摘要
对可预期与不可预期公开市场操作影响市场利率波动的机理进行分析。理论上,公开市场操作对市场利率的影响机理表现为“流动性供给效应”和“流动性替代效应”,当市场预期央行公开市场操作时,将会通过调整资产结构使得流动性替代效应发挥作用,从而抵消央行资金供给对利率构成的影响,并制约利率下行幅度。反之,当市场未能有效预期时,预期偏差(实际操作与预期数量之间的差异)越大,公开市场操作对市场利率的影响将越大,流动性供给效应将发挥作用,引导市场利率显著下行。在此基础上,利用SVAR模型对公开市场操作中数量型工具和价格型工具的可预期与不可预期成分进行了分解,并基于脉冲响应分析检验了不同成分对市场利率的冲击。实证结果显示:第一,对于数量型工具,若市场未能有效预期央行行为,会采取相对审慎的经营策略,央行通过公开市场操作投放基础货币后,流动性供给效应将发挥作用,市场利率出现显著下行。反之,若市场能够准确预期央行行为,会前瞻性减少低收益优质流动性资产配置,此时“流动性替代”效应会抵消央行货币投放形成的“流动性供给效应”,公开市场操作并不能起到降低市场利率的效果。第二,对于价格型工具而言,若市场能够预期到央行上调公开市场操作利率,将会前瞻性加大资金吸收力度,进而推高市场利率。若市场未能形成预期,则市场利率上行存在一定时滞。鉴于此,中国货币政策应做好与市场的信息沟通,避免市场出现货币政策持续宽松或持续紧缩的单向一致性预期,引导市场利率处于合理可控水平。
At present,the central bank of our country has basically realized the mechanism of realizing base currency throughput and guiding the operation of market interest rates through the tool combination of“reverse repurchase+medium-term lending convenience”.However,there are still exsit a situation that the market interest rates deviate significantly from the policy interest rate,it is not only closely related to the changes in the external market environment,but also affected by the expected effects of the microscopic entities on the monetary policy.In view of that,based on the perspective of expectations,the predictable and unpredictable open market are analyzed,which affect the market interest rate fluctuations.First,the mechanism of predictable and unpredictable open market operations is analyzed.The mechanism of the influence of open market operations on market interest rates is manifested as“liquidity supply effect”and“liquidity substitution effect”.Specifically,if banks can fully anticipate open market operations,they will form a“liquidity substitution effect”by adjusting their asset structure,thereby offsetting the central bank's funding supply to market interest rates.If the bank fails to anticipate open market operations,the greater the expected deviation(the difference between actual operations and the expected volume),the more significant the impact of open market operations on market interest rates.But this does not mean that the central bank's monetary policy needs to adopt a single discretionary mode.If open market operations completely exceed market expectations,it is likely to cause drastic fluctuations in market interest rates and financial market instability.Therefore,the central bank needs to fully consider market expectations on the basis of achieving its policy objectives and meeting the funding needs of the financial system,rationally arrange the scale of capital investment,avoid large fluctuations in market interest rates,and maintain the stability of the financial market.On the
作者
陈聪
兰晓梅
CHEN Cong;LAN Xiao-mei(School of Finance and Economics,Jiangsu University,Zhenjiang 212013,China;Finance School,Hubei University of Economics,Wuhan 430205,China)
出处
《统计与信息论坛》
CSSCI
北大核心
2022年第3期54-63,共10页
Journal of Statistics and Information
基金
湖南省自然科学基金青年基金项目“宏观审慎评估对商业银行支持实体经济信贷行为的影响研究”(2021JJ40128)。
关键词
公开市场操作
可预期成分
不可预期成分
市场利率
open market operations
predictable ingredient
unpredictable ingredient
money market interest rate
