Research on the influence mechanism of China’s industrial circulation on long-term interest rate: Empirical analysis based on VEC model

摘要

As the adjustment space of China’s monetary policy is gradually expanding and the adjustment intensity is gradually increasing, the influence of external factors on money supply and demand is gradually weakening. The endogenous mechanism of interest rate in the real economy needs to be further explored. Through the long-term interest rate model, the paper reveals the relationship between the circulation status of real economy and long-term interest rate. Based on the monthly data of China from 2003 to 2019, the paper establishes the error-correction VEC model and the state-space model to conduct empirical test and analysis on the influence mechanism of long-term interest rate. The final results show that exogenous factors such as monetary policy have certain influence on interest rate in the short run, while in the long run, interest rate is affected by the average circulation of goods described by the inventory increment of manufacturers and the actual production input of enterprises.