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基于对我国近年来贷款市场报价利率（LPR）调整频率的观察，本文首先估计了贷款市场报价利率的调整周期，揭示了调整频率的基本事实；然后创新性提出并构建了一个包含贷款市场报价利率调整频率和货币政策的动态一般均衡模型，讨论了调整频率对于货币政策实施效果的影响，以及在供给和需求两侧受阻冲击下不同贷款市场报价粘性导致的宏观经济动态和政企违约风险特征；最后从经济波动和社会福利成本层面分析贷款市场报价频率的理论含义。研究发现，提高贷款市场报价利率调整频率会增进货币政策实施的效率，改善企业违约风险。当经济遭遇供给侧冲击时，较高的调整频率会放大生产率负面冲击的经济衰退效应，并产生更高的企业违约风险；然而当经济遭遇需求侧冲击时，较高的调整频率却会带来信贷利率更大的降幅，从而对宏观经济衰退形成良好缓冲，体现贷款市场报价利率的调整频率对宏观经济影响的状态依赖性。社会福利成本分析发现，贷款报价利率的调整频率对社会福利的影响存在类似特征。当面对供给不确定环境时，提高调整频率会带来社会福利损失；而当面对需求不确定性时，提高调整频率却会带来显著的社会福利改善。研究结论为调整贷款市场报价利率的时机和频率提供了理论基础。
Abstract：Based on an observation of the recent adjustment frequency of the Loan Prime Rate(LPR)in China, this paper first estimates the adjustment cycle of the LPR, revealing the fundamental facts regarding its adjustment frequency. It then innovatively proposes and constructs a dynamic stochastic general equilibrium(DSGE) model that incorporates LPR adjustment frequency and monetary policy,discussing the impact of this frequency on the effectiveness of monetary policy implementation. The model also examines the macroeconomic dynamics and the characteristics of “government-business” default risks under constrained shocks on both supply and demand sides due to varying loan quote stickiness. Finally, the theoretical implications of the LPR adjustment frequency are analyzed from the perspectives of economic fluctuations and social welfare costs. The research finds that increasing the adjustment frequency enhances the efficiency of monetary policy implementation and reduces corporate default risks. However, when the economy faces supply-side shocks, a higher adjustment frequency amplifies the recessionary effects of negative productivity shocks and leads to increased corporate default risks. Conversely, in the context of demand-side shocks, a higher adjustment frequency results in more significant reductions in credit rates, thereby buffering against macroeconomic downturns, demonstrating the state-dependent nature of LPR adjustment frequency's impact on the economy. The analysis of social welfare costs reveals a similar pattern, while an increase in adjustment frequency leads to social welfare losses under supply uncertainty, it significantly improves social welfare in the face of demand uncertainty. The conclusions of this research provide a theoretical foundation for the timely and frequent adjustment of loan market pricing rates.
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(1)考虑数据的可得性，从Wind金融数据库获取的中期借款便利从2016年1月才开始有数据记录，因此，LPR和MLF相关数据为2016年1 月到2022年8月样本期内的数据。
(2)因篇幅所限，自相关函数与Ljung-Box Q统计量以附录1展示，见《统计研究》网站所列附件。下同。
(1)银行利率报价的粘性参数（ξb）是决定LPR调整频率的关键机制，粘性参数越大，则调整频率越低。
(1)因篇幅所限，模型结构参数校准和贝叶斯估计结果以附录2和附录3展示。
(2)文中贷款市场报价利率的调整粘性简称为贷款市场报价粘性，由粘性参数ξb表示。
(3)企业债务负担率即为图中的企业债务–产出比率，政府债务负担率即为图中的政府债务–产出比率。
(1)此处，负面生产率冲击是指模型中的负面技术冲击。
(2)文中的产出是指国内生产总值。
(1)此处的需求侧负面冲击是指对居民偏好的负面冲击。
(1)因篇幅所限，本文还讨论了贷款报价粘性对最优货币政策设计的影响，以附录4展示。需求和供给不确定性环境下的经济波动比率，以附录5展示。
基本信息:
DOI：10.19343/j.cnki.11-1302/c.2024.10.003
中图分类号:F832.5;F822.0
引用信息:
[1]刘宗明.LPR调整频率、货币政策效率与社会福利损益[J].统计研究,2024,41(10):49-62.DOI:10.19343/j.cnki.11-1302/c.2024.10.003.
基金信息:
国家社会科学基金一般项目“全球价值链‘欧美亚’异质不确定性对我国经济波动的影响与宏观治理策略研究”（21BJL029）; 中央高校基本科研业务费专项资金资助“经济危机场景下政府债务违约风险防范与财政整顿策略研究”（22CX04017B）
2024-10-25
2024-10-25