A Study On The Effectiveness Of China 's Monetary Policy Interest Rate Channel Transmission In The Process Of Interest Rate Marketization

Monetary policy is one core component of national macroeconomic regulation and control system, the transmission effectiveness of monetary policy directly affects the effectiveness of monetary policy implemented. Monetary policy has a variety of transmission channels, Wherein the interest rate transmission channel means that the central bank guides the financial market interest rate system change through monetary policy tool operation, thus affects the investment and consumption behavior in real economy, and ultimately achieve macroeconomic regulation and control objectives. With the wave of financial liberalization sweeping the global, the Western developed countries have turned to the monetary policy framework with interest rate as the intermediary, and the interest rate channel becomes the main channel for its monetary policy transmission. Currently, China is accelerating interest rate market-oriented reforms, at the same time, monetary policy regulation framework is transform from quantitative-based regulation to price-based regulation, so the interest rate transmission channel will play an increasingly important role in the regulation and control of China’s monetary policy. Under this background, research on the transmission effectiveness of China’s monetary policy interest rate channel, explore the unblocked and blocked parts, grasp the conduction effectiveness change of the interest rate channel and the credit channel, analyze the influence factors of interest rate channel conduction effectiveness and propose relevant recommendations, have an important significance to promote market-oriented reform of interest rates, and to improve the conduction effectiveness of monetary policy interest rate channel.First, this dissertation defines the transmission effectiveness of interest rate channel to three aspects:unimpeded、the implementation degree of final goal and timeliness, then describes the development process of Western interest rate transmission theory, systematically sorts out China’s interest rates market-oriented reform, monetary policy regulation system and evolution of monetary policy regulation framework. Then reference to Western interest rate transmission theory, according to China’s status of "dual track" interest rates, consider that the interest rate channel including regulation interest rate channel and marketization interest rate channel two ways, and sum up the interest rate channel transmission process to two stages. The first stage is the interest rate channel conduction to the financial markets:On one hand, the central bank through the monetary policy tools operation to guide the money market benchmark interest rate to change, making money market’s other interest rates accordingly change; on the other hand, through the direct adjustment of deposit and lending benchmark rates to impact the credit market interest rate. The interaction among money market, credit market and capital market causes the interest rates system of the financial market to change. The second stage is the interest rate channel conduction to the real economy:the financial market interest rates system change impact on the investment and consumption behavior in real economy, make the aggregate demand change, and ultimately impact on the final goal of monetary policy.Then, uses correlation coefficient, Granger causality test, VAR model, cointegration equation, impulse response function analysis and other measurement methods to take the empirical analysis on the effectiveness of interest rate transmission channel, conclude that:In the transmission of interest rate channel to the financial market:Shibor plays benchmark interest rates role in the money market, government bond yields acts as benchmark interest rate in the capital market to some extent; the conduction from monetary policy tools to money market is unobstructed, quantitative tools can guide the short-term Shibor to change, price-based tools can guide the long-term Shibor to change, but the conduction from money market to credit market and bond market exists obstruction, not only Shibor cannot guide the interest rates of credit market and bond market to change, but the interest rates of credit market and bond market will adversely impact on Shibor, reverse the interest rate channel’s conduction direction among the sub financial markets. In the transmission of interest rate channel to the real economy:the conduction from interest rates to investments consumption exists obstruction, whether regulated interest rates or marketization interest rates cannot effectively impact investment、consumption; the conduction from investment、consumption to CPI、output is more unimpeded, in which the conduction effectiveness of investment、consumption to output is stronger than to CPI, and the effect of increasing investment to stimulate output growth is obvious stronger than increasing consumption to stimulate output growth.With the continuous progress in interest rate marketization reform and monetary policy regulation framework transition, interest rate channel will play an increasingly important role in macroeconomic regulation and control, may replace the credit channel, and become the main transmission channel of China’s monetary policy. Based on this assertion, this paper takes Shibor formal operation in January 2007 this important event as the demarcation point, divides the interest rate marketization reform process into initial and deepening period two stages, then empirically analyzes the conduction effectiveness change of interest rates channel and the credit channel, obtains that:Overall, comparing deepening period with initial period, the regulation interest rate channel conduction effectiveness is significantly enhanced, at the same time, the relationship between deposit、lending rates and CPI、output exist imperfect places; the marketization interest rate channel conduction effectiveness has been enhanced, but there is still to be improved, Shibor changes in the same direction with prices、output; the credit channel conduction effectiveness has been obviously weakened, the effect of increasing credit scale to stimulate economic growth is significantly reduced, moreover, the effect of prompting price rise has a slight increase.Finally, this dissertation analyzes the main factors influencing the transmission effectiveness of interest rates channel in financial markets and real economy, mainly include: benchmark interest rate system is imperfect, impact the effective interaction among financial market interest rates; financial markets have not been developed enough, restricts interest rate conduction among the sub-financial market; the existence of soft budget constraint and state-owned enterprise system is flawed, limit the influence of interest rates on investment demand; revenue structure is irrational and the social security system is not perfect, limite the influence of interest rates on consumer demand; the behaviors of market participants are not synchronized with the central bank regulation, impact the effectiveness of monetary policy transmission. To improve the transmission effectiveness of interest rate channel, this dissertation’s recommendations are:strengthen the benchmark interest rate system and improve the interest rate regulatory framework of central bank; vigorously develop the financial markets, prompt capital can flow freely between the money market and capital market; harden budget constraints, deepen the reform of state-owned enterprises, improve the investments’ sensitivity to interest rates; improve the revenue structure and social security system, enhance consumers’ sensitivity to interest rates; enhance the transparency of monetary policy, reduce the resistance of monetary policy transmission.