央行工作論文：貨幣政策通過銀行體系的傳導

 中國人民銀行工作論文No.2016/4

PBC Working Paper  No.2016/4

2016年4月8日

April8,2016

貨幣政策通過銀行體系的傳導

紀敏張翔牛慕鴻馬駿1

摘要：本文首先定性分析了我國商業銀行存貸款利率定價的機制和面臨的問題，然後用實證方法檢驗了短期利率對商業銀行貸款利率的傳導效果，以及各種體制性因素對利率傳導效果的制約。本文的主要實證結果是，我國短期市場利率能在一定程度上傳導至貸款利率，但傳導效率可能只有美國的20%-80%。原因之一是，由於歷史上短期利率波動過大、國債收益率的基准性有限、缺乏利率對沖工具、資產負債的市場化程度較低等原因，多數商業銀行仍然不願意采用市場利率作為人民幣存貸款產品定價的基礎。另外，我們的實證研究表明，歷史上貸存比上限、高存款准備金率、軟預算約束等體制性因素對銀行利率傳導的阻礙作用也在統計上是顯著的。為了改善市場利率通過銀行的傳導，應該針對上述制約傳導效果的體制因素進行改革，並通過建立利率走廊、改善國債發行結構和衍生工具市場、鼓勵發行大額存單和資產證券化等手段來提高銀行負債與資產的市場化程度。

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.

關鍵詞：利率政策；市場利率；商業銀行；傳導效果；體制性約束

聲明：中國人民銀行工作論文發表人民銀行系統工作人員的研究成果，以利於開展學術交流與研討。論文內容僅代表作者個人學術觀點，不代表人民銀行。如需引用，請注明來源為《中國人民銀行工作論文》。

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