The Effects of Monetary Policy in the Context of Interest Rate Liberalization and LPR: Based on the Impact of Policy on the Industrial Economy

Abstract

Abstract: The reform of LPR in 2019 marks a new stage of interest rate marketization in China. In this context, it is significant to study the effect of the interest rate reform on the regulation of the monetary policy. Relevant studies show that the dynamic and volatility of the interest rate reform will lead to the time-varying impact of the monetary policy on the real economy. Therefore, considering the nonlinear and time-varying characteristics of policy regulation, this paper studies the policy effect based on the TVP-VAR model. At the same time, by constructing the time-varying spillover index of the monetary policy, this paper explores the effectiveness of the monetary policy on the industrial economy under the different degree of interest rate marketization. At present, the industrial economy accounts for a high proportion of China's total economic output. Only by strengthening the impact of the monetary policy on the regulation of the industrial economy can we strengthen economic stability.
The results show that both quantitative and price-based monetary policies have nonlinear and time-varying effects on the industrial economy. With the deepening of interest rate marketization, the impact of the monetary policy on industrial enterprises' financing and industrial economic growth is more significant, which shows that the interest rate reform has significantly enhanced the regulatory effect of the two monetary policies. The results also reveal that with the reform of LPR, quantity-oriented monetary policies are more effective in controlling industrial financing and industrial production growth. However, interest rates influencing industrial financing through capital costs is not effective, which further restricts the role and effectiveness of price-oriented monetary policies in controlling industrial production growth. The main reason is that central banks rely on quantitative regulation and the transmission of interest rates is blocked. In addition, after the LPR reform, quantitative policies still play an important role in stabilizing growth, but the role of price-based policies needs to be improved.
At present, the effect ofthe monetary policy belongs to “quantity” rather than “price”, and it is difficult to improve the policy effect only through LPR reform. In addition, the effects of quantity-oriented monetary policies or price-oriented monetary policies on industrial economic activity in China have hysteresis and persistence, but the reform of LPR can reduce the lag of policy regulation and improve the sensitivity of policy regulation. Finally, we suggest embedding LPR into FTP pricing system in order to dredge the transmission mechanism of “MLF-LPR-RATE” price-oriented monetary policy. Only continuous reform can enhance the effect of LPR and promote the goal of policy regulation to achieve the transmission from “Quantity” to “Price”.

Key words: Interest Rate Liberalization, LPR, Effectiveness of Monetary Policy, Industrial Economy, Time-Varying-Effect

摘要： 2019年贷款市场报价利率(LPR)改革标志中国利率市场化进入新阶段,利率深化改革能否增强货币政策效果再度成为关注焦点。鉴于政策调控具有非线性时变影响,本文基于时变参数模型并构建政策时变溢出指数,研究不同利率市场化程度下货币政策对工业经济调控的有效性。研究表明:随着利率市场化程度加深,工业企业融资和工业经济增长对货币政策调控的反应愈加敏感,利率改革显著增强了数量型政策和价格型政策的调控效果;从影响程度看,数量型政策对工业经济的时变冲击效应和时变溢出效应较价格型政策高,这与中国长期依赖数量调控以及利率传导受阻有关。当前,央行的货币政策调控在本质上仍然比较依赖“量”传导,仅通过LPR改革难以完全疏通利率传导堵点,推动货币政策调控由“量”向“价”转型仍然任重道远。本研究为剖析利率改革成果,促进数量调控向价格调控转型提供了有益参考。

关键词: 利率市场化, LPR, 货币政策有效性, 工业经济, 时变效应

CLC Number:

F832

ZHANG Nianhua, HUANG Chuguang, JIANG Yu. The Effects of Monetary Policy in the Context of Interest Rate Liberalization and LPR: Based on the Impact of Policy on the Industrial Economy[J]. Collected Essays on Finance and Economics, 2023, 39(6): 36-46.

张年华, 黄楚光, 蒋彧. 利率市场化、LPR与货币政策调控有效性——基于政策对工业经济的影响视角[J]. 财经论丛, 2023, 39(6): 36-46.

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