Abstract:
The interest rate liberalization means that the mode of financial regulation is transforming from “price control, quantity control ”into “price liberalization, moderate scale”. Market risk will rise in the foreseeable period of time and to have a significant impact on the systemic risk. In this paper, we built a market risk curve reflecting the relationship between the changes of interest rate and market risk, using DSGE model to simulate the impact of interest rate changing to the welfare of major economic entities which is based on the financial interests. Our main conclusions are as follows: The liberalization of deposit interest rate would have a greater impact on market risk and should be carefully promoted in the current effective range of changes in interest rates; Deviating of the management of interest rate from the equilibrium level exacerbates the impaction of interest rate fluctuations to the market risk; The interest rate liberalization sets up a mechanism of cost-sharing among various kinds of economic agents through the changes of financial interests such as financial cost and investment income; A corresponding interest rate liberalization mechanism should be established which is risk-related and can promote the agents’ ability of self-mitigation of risk.
郭琪, 彭江波. 基于市场风险缓释的利率市场化研究[J]. 金融研究, 2015, 421(7): 98-115.
GUO Qi, PENG Jiangbo. The Study of Interest Rate Liberalization Based on Mitigation of Market Risk. Journal of Financial Research, 2015, 421(7): 98-115.
Adrian,T.,and Shin,H.S.2009. “Money,Liquidity and Monetary Policy”, American Economic Review,99(2):600~605.
[16]
Allen,F.,and Gale,D.2000.“Bubbles and Crises”,The Economic Journal,110(460):236~255.
[17]
Angeloni,I.,E.Faia,and M.L.Duca.2010.“Monetary Policy and Risk Taking”,Social Science Electronic Publishing,2013:285~307.
[18]
Barnea,E.,and M.Kim.2014. “Dynamics of Banks’ Capital Accumulation”, Journal of Money,Credit and Banking,46(4):779~816.
[19]
BCBS.1993. “Supervisory Treatment of Market Risks”, Working Paper.
[20]
Bemanke,B.,Gertler,M.,and Gilchrist,S.1999.“The Financial Accelerator in a Quantitative Business Cycle Framework”,Handbook of Macroeconomics,edition 1,1(21):1341~1393.
[21]
BIS.2008. “Innovations in Credit Risk Transfer:Implications for Financial Stability”,BIS Working Paper.
[22]
Blum,J.,and Hellwig,M.1995.“The Macroeconomic Implications of Capital Adequacy Requirements for Banks”, European Economic Review,39(3):739~749.
[23]
Borio,C.,and Zhu H.2008. “Capital Regulation,Risk-taking and Monetary Policy:A Missing Link in the Transmission Mechanism”,BIS working paper,No 268.
[24]
Brunnermeier,M.K.2009.“Deciphering the Liquidity and Credit Crunch 2007-2008”,Journal of Economic Perspectives,23(1):77~100.
[25]
Brunnermeier,M.K.,and Pedersen,L.H.2009.“Market Liquidity and Funding Liquidity”,Review of Financial studies,22(6):2201~2238.
[26]
Christensen,I.,and A.Dib.2008.“The Financial Accelerator in An Estimated New Keynesian model”, Review of Economic Dynamics,11(1):155~178.
[27]
Delis,M.D., and Kouretas,G.P. 2011.“Interest Rates and Bank Risk-Taking”, Journal of Banking & Finance,35(4):840~855.
[28]
Gertler,M.,and P.Karadi.2011.“A Model of Unconventional Monetary Policy”, Journal of Monetary Economics, 58(1): 17~34.
[29]
Gertler,M.,S.Gilchrist,and F.Natalucci.2007.“External Constraints on Monetary Policy and the Financial Accelerator”,Journal of Money,Credit and Banking,39(2-3):295~330.
[30]
Kaminsky,G.L.,and Reinhart,C.2000.“On Crisis,Contagion,and Confusion”, Journal of International Economics,51:145~168.
[31]
Kiyotaki Nobuhiro,and J.Moore.1997. “Credit Cycles”,The Journal of Political Economy,105(2):211~248.
[32]
Kopecky,K.J.,and D.VanHoose.2004.“Bank Capital Requirements and The Monetary Transmission Mechanism”,Journal of Macroeconomics,26:443~464.
[33]
Pavlova,A.,and Rigobon,R.2008.“The Role of Portfolio Constraints in The International Propagation of Shocks”,The Review of Economic Studies,75(4):1215~1256.
[34]
Peter,G.V.2009.“Asset Prices and Banking Distress: A Macroeconomic Approach”, Journal of Financial Stability,5(3):298~319.
[35]
Rajan,R.G. 2005.“Has Financial Development Made the World Riskier?”,Proceedings,Federal Reserve Bank of Kansas City,313~369.
[36]
Shin,H.S.2008.“Risk and Liquidity in a System Context”,Journal of Financial Intermediation,17(3):315~329.
[37]
Woodford,M.2003.“Interest and Prices:Foundations of a Theory of Monetary Policy”,Princeton University Press.
