中国银行间利率向市场利率谱系的传导效率——基于非线性自回归分布滞后模型和中、美、欧对比

构建包含预期因素的银行间利率向银行存贷款和债券利率的传导机制，运用NARDL模型实证检验中国、美国和欧元区的利率传导效率。结果表明:即期银行间利率向市场利率谱系的传导效率取决于其对未来银行间利率预期的传导效率；中国银行间利率向短期贷款和国债利率的传导效率与美国、欧元区相似，但向中长期贷款和国债利率的传导效率相对较低，部分利率传导存在短期正向非对称性。进一步的研究发现，中国银行间利率对未来银行间利率预期的影响衰减较快，是中国利率传导效率偏低的原因之一。建议增强即期银行间利率对未来利率预期的影响以提高利率传导效率，具体措施包括降低银行间利率的波动性、提升银行间利率传达货币政策意图的能力和对未来利率走势进行前瞻指引等。

The Pass-through of China's Interbank Interest Rate to Market Interest Rate Spectrum—Based on NARDL Approach and the Comparison between China,the US,and Eurozone

NARDL approach was used to empirically assess the interest rate pass-through in China, the US, and Eurozone. It is found that China''s interbank interest rate pass-through to short-term loan and short-term government bond is similar to that of the US and the Eurozone. But China has lower interest rate pass-through to long-term loan and long-term government bond; some pass-through processes have short-run positive asymmetry. Further study shows that China''s spot interbank interest rate''s influence on forward interest rate decays very fast, and the pass-through rate of interest rate swap which incorporates interest rate anticipation is relatively high. Hence, besides the factor of interest rate regulation, China''s spot interbank interest rate''s impact on forward interbank interest rate being relatively small also results in low pass-through to long-term rate. It is suggested that People''s Bank of China further reduce the fluctuation of the interbank interest rate, improve its ability to convey the intent of monetary policy, and use forward guidance to increase China''s interest rate pass-through.