Research On Interactions Between Benchmark Interest Rate And The Price Of Loan Market And Debt Market

With the continuous deepening of the reform of macro-regulatory system,the reform of Frame for Monetary Policy is undergoing a transition from quantity-based regulatory to price-based regulatory,and the most critical factor in this transition process is the transition of money supply targets(e.g.M2)of the intermediate targets in monetary policy to benchmark interest rate.In terms of international experience,all developed countries and the vast majority of middle-income countries have completed this transition in the past few decades.Empirical experience shows that there are three main motive forces and conditions for this transition.Firstly,the correlation between quantity-based targets(e.g.M2)and economic growth & price rise is significantly weakened,which is impossible to continue to ensure that the precise regulation of the money supply can achieve the purpose of stabilizing the economy and prices.Secondly,due to the financial innovation and the development of financial liberalization,the measurability,controllability,and real economy correlation of the intermediate targets of quantity-based monetary policy are constantly declining,which is difficult to form effective regulatory.At this point,blindly focusing on money supply will cause volatility in market interest rate.Thirdly,the measurability,controllability,and correlation of benchmark interest rate of price-based intermediate targets are good,which can be observed at any time,evaluate the effects of monetary policy in a timely manner,enhance the transparency and credibility of monetary policy,and enhance the benchmark interest rate and medium-and long-term interest rates including bond yield and deposit and loan interest rate,forming a transmission effect with the real economy.Based on the above background,the objectives of this research is that with the acceleration of China's interest rate liberalization,China's monetary policy framework is gradually transforming from quantity-based to price-based,and a new monetary policy framework based on based on market-oriented benchmark interest rate will be formed in the future.Under this background,we want to clear three issues.Firstly,interest rate is not only the main transmission channel of monetary policy in market economy system,but also the intermediate target of monetary policy in western developed countries.What kind of benchmark interest rate is suitable as the optimal benchmark interest rate and as one of the intermediate targets of monetary policy to promote the transmission efficiency of monetary policy.Secondly,whether the transmission channel of the Central Bank's interest rate policy is smooth;as a monetary policy tool,whether the policy interest rate can affect the transmission of the prices in credit market and bond market through the benchmark interest rate that is the intermediate target of monetary policy,and can effectively affect total output and consumption to achieve the policy goal.Thirdly,the monetary policy framework is determined by the inversion of the ultimate goal of monetary policy,and the changes in the monetary policy transmission mechanism may cause monetary policy tools to not affect the ultimate goal of monetary policy,making monetary policy framework must be adjusted accordingly.The ideal transmission path of quality-based target interest rate is that Central Bank influences the money market interest rates including the optimal benchmark interest rate SHIBOR through the monetary policy operation.As an intermediate target of monetary policy,SHIBOR causes interest rate changes in the bond market and then realizes the transmission of short-term interest rate to long-term interest rate,while the substitutability effect of bond market and deposit & loan market will transmit interest rate to deposit and loan interest rate.Meanwhile,changes in the cost of interbank borrowing in commercial banks will be transmitted to the cost of deposits,and then affect the loan interest rate.Therefore,based on the above research objectives and logic,the theme of this paper is determined as the price linkage relationship between benchmark interest rate and credit market & bond market.In addition,this paper will use empirical analysis to obtain the optimal benchmark interest rate SHIBOR,and empirically analyze the changes in the intermediate target SHIBOR of monetary policy in Chapters 4,5,and 6,and the changes it caused in loan prices and bond prices when facing credit markets and bond markets with different transmission efficiency,so as to reveal,verify and test whether the transformation of China's monetary policy framework has reached the expected target,and put forward further policy recommendations and prospects.This paper concludes that SHIBOR is suitable as the optimal benchmark interest rate forliberalization;monetary policy instruments representing the Central Bank's intentions affect the intermediate target SHIMBOR of monetary policy,and generate interest rate transmission of SHIBOR changes,thus eventually causing the following transmission efficiency and transmission results of credit market prices and bond market prices: 1.benchmark interest rate has a significant positive impact on bond market prices.They transmission of the benchmark interest rate SHIBOR to the bond market is basically effective.The SHIBOR change has an impact on corporate bond prices in three bond markets,especially in the interbank markets,which have the largest circulation and the issue ratio close to 90%;the issue price of short-term financing bonds with a term of one year has the highest transmission efficiency and affect each other.2.Benchmark interest rate has a positive impact on credit market prices,but has lag.The above results show that the benchmark interest rate,that is,the policy interest rate,is effective in transmitting the credit market without the the constraints of quantity control,deposit-loan ratio,etc.,and the benchmark interest rate SHIBOR and the loan interest rate affect each other,reaching the maximum impact after June-July.3.The benchmark interest rate and the two market prices affect each other,and keeps a consistent long-term change trend.Without the influence of the benchmark interest rate as an intermediate target,the credit market and the bond market themselves have less impact on prices.The benchmark interest rate has low transmission efficiency to the two markets,especially the credit market,which is only 30% of the transmission efficiency of the US benchmark interest rate to the credit market.To sum up,this paper uses a more mature quantitative analysis method to comprehensively analyze the impact of changes in the intermediate target of China' s monetary policy on the credit market and the bond market(and their factors),evaluate the transmission effect of China's monetary policy,and propose policy suggestions to strengthen the transmission effect of monetary policy by improving the bond market and developing credit asset securitization business,so as to promote the coordinated development of the national monetary policy and the credit market.