A Study On The Interest Rate Transmission Mechanism Based On The Benchmark Interest Rate

As early as one hundred years ago，many foreign scholars studied the interest ratetransmission mechanism of monetary policy, both in the terms of theory and practiceaspects have systematic research results. The western developed countries far fasterthan our country in the interest rate marketization progress, and their market startedearlier. As a result, With the constantly improvement of market economy system,developed countries such as America, Britain, Japan and developing country suchIndia, Chile, Argentina and so on, has lunched interest rate liberation reformsuccessively. The developed countries and India has been put it over, but somecountries in South America because of the radical reform has been failed. At present,China’s interest rate liberation reform after the start, and an obvious characteristic ofthe interest rate is dual-track system, which the government-controlled interest rateand market-oriented interest rate coexist. With the deepening of interest ratemarketization, the interest rate transmission mechanism of monetary policy has beenincluded in the agenda.Researchers in our country mainly choose Shanghai Interbank Offered Rate (SHIBOR)as the part of benchmark of interest rate that is used to research China’s interest ratetransmission mechanism. As a result of it, this paper inspects the property of SHIBORas benchmark of interest rate mainly from three different aspects. Specifically, thefirst test primarily researches the multiple price-based and quantity-based monetarypolicy to the adjustment of SHIBOR; the second test mainly researches the correlationof the different maturities of interest rate in SHIBOR self system and theco-movement of Shanghai Composite Index and National Debt Treasury Bond rate ofreturn to the change of SHIBOR in the short term; the third test mainly researches theimpact of SHIBOR growth rate on the real economy in a long period. In the aspect ofresearch methods, there are Granger Causality test, Vector Autoregressive model etc.These methods verify the adjustment channels of monetary policy tools to SHIBOR,the influence of SHIBOR in the money market and securities market in a short termand the impact on credit, output and price level in a long term respectively, which areregarded as three different parts of the interest rate transmission mechanism. Theorganization of these three parts can build a framework of the current interest rate transmission mechanism.The result shows that the supply of money acts as an obvious guide to SHIBOR, andon the other hand, SHIBOR represent a characteristic of short-term interest rate asbenchmark, however, SHIBOR cannot be acted as a long-term benchmark. Under theVAR model methods SHIBOR acts as an weakly guide to SHIBOR in a long-term,but no guidance on the price level. In the mean while, the interest rate transmissionmechanism based on SHIBOR as benchmark interest rate in our country exists,however, the conduction effect remains to be improved in a long-term. In conclusion,the continuous improvement of the nature of SHIBOR as the benchmark short-termrate is of great significance to both the interest rate marketization reform in China andthe interest rate transmission mechanism research.