摘要
本文从时变视角研究了非正规借贷利率的货币政策反应,试图为二元金融结构下的货币政策选择提供参考。基于修正的IS-IM模型的研究表明,非正规借贷利率的货币政策反应受正规与非正规金融市场间的替代性等因素的影响。实证结果显示,非正规借贷利率的货币政策反应具有明显的时变特征,表现在价格型货币政策工具在短期能够有效引导非正规借贷利率走势,但长期来看政策效果有所弱化;数量型货币政策工具在2008年国际金融危机前期出现暂时"失灵",但在后金融危机时期政策效果有明显改善。正规与非正规金融市场间替代性的动态演化能够为以上结论提供合理解释。本文研究还发现,正规与非正规金融市场利率间存在时变的同向变动关系,前者对后者的影响随滞后期数增加而衰减。
Studying on the response of informal lending interest rate to monetary policy from time-varying perspective,this paper tried to provide some suggestions for monetary policy choice under the dual financial structure. Based on the modified IS-IM model,we concluded that the response of informal lending interest rate to monetary policy would be influenced by factors such as the substitutability between the formal and informal financial market. The empirical results showed that,the response of informal lending rate to monetary policy had obvious time-varying characteristics. While price-based monetary policy instrument could influence the movements of informal lending interest rate effectively in the short term,the policy effects had weakened in the long term. While quantity-based monetary policy instrument were temporarily ＂broken＂in the early stage before the international financial crisis in 2008,the policy effect was significantly improved in the post-financial crisis period. The dynamic evolution of the substitutability between the formal and informal financial market could provide a reasonable explanation for these conclusions. We also concluded that,the movements of informal lending interest rate and interest rates of formal financial market were in the same direction,although the relationship was time-varying. Besides,the effect of interest rates of formal financial market on informal lending interest rates was decreasing with the increase of lag period.
出处
《金融研究》
CSSCI
北大核心
2017年第10期52-67,共16页
Journal of Financial Research
基金
国家社科基金重大项目<创新与完善我国民间金融监管协调机制研究>(14ZDA045)资助
宁波大学人文社会科学培育项目研究成果
南湖互联网金融学院提供了数据调研协助
关键词
非正规借贷利率
货币政策
时变参数
Informal Lending Interest Rate, Monetary Policy, Time -varying Parameters
