【摘要】：將利率市場化進程劃分為三個階段,通過集合經(jīng)驗?zāi)B(tài)分解法對中國貨幣市場與資本市場的數(shù)據(jù)進行了分解,提取了最具代表聯(lián)動性的短周期分量。采用VAR-GARCH-BEKK模型對三個階段兩個市場的溢出效應(yīng)進行了分析,結(jié)果顯示,貨幣市場與資本市場單向和雙向溢出效應(yīng)均不顯著,在利率市場化推進的過程中,聯(lián)動的脆弱性未得到實質(zhì)性改善,DCC-MV GARCH模型證明了研究結(jié)論的穩(wěn)健性。因此,推進利率市場化必須加快完善利率傳導(dǎo)機制,構(gòu)建多層次的金融市場系統(tǒng),培育以價格型貨幣政策工具為主導(dǎo)的調(diào)控機制,循序漸進地牽引經(jīng)濟的穩(wěn)定可持續(xù)發(fā)展。
[Abstract]:The process of interest rate marketization is divided into three stages, and the data of Chinese money market and capital market are decomposed by the method of aggregate empirical mode decomposition, and the short-period component which is the most representative linkage is extracted. The VAR-GARCH-BEKK model is used to analyze the spillover effects of the two markets in three stages. The results show that the one-way and bidirectional spillover effects of the money market and the capital market are not significant, and in the process of the marketization of interest rate, the spillover effect of the two markets is not significant. The vulnerability of linkage has not been substantially improved, and the DCC-MV GARCH model proves the robustness of the conclusions. Therefore, to promote interest rate marketization, we must speed up the improvement of interest rate transmission mechanism, construct a multi-level financial market system, foster a price-oriented monetary policy tool as the leading control mechanism, and gradually draw the stable and sustainable development of the economy.
【作者單位】： 西安交通大學(xué)經(jīng)濟與金融學(xué)院;
【基金】：國家社會科學(xué)基金項目:“行業(yè)壟斷收入分配效應(yīng)的成因、測度與治理體系研究”(13CJY020)
【分類號】：F832.5

【參考文獻】

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