中国利率传递效率与异质性特征

张成思¹，秦艺轩²

（1.中国人民大学 财政金融学院，北京 100872；2.北京联合大学 商务学院，北京 100025）

摘要：畅通的利率传递是货币政策有效调控实体经济的关键环节。本文以利率传递理论为基础，纳入宏观金融影响因素，采用自回归分布滞后误差修正模型，实证检验上海银行间同业拆放利率（SHIBOR）、银行间存款类机构7天期质押式回购利率（DR007）、1年期贷款市场报价利率（LPR1Y）等市场基准利率向债券市场与贷款市场利率的传递效应。研究发现：第一，SHIBOR与债券市场利率、贷款市场利率之间存在显著的长期均衡关系，而DR007未与二者形成稳定的协整关系，反映出DR007与SHIBOR并存的双轨定价特征；第二，利率传递效率与调整速度分别呈现“短端强、长端弱”“短快长慢”的期限规律，整体表现为不完全传递；第三，债券市场的调整速度显著快于贷款市场，市场分割与价格黏性导致传递效率存在非对称特征；第四，传递效率受存款准备金率、通货膨胀率与外汇干预等宏观金融因素的影响，其中存款准备金率的影响最为突出。本文为健全中国市场化利率形成、调控和传导机制，畅通政策传导机制，以及持续深化利率市场化改革提供了政策参考。

基金项目：北京市社会科学基金重大规划项目“健全推动首都经济高质量发展体制机制研究”（25ZDA04）；北京联合大学校级青年博士培育项目“利率市场化下的利率传递效率研究”（SK30202508）

关键词：利率传递；市场基准利率；市场利率；债券市场；贷款市场

作者简介：张成思，中国人民大学财政金融学院教授、博士生导师，中国财政金融政策研究中心研究员，中国金融市场与政策研究所所长；秦艺轩，北京联合大学商务学院讲师，通信作者。

引用格式：张成思，秦艺轩. 中国利率传递效率与异质性特征［J］. 首都经济贸易大学学报，2026，28（5）：3-19.

Efficiency and Heterogeneous Characteristics of Interest Rate Pass-through of China

ZHANG Chengsi¹, QIN Yixuan²

(1. Renmin University of China, Beijing 100872;

2. Beijing Union University, Beijing 100025)

Abstract: The efficiency of interest rate pass-through is a core link in the monetary policy transmission mechanism. As China embarks on its Fifteenth Five-Year Plan and the building of a strong financial nation, refining the market-based interest rate formation, regulation and transmission mechanism, and smoothing policy transmission channels, have become vital tasks for high-quality financial development. Against this backdrop, this study evaluates the cross-market pass-through efficiency of China's benchmark rates, reveals its heterogeneity, and identifies its key determinants. Rooted in Rousseas' classic pass-through theory, it builds an extended analytical framework incorporating macro-financial factors. Using the Autoregressive Distributed Lag-Error Correction Model (ARDLECM), it examines how three core benchmark rates-the 7-day depository institutions repo rate (DR007), the Shanghai Interbank Offered Rate (SHIBOR), and the 1-year Loan Prime Rate (LPR1Y)-transmit to bond yields of various maturities and to loan market rates, controlling for gross domestic product, inflation rate, the reserve requirement ratio, foreign exchange intervention and trade openness.

The results yield four main findings. First, SHIBOR shows a significant long-run equilibrium relationship with both bond and loan market rates, whereas DR007 forms no stable cointegrating relationship with them, indicating a dual-track pricing regime in which DR007 serves as the policy anchor and SHIBOR as the market benchmark. Second, adjustment follows a short-fast, long-slow pattern: short-term bond yields revert to equilibrium much faster than longer-dated ones, and long-run pass-through is incomplete and decays with maturity, showing a short-endstrong, long-end-weak gradient. Third, the bond market adjusts to policy-rate shocks markedly faster than the loan market, owing to its more effective price discovery, while the credit market exhibits strong rate stickiness from internal pricing models, client relationships and regulation; market segmentation thus produces asynchronous and asymmetric transmission. Fourth, macro-financial factors significantly affect pass-through, with the reserve requirement ratio the most prominent, reflecting the continued role of quantitative tools and a hybrid framework of coordinated price- and quantity-based regulation.

Two contributions follow: aligning with the Fifteenth Five-Year Plan's goal of a market-based transmission mechanism, this study links empirical evidence to policy orientation; and by focusing on how benchmark rates reach bond and loan markets, it broadens the empirical evidence on rate pass-through. The implications are to refine a benchmark system centered on DR007 with SHIBOR as the market reference and clarify their division of labor; to coordinate efficiency gains across bond and credit markets, deepen LPR reform and improve market interconnection; to strengthen expectation guidance for long-term rates and reinforce the benchmark status of the treasury yield curve; and to uphold price-based regulation while coordinating it with quantitative tools, thereby building a unified, smooth and efficient interest rate transmission system.

Keywords: interest rate pass-through; market benchmark interest rate; market interest rate; bond market; loan market

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