摘要
采用克强指数,通过GARCH模型对备选利率的波动性进行探究,并结合VAR模型分析备选利率对宏观经济变量的敏感度。结果表明,存款类机构间以利率债为质押的7天期回购利率(DR007)在目前最适合作为我国利率走廊调控框架中的目标政策利率。为此,应坚持从区间调控出发,遵循从"隐"到"显"的构建思路,最终将货币政策过渡到利率走廊调控模式。
Using Li Keqiang Index,this paper explores the fluctuation of the interest rate through the GARCH model,and analyzes the sensitivity of alternative interest rate to macroeconomics variables by using VAR model. The results show that the 7-day repo rate( DR007) w ith interest rate debt among deposit-taking institutions is currently the most suitable target policy interest rate in China's interest rate corridor regulation framew ork. Therefore,in view of the construction of China's interest rate corridor,w e should start from the control of the interval,follow the construction from "hidden"to "explicit",and finally transfer the monetary policy to the interest rate corridor control mode.
作者
万光彩
周泽林
叶龙生
WAN GuangCai;ZHOU ZeLing YE;LongSheng(School of Finance,Anhui University of Finance and Economics,Bengbu 233030;School of Finance and Taxation,Dongbei University of Finance and Economics,Dalian 116025)
出处
《财贸研究》
CSSCI
北大核心
2018年第11期51-59,共9页
Finance and Trade Research
基金
安徽高校人文社会科学重点项目"金融结构市场化与安徽创新驱动发展:理论机制与实证证据"(SK2018A0457)
关键词
利率走廊
区间调控
政策目标利率
克强指数
interest rate corridor
interval control
policy target interest rate
Li Keqiang Index
