摘要
本文基于银行资产负债表构建模型,对利率政策间的关联进行理论推演。主要采用静态和具有时变参数的状态空间模型,对LPR改革前后贷款利率、LPR、存贷基准利率和银行间市场利率的关系进行实证研究。结果表明改革前贷款基准利率、银行存款利率和质押式回购利率是影响银行贷款利率的重要因素;改革后,LPR、质押式回购利率、Shibor是影响银行贷款利率的重要因素。改革后LPR对银行贷款利率的影响程度大于改革前贷款基准利率的影响程度,且银行间市场利率传导至银行贷款利率的效率明显提升。总体看,LPR对银行贷款利率的影响在加强,但存在银行异质性问题。为进一步推进利率市场化改革,提高利率传导效率,建议健全市场化利率形成和传导机制。
Based on the bank balance sheet construction model,this paper deduces the relationship between interest rate policies,and makes an empirical study on the static and dynamic relationship between loan interest rate,LPR,deposit and loan benchmark interest rate and inter-bank market interest rate before and after LPR reform by using static model and state space model with time-varying parameters.The results show that before the reform,the benchmark loan interest rate,bank deposit interest rate and pledge repo interest rate are important factors affecting the bank loan interest rate;After the reform,LPR,pledged repo interest rate and Shibor are important factors affecting bank loan interest rate.The impact of LPR on the bank loan interest rate after the reform is greater than that of the benchmark loan interest rate before the reform,and the efficiency of transmitting the inter-bank market interest rate to the bank loan interest rate is significantly improved.Overall,the results of time-varying space model show that the impact of LPR on bank loan interest rate is strengthening,but there is a problem of bank heterogeneity.In order to further promote the market-oriented reform of interest rate and improve the transmission efficiency of interest rate,it is suggested to improve the formation and transmission mechanism of market-oriented interest rate.
作者
陈名银
Chen Mingyin(Huaihua Central Sub-branch of the People's Bank of China)
出处
《金融发展评论》
2021年第10期39-50,共12页
Financial Development Review
关键词
LPR改革
利率传导
效率
理论模型
LPR Reform
Interest Rate Transmission
Efficiency
Theoretical Model
