央行工作论文：货币政策通过银行体系的传导

 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

April8,2016

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 depositand loan pricing bycommercial 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. Ourempirical results indicate that, changes in short-term market rates can influence bank lending rates, but the efficacy of transmission may be only 20%-80%ofthat 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, mostcommercial banks remain reluctant to adopt market-based pricing for depositsand loans. In addition, our empirical study shows that thecap onloan-to-deposit ratio, the high reserve requirementratio, soft budget constraintsand other institutional factors may weaken interest rate transmission. Reforms toimprove the interest rate transmissionshould include the establishing an interest rate corridor, improvingthe treasury bond issuance structure andthe derivatives market, and further developing the CD market and asset securitization.

关键词：利率政策；市场利率；商业银行；传导效果；体制性约束

声明：中国人民银行工作论文发表人民银行系统工作人员的研究成果，以利于开展学术交流与研讨。论文内容仅代表作者个人学术观点，不代表人民银行。如需引用，请注明来源为《中国人民银行工作论文》。

Disclaimer: The Working Paper Series of the People's Bank of China (PBC) publishes research reports written by staff members of the PBC, in order to facilitate scholarly exchanges. The views of these reports are those of the authors and do not represent the PBC.  For any quotations from these reports, please state that the source is PBC working paper