAI Jia1 　　（1.Faculty of Management and Economics，Kunming University of Science and Technology，Kunming 650093，Yunnan，China; 　　2.Department of Education of Yunnan Province，Kunming 650023，Yunnan，China） 　　Abstract：As the two-track interest rate exists in the process of interest rate marketization，there are two channels （market-oriented interest rate channel and regulated interest rate channel） in the interest rate transmission mechanism of monetary policy.In this paper，the process of interest rate marketization is divided into two periods：initial period and deepening period，take the event that central bank officially launched the Shibor in 2007 as the demarcation point，use the VAR model to Granger causality test and impulse response function analysis the interest rate channel and credit channels in the two periods，then obtain the effectiveness of each channel transmission and its dynamic changes in two periods.The results show：the effectiveness of regulated interest rate channel is stronger than market-oriented interest rate channel;from the point of view the impact on price，the interest rate channel plays a more important role than the credit channel.Compared the deepening period with the initial period，the effectiveness of regulated interest rate channel is significantly enhanced，the effectiveness of market-oriented interest rate channel is increased，and the effectiveness of credit channel is reduced. 　　Keywords：m