摘要
运用误差修正模型建立各国货币政策利率与贷款利率的动态均衡关系,从而综合考虑利率传导的短期效应、长期效应和调整速度,在此基础上检验一国的银行业特征是否会影响这一传导过程。研究结果表明:货币政策利率向银行贷款利率传导效果在不同国家间有明显的差异;鼓励银行业竞争、提高银行业贷款质量可以改善利率传导过程的效果。但2008年金融危机对各国金融体系的冲击使得货币政策利率向银行贷款利率的传导效率下降,银行业特征与利率传导效果之间的关系也不再显著。
Using the error correction model to establish the dynamic equilibrium relationship between the policy rate and bank lending rate of each country, we consider the short-term and long-term effect of the interest rate pass-through as well as the speed of adjustment, and try to test whether the characteristics of a country＇s banking industry affect this process. The results show that the effect of pass-through from policy interest rate to bank lending rate varies across countries. Encouraging the competition of the banking industry and improving the quality of loan can improve the interest rate pass-through effect. However, the impact of the financial crisis in 2008 has led to a decrease in the transmission efficiency of policy rates to bank lending rates, and the relationship between banking characteristics and interest rate pass-through is no longer significant.
作者
张雪莹
孟颖
ZHANG Xueying;MENG Ying(School of Finance,ShanDong University of Finance and Economics,Jinan 250014,China)
出处
《经济与管理评论》
CSSCI
北大核心
2018年第4期119-126,共8页
Review of Economy and Management
基金
国家自然科学基金项目"政府债务对货币政策的影响--基于利率传导渠道的研究"(71573155)
关键词
货币政策
利率传导
银行业特征
误差修正模型
Monetary policy
Interest rate channel
Banking characteristics
Error correction model
