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数字经济对利率形成机制的影响研究

摘要

本文从三个视角分析了数字经济对利率形成机制的影响。其一,当前我国较高的利率水平可视为金融中介效率偏低的一个佐证,在数字经济背景下,金融中介依托金融科技和科技金融两种主要模式实现效率提升、降低交易成本,并最终达成降低利率水平的目标。其二,自然利率作为价格型货币政策调控的实际利率锚,是中央银行制定政策利率的重要依据。数字经济通过资金需求、资金供给及资金匹配过程,对自然利率产生全方位影响。其三,近年的国际基准利率改革将对全球金融市场带来深远影响,但新型基准利率在形成机制上仍然存在一些不足。数字经济能够通过信用关系技术化弥补新型基准利率关于信用风险的缺失,利用机器学习技术辅助新型基准利率构建利率曲线,并通过央行数字货币减缓美元对非主要货币国家的冲击。

作者

李扬 ,中国社会科学院学部委员,国家金融与发展实验室理事长,国际欧亚科学院院士,中国社会科学院经济学部主任,中国金融学会副会长,中国国际金融学会副会长,中国管理科学学会学术委员会主任,中国城市金融学会副会长,全国中小企业股份转让系统指数专家委员会主席,亚洲金融合作协会顾问委员会高级顾问。曾任中国社会科学院副院长,第三任中国人民银行货币政策委员会委员,中国财政学会副会长。专业领域为金融、宏观经济、财政。
费兆奇 ,中国社会科学院金融研究所研究员,国家金融与发展实验室高级研究员。
陆洪 ,中国社会科学院研究生院金融系博士研究生,主要研究方向为宏观经济、货币政策。
曹婧 ,中国社会科学院金融研究所助理研究员,主要研究方向为地方政府债务、货币理论与政策。
丁一 ,经济学博士,中证金融研究院助理研究员,主要研究方向为数字经济。

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数字经济对利率形成机制的影响研究

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报告目录

  • 一 利率本质、金融中介与数字经济
    1. (一)利率本质与金融中介
    2. (二)中国利率水平偏高的理论分析
      1. 1.一般利率与社会平均利润率不匹配
      2. 2.货币供应宽松与信贷资金供给不一致
      3. 3.所有制偏好抑制金融资源配置的充分竞争
      4. 4.金融市场分割条件下难以形成有效的利率传导机制
      5. 5.银行内部资金转移定价管理与贷款定价机制不协调
    3. (三)数字经济背景下的中介效率提升
      1. 1.金融中介理论沿革与职能演进
      2. 2.数字经济创新应用与金融中介效率提升
  • 二 数字经济背景下的自然利率
    1. (一)数字经济的内涵
    2. (二)数字经济对自然利率的影响:资金需求
      1. 1.数字经济提升全要素生产率
      2. 2.由数字经济驱动的全要素生产率提升对自然利率的作用效果存在路径依赖
    3. (三)数字经济对自然利率的影响:资金供给
      1. 1.数字经济对人口结构的影响
      2. 2.数字经济对收入分配的影响
      3. 3.人口结构对自然利率的影响
    4. (四)数字经济对自然利率的影响:匹配过程
      1. 1.匹配过程对自然利率的影响
      2. 2.量化宽松与自然利率
      3. 3.数字经济对匹配过程的影响
    5. (五)小结
  • 三 数字经济与国际基准利率改革
    1. (一)新型基准利率与旧型基准利率形成机制的对比分析
    2. (二)高频交易对新型基准利率有着多重、复杂影响
      1. 1.高频交易的基本内容
      2. 2.高频交易的交易策略
      3. 3.对无风险抵押债券市场的影响
    3. (三)利用机器学习技术计算新型基准利率的收益率曲线
      1. 1.收益率曲线计算方法的调整
      2. 2.机器学习技术的应用
    4. (四)信用关系技术化弥补新型基准利率关于信用风险的缺失
      1. 1.无风险利率到信用利率的传导机制
      2. 2.信用关系技术化辅助新型基准利率刻画银行信用风险
    5. (五)央行数字货币减缓新型基准利率背景下美元对非主要货币国家的冲击
      1. 1.央行数字货币的内涵和发展
      2. 2.央行数字货币的影响

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