作　者：肖卫国 兰晓梅
关键词：公开市场操作；货币市场利率；利率走廊；货币政策；央行
摘　要：

近年来，我国公开市场操作模式发生了显著变化，公开市场操作与货币市场 利率的动态关系需要从新的视角进行分析。利用马尔科夫区制转换向量自回归模型研究我 国公开市场操作与货币市场价格波动的动态时变关系发现，在区制1（2013–2014 年）中，我 国经济较快增长，货币调控数量特征明显，公开市场操作的流动性效应大于对货币市场利率 的调控作用，公开市场逆回购利率对银行间 7 天质押式回购加权利率（R007）的引导效果甚 微，市场利率波动较大；在区制2（2015–2017年）中，我国经济发展进入新常态，M2 同比增 速下降，公开市场操作常态化机制与工具类型的扩展极大地提高了央行对货币市场利率区 间的调控能力，银行间市场存款类机构以利率债为质押的7天期回购利率（DR007）紧随公 开市场逆回购利率变动，政策利率传导效率增强。另外，随着公开市场操作逆回购及便利类 工具（SLF、MLF 等）的类型和期限日趋丰富，在短中期流动性供给量价调节的流动性管理 与利率调控相结合的新模式下，我国利率走廊初步形成。

 

Open Market Operation, Money Market Interest Rate and Interest Rate Corridor

Xiao Weiguo (Wuhan University)

Lan Xiaomei (Hubei University of Ecomoics)

Abstract： In recent years, China's open market operation mode has undergone significant changes, and its dynamic relationship with money market interest rate needs to be analyzed from a new perspective. In this paper, we use Markoff Regime Transformation Vector Auto Regression model to study the dynamic time-varying relationship between open market operation and monetary market price fluctuation in China. The results show that the liquidity effect of open market operation is greater than the guidance to the money market interest rate in Regime 1(2013-2014) under the China's rapid economic growth with the obvious characteristics of quantitative monetary regulation. The effect of open market reverse repo interest rate on the R007 is very little and money market interest rate fluctuates greatly. In regime 2 (2015-2017), China's economic development has entered a new normal state and the growth rate of M2 has declined, so open market operation normalization mechanism and the expansion of its tool types greatly improve the central bank's ability to regulate the money market interest rate. DR007 follows the open market reverse repo interest rate, and the transmission efficiency of policy interest rate is enhanced. In addition, with the diversification of open market operation reverse repo and the convenience tools (SLF, MLF and so on), the interest rate corridor has been preliminarily formed under the new mode of the liquidity management and interest rate regulation combined with short and medium term liquidity supply and price regulation.

Key words： open market operation; money market interest rate; interest rate corridor；monetary policy; Central Bank

 

■作者简介 肖卫国，经济学博士，武汉大学经济与管理学院教授、博士生导师；湖北 武汉 430072。

兰晓梅，经济学博士，湖北经济学院金融学院讲师；湖北 武汉 430205。

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