参考利率期限调整思路比较与重构

2008版SNA建议采用期限调整参考利率核算FISIM流动性转换,金融危机期间多项非合意核算结果推升了参考利率期限调整的必要性。鉴于国民经济核算专家提出的期限调整参考利率思路尚难兼顾“稳定性”、“实践性”与“国际可比性”要求,ISWGNA建议继续开展参考利率期限调整思路研究。本文阐述期限调整参考利率法基本原理,演绎参考利率期限调整思路的多种情形,归纳现有参考利率期限调整思路的分歧问题,并基于追溯演变历程、细分实施效果,提出新的参考利率期限调整思路--均衡缺口期限调整思路。使用我国数据的检验显示,均衡缺口期限调整思路不仅增强了“稳定性”,提升了“实践性”与“国际可比性”,更是鼓励金融机构的FISIM生产方式由风险积累变为宏观审慎,由此降低流动性风险积累成系统性风险的可能性。

Comparison and Reconstruction of Reference RateMaturity adjusted Method

SNA 2008 suggests applying maturityadjusted reference rate for FISIM liquidity transformation accounting, and several undesirable results during the financial crisis promote the necessity of reference rate maturity-adjustment. Considering that the existing Reference Rate Maturity-adjusted Methods built by national account experts cannot be stable, practical and internationally comparable at the same time, ISWGNA suggests carrying out further research on this issue. In this article, we present the fundamental rationale of Maturity-adjusted Reference Rate Approach (MRRA), deduce possible situations on Maturity-adjusted Method, summarize divergences on the existing methods, and provide a new method by tracing back the evolution and partitioning multiple effects, namely, “Equilibrium-Gap Reference Rate Maturity-adjusted Method”. Test with data of China shows that the new method can be more stable, practical and internationally comparable. More importantly, it encourages macro-prudential FISIM production of financial institutions, thereby reducing liquidity risk accumulating to systemic risk.