存款利率市场化与中国宏观金融风险研究

The interest rate marketization is not only an important manifestation of the Chinese financial development, but also an essential condition of the RMB internationalization and the national economic system market-oriented reform. Time and method used to cancel the deposit interest rate ceiling, along with its potential risks, become the final trial of the success of the interest rate marketization in China. Governments' biggest concern about interest rate marketization is the probability of extreme fluctuation on interest rate after it gets rid of the strict repression, which may cause the outbreak of financial systemic risk, even the deterioration of the macroeconomics. This risk should be paid enough attention in the final step of interest rate marketization in China. Start with the theoretical study about the long-term effects of the deposit interest rate marketization on the structure of interest rate market, as well as a model to fit the short-term impact to the macroeconomics, and then construct a financial systemic risk measurement model including considerations about credit risk, interest rate risk, liquidity risk, transmission risk and so on. Besides, we measure the short-term risks of the financial system by the method of stress-testing. Eventually build an indicator, which is a combination of macroeconomic variables and the micro-financial risk, to measure the macro-financial risk in China. And thus provide the central bank a reference of the interest rate marketization's impacts on the macro-financial environment, and further develop some policy recommendations for the central bank to deal with these risks.

利率市场化不仅是中国金融发展的重要体现，也是人民币国际化和我国经济体制市场化改革的必要条件。准确把握取消存款利率上限的时间、方法及其可能带来的各种风险，是对我国利率市场化改革的最后考验。各国政府对利率市场化最大的担忧来源于利率在摆脱严厉管制之后可能出现的剧烈波动，从而引发金融系统性风险，进而导致宏观经济的恶化，而这正是我国在利率市场化改革进程中特别需要关注的。本课题先从理论上研究存款利率市场化对利率市场结构的长期影响，并用模型拟合出其在短期内给宏观经济带来的冲击，在此基础上构建包含信用风险、利率风险、流动性风险和传染风险的金融系统性风险度量模型，并通过压力测试测算出短期内金融系统承受的风险，最终构建出一个结合宏观经济变量和微观金融风险的指标以衡量我国的宏观金融风险，从而为中央银行提供一个衡量利率市场化对宏观金融环境冲击的参考指标，并进一步提出中央银行为抵御该风险所需的应对措施。

利率市场化不仅是中国金融发展的重要体现，也是人民币国际化和我国经济体制市场化改革的必要条件。准确把握取消存款利率上限的时间、方法及其可能带来的各种风险，是对我国利率市场化改革的最后考验。各国政府对利率市场化最大的担忧来源于利率在摆脱严厉管制之后可能出现的剧烈波动，从而引发金融系统性风险，进而导致宏观经济的恶化，这是本课题研究的初衷。.课题研究了国际上实施利率市场化改革与宏观审慎管的经验，利率市场化与银行系统性危机之间的关系，利率市场化下资本账户开放导致的宏观经济波动，存款利率市场化对利率市场结构和银行经营风险的影响，利率的形成机制等。并用模型拟合出对宏观经济带来的冲击；研究了利率市场化对商业银行系统性风险的影响路径和排序，并做了压力测试。.研究发现，存款利率和贷款利率之间是内生决定的,利率市场化程度的上升将显著增加银行系统性危机发生的概率。利率市场化对商业银行系统性风险的主要影响路径是间接传染机制，利率市场化对我国商业银行系统性风险的影响是显著的,但影响有限，中国银行是我国系统重要性最高的商业银行。.根据研究结果，我们为中央银行和银监会等国家监管部门提出了一系列防范利率市场化风险带来的宏观经济波动与商业银行系统性风险的政策建议与应对措施。