经济与管理研究2016，Vol.37Issue(6)：67-73,7.DOI:10.13502/j.cnki.issn1000-7636.2016.06.009
不确定性冲击下利率传导机制
Interest Rate Transmission Mechanism Under the Impact of Uncertainty
摘要
Abstract
This paper examines the transmission mechanism among the market interest rates under the impact of monetary policy uncertainty.Firstly,the time-varying coefficient Markov regime switching model is used to extract the interest rates uncertainty which represents the monetary policy uncertainty.Secondly,the Dirichlet-VAR model is applied to examine the conductive relationship between policy rates and market interest rates under the impact of monetary policy uncertainty.Lastly,through the bivariate and multivariate analysis,the core conductive structures of the interest rate under the interest rates uncertainty are given.The empirical results show that:in the normal circumstances,there is a loop between the policy interest rate and money market interest rates,and a market-based loop between money market interest rates and the bond market.Under the impact of monetary policy uncertainty,the inherent interest rates uncertainty affects the stock market;the external interest rates uncertainty affects the stock market and the bond market,which influences the changes in market financing costs.关键词
货币政策/利率不确定性/利率传导渠道/时变系数马尔科夫区制转移模型/Dirichlet-VAR模型Key words
monetary policy/interest rate uncertainty/interest rate transmission/time-varying coefficient Markov regime switching model/Dirichlet-VAR分类
管理科学引用本文复制引用
陈守东,章秀,刘洋..不确定性冲击下利率传导机制[J].经济与管理研究,2016,37(6):67-73,7.基金项目
国家社会科学基金项目“系统性金融风险与宏观审慎监管研究”（12BJY158）；教育部人文社科重点研究基地重大项目“中国系统性金融风险防范与金融稳定性计量研究” （）
