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本文在标准的金融加速器模型上嵌入内生杠杆约束的银行部门，构建了一个包含双重金融摩擦的动态新凯恩斯模型，定量分析存款利率约束下货币政策的传导机制和效果。风险冲击和金融冲击的脉冲响应结果显示，存款利率触及有效下限约束导致货币政策失效，从而加剧经济波动。基于政策评估的长短期视角综合分析发现，存款利率约束弱化了货币政策的实际利率和银行信贷传导机制，导致宽松货币政策刺激经济效果不显著，突破存款利率约束是货币政策发挥作用的关键。进一步研究结果表明，积极的财政政策在存款利率的约束下提高了货币政策传导的有效性，与货币政策协调搭配的效果十分显著，具有较强的经济扩张效应。本文研究对我国货币政策调控的启示在于：一是珍惜货币政策空间，避免存款利率触及下限约束；二是积极推进利率市场化改革，大力疏通我国货币政策传导机制；三是在利率双轨制下，货币政策要着力营造良好的货币金融环境，财政政策要更加积极有为、主动发力，继续实施好“积极财政+稳健货币”的政策组合拳。
Abstract：This paper embeds the banking sector with endogenous leverage constraints on the standard financial accelerator model,constructs a dynamic New Keynesian model containing financial supply-demand frictions,and quantitatively analyzes the transmission mechanism and effect of monetary policy under deposit interest rate constraints. The impulse response results show that when deposit interest rates hit the lower bound,monetary policy becomes ineffective,thereby exacerbating economic fluctuations. A comprehensive analysis based on the long-term and short-term perspective of policy evaluation found that deposit interest rate constraints weakened the real interest rate and bank credit transmission mechanism of monetary policy,resulting in the insignificant effect of monetary policy on stimulating the economy. Breaking through deposit interest rate constraints is the key to the effectiveness of monetary policy. Further research results show that active fiscal policy strengthens the real interest rate and bank credit transmission mechanism of monetary policy under the constraints of deposit interest rates,has a more significant coordination effect with monetary policy,and has a strong economic expansion effect. This study has three policy implications:first,cherish the monetary policy space and avoid deposit interest rates from hitting the lower limit;second,actively promote the market-oriented reform of interest rates and vigorously unblock monetary policy transmission mechanism;third,under the dual-track interest rate system,monetary policy must focus on creating a good monetary and financial environment,fiscal policies must be more proactive,and continue to implement the policy combination of “active fiscal policy + sound monetary policy”.
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(1)如果现金的收益率允许为负,那么名义利率就不受零下限约束。对此,Dong and Wen(2017)构建了一个理论模型,假设私人部门持有现金存在成本,证明了名义利率可以为负;Assenmacher and Krogstrup(2021)通过研究发现,现金与数字货币脱钩导致私人部门持有现金获得负收益,由此可以形成负名义利率。
(2)中国人民银行从1996年开始推动利率市场化改革:1996—2003年,中国利率市场化改革主要针对货币市场利率,放开银行间同业拆借市场,由资金拆借双方根据供求关系决定拆借利率。2004—2013年,中国利率市场化改革主要针对金融机构的贷款利率,从贷款利率上浮取消封顶,下浮利率从基准利率的0.9、0.85、0.7(仅针对个人住房贷款利率)、0.8,于2013年7月全面放开金融机构贷款利率管制。2014—2015年,全面放开存款利率浮动上限。2016年至今深入推进利率市场化改革,重点推进贷款市场报价利率(LPR)改革,建立存款利率市场化调整机制,完善中央银行政策利率,培育形成较为完整的市场化利率体系。从中国1年期存款利率、1年贷款利率、银行间同业拆借利率(3个月,年率)的实际数据可以看出,中国基准的存贷利率变化仍然表现出较强的管制特征。
(3)实际上,中国政策利率的指标选取具有较大的争议。因为随着利率市场化改革不断纵深推进,中国政策利率的衡量指标也在不断地发生变化。利率市场化改革前期选择一年期定期存款利率或贷款利率是适宜的,但2015年以后选择银行间同业拆借利率或2019年以后选择贷款市场报价利率(LPR)作为政策利率衡量指标可能更加合理。不过,无论选择哪一种利率作为中国政策利率的衡量指标,我们都会发现近年来中国政策利率下行的趋势没有发生变化。感谢审稿专家提供的宝贵的意见建议。
(4)早期的宏观经济模型假设完全竞争的金融中介仅起到资金融通作用。金融危机发生后,金融中介与实体经济之间的交互作用对认识和解释宏观经济波动具有重要作用,越来越多的宏观经济模型开始显性建模金融中介部门。因此,本文在信贷供需两侧同时刻画金融摩擦是建立在已有研究的基础上,并不是刻意追求模型设定的复杂性,而且双重金融摩擦可以通过共振形成双重金融加速器,通过放大外生冲击对宏观经济产生的通货紧缩效应,从而可以更好地研究存款约束下货币政策的传导效果。
(5)感谢审稿专家提供的宝贵意见建议。
(6)处理存款利率零下界的方法在负利率文献中已经非常成熟。感谢审稿专家提供的宝贵的意见建议。
(7)引入工会是为了刻画工资黏性。限于篇幅,正文略去了对工资黏性的介绍,详细计算请看附录。
(8)按照文献通常做法,假设零售商利润以转移支付方式返还给家庭。
(9)引入银行“进入—退出”机制的目的与企业家类似,防止银行净资产不断积累出现资金自足的情形。
(10)限于篇幅,正文未给出银行最优化问题的详细求解过程,详细计算过程请看附录。
(11)企业杠杆(Be/Ne)会影响货币政策传导机制。我们在数值模拟过程中以?e=2作为基准情景,同时考虑了?e=1.5和?e=2.5两种情景,发现企业杠杆率越高会增加存款利率触及下限约束的持续期,加大宏观经济变量的波动幅度。感谢审稿专家提供的宝贵的意见建议。
(12)“随机奇异”问题是指用于贝叶斯估计的观测序列不能超过外生冲击的个数。
(13)本文在进行首次估计时严格按照参考文献设定参数的先验分布,然后根据贝叶斯估计结果适当地更新先验分布,并再次进行估计,这样做能保证参数估计结果的准确性。
(14)福利函数定义为代表性家庭效用函数的贴现值:■。
(15)一般来说,计算福利要对模型二阶近似展开,但Guerrier and Iacoviello(2015)基于分段线性算法提供的工具箱目前只能做到一阶近似。然而,本文模型同时包含典型的新凯恩斯模型摩擦(如价格黏性、工资黏性和投资调整成本)和双重金融摩擦,这表明本文模型稳态相对有效资源配置情形被扭曲,因此进行一阶近似计算福利也是合理的。
(16)简要地说,消费等价是指为了获得同等福利需要改变的消费量。
(17)case3情景的产出均值和标准差在第17～50期与45度线不会完全重合是因为,冲击大小在第17～50期是通过伪正态分布随机设置的,存款利率在此期间也会零星地触碰零下限约束,因此只会接近45度线而不会完全重合。
基本信息:
DOI：
中图分类号:F822.0
引用信息:
[1]江振龙.存款利率约束下货币政策传导机制研究[J].经济学报,2024,11(03):1-36.
基金信息:
国家自然科学基金青年项目“房地产市场波动的影响因素、传导机制和政策分析”（项目批准号：72303237）; 中国社会科学院“青启计划”（项目编号：2024QQJH120）;中国社会科学院青年人文社会科学研究中心社会调研项目“人民币国际化与金融高水平开放的实现路径”（项目编号：2025QNZX013）;中国社会科学院学科建设“登峰战略”资助计划（项目编号：DF2023YS28）的资助