中国债券市场货币政策传导有效吗

本文对我国债券市场货币政策传导有效性进行实证研究,首次将含有非平稳变量的Granger因果检验应用其中。结果表明:债券市场货币政策传导效率在第一阶段即基础货币与债券市场之间属于弱有效,在第二阶段即债券市场至实体经济货币政策传导作用上不能完全反映经济的基本情况。     

Comparing monetary policy transmission across European countries

Comparing Monetary Policy Transmission across European Countries. — This paper re-evaluates the estimation of monetary policy transmission. Within the Structural VAR framework, five methodological points are identified, recognition of which can help to improve the reliability and credibility of estimates. The findings of the methodological analysis are applied to the estimation of models for thirteen European countries. Results show that considerable differences in the transmission mechanism exist between these economies, mainly in intensity, but also in timing.     

Inflation dynamics and monetary policy transmission in Vietnam and emerging Asia

This paper provides an overview of inflation developments in Vietnam in the years following the doi moi reforms, and uses empirical analysis to answer two key questions: (i) what are the key drivers of inflation in Vietnam, and what role does monetary policy play? and (ii) why has inflation in Vietnam been persistently higher than in most other emerging market economies in the region? It focuses on understanding the monetary policy transmission mechanism in Vietnam, and in understanding the extent to which monetary policy can explain why inflation in Vietnam has been higher than in other Asian emerging markets over the past decade.     

Navigating the trilemma: Capital flows and monetary policy in China

In recent years China has faced an increasing trilemma—how to pursue an independent domestic monetary policy and limit exchange rate flexibility, while at the same time facing large and growing international capital flows. This paper analyzes the impact of the trilemma on China's monetary policy as the country liberalizes its good and financial markets and integrates with the world economy. It shows how China has sought to insulate its reserve money from the effects of balance of payments inflows by sterilizing through the issuance of central bank liabilities. However, we report empirical results indicating that sterilization dropped precipitously in 2006 in the face of the ongoing massive buildup of international reserves, leading to a surge in reserve money growth.We also estimate a vector error correction model linking the surge in China's reserve money to broad money, real GDP, and the price level. We use this model to explore the inflationary implications of different policy scenarios. Under a scenario of continued rapid reserve money growth (consistent with limited sterilization of foreign exchange reserve accumulation) and strong economic growth, the model predicts a rapid increase in inflation. A model simulation using an extension of the framework that incorporates recent increases in bank reserve requirements also implies a rapid rise in inflation. By contrast, model simulations incorporating a sharp slowdown in economic growth such as that seen in late 2008 and 2009 lead to less inflation pressure even with a substantial buildup in international reserves.     

Expansionary monetary policy and credit allocation: Evidence from China

We identify the impact of expansionary monetary policy in China during the 2008–2009 global financial crisis on the credit and investment allocation among firms. We obtain robust evidence that expansionary monetary policy led to the misallocation of bank credit to less productive firms after controlling for confounding factors. However, we find that investment increased more for more productive firms. Additional analyses show that this occurred partly because more productive firms hoarded cash before the crisis, and partly because less productive firms invested more in financial assets.     

The effectiveness of monetary policy in China: Evidence from a Qual VAR

Analyzing monetary policy in China is not straightforward because the People's Bank of China (PBoC) implements policy by using more than one instrument. In this paper we use a Qual VAR, a conventional VAR system augmented with binary policy announcements, to extract a latent indicator of tightening and easing pressure, respectively, for China. The model acknowledges that policy announcements are endogenous and summarizes policy by a single indicator. The Qual VAR allows us to study the impact of monetary policy in terms of unexpected changes in these latent variables, which we identify using sign restrictions. We show that the transmission of monetary policy impulses to the rest of the economy is similar to the transmission process in advanced economies in terms of both output growth and inflation despite a very different monetary policy framework. We find that bank loans are not sensitive to policy changes, which implies that window guidance is still a necessary policy tool. We also find that the impact of monetary policy shocks is asymmetric in terms of asset prices, that is, the asset price reactions differ in their sensitivity to tightening shocks and easing shocks, respectively. In particular, an easing of monetary conditions boosts stock prices while a tightening shock leaves stock prices unaffected. This shows that monetary policy is not a suitable tool to stabilize asset prices, which raises implications for financial stability and macroprudential policy.     

The money supply mechanism and monetary policy in China

One of the main difficulties of analyzing the macroeconomic condition in The People's Republic of China is the lack of information of its money supply mechanism. The present paper tries to provide a systematical analysis of the Chinese money supply process from both the theoretical and empirical points of view. It shows that the economic reform in the 1980s caused profound changes in the structure of the banking system in the following ways, (a) The establishment of the central bank paved the foundation of the money creation process through the monetary base and a multiplier effect, (b) Consequently, the money supply and credit condition are controlled, at least partially, by economic instruments such as the monetary base, required reserve ratio, and interest rates, (c) The old money supply system is far from being phased out yet. As a matter of fact, it is the mixture of a central bank system and an administrative command driven centrally planned system that constitutes the money supply mechanism with the “Chinese characteristics”. The successes and failures of the monetary policies in the late 1980s and early 1990s reflect the central bank's ability to control the macroeconomic condition of the economy. They also indicate that at the beginning of the 1990s, after a decade of economic reforms, the money supply mechanism in China is still, by and large, controlled by the central government through administrative orders rather than economic leverages.     

The transmission mechanism of monetary policy in Japan: Evidence from banks' balance sheets

We examine how banks' responses to monetary policy vary according to their balance sheet using Japanese bank data from 1975 to 1999. We find that the effect of monetary policy on lending is stronger for banks that are smaller, less liquid, and more abundant with capital. The effects of bank balance sheet on monetary transmission are different by bank types, policy stances and borrowers' industries. Our results imply that a lending channel of monetary transmission exists, that the effect of expansionary monetary policy is attenuated if banks' capital is scarce, and that the effect of monetary policy on the allocation of funds depends on banks' balance sheets. J. Japanese Int. Economies 20 (3) (2006) 380–405.     

Salient features of China’s monetary policy

The paper analyzes the objectives and instruments of China’s monetary policy. Until recently, China succeeded in handling the complicated problem of simultaneously curbing inflation and preventing the national currency from getting too strong in the context of a high active balance of trade. Russian monetary authorities, which are also facing the problem of surplus inflow of funds (petrodollars, loans, and investments), have been unable so far to find an effective solution. An analysis of the Chinese experience of monetary regulation and its comparison with the domestic practices suggests that the Russian monetary authorities should substantially revise their approach to maintaining a balance between the money market and the forex market. This revision would help to retard the strengthening of the ruble, to balance the pressure on prices, and to release budgetary investment resources.     

The real effects of monetary policy in China: An empirical analysis

This paper examines whether institutional changes have affected the interaction between the real economy and monetary policy in China. We find evidence that structural changes in the financial and real sectors over the period of our study did influence the way in which monetary policy affected the real economy. There were an increasing influence of interest rates on output over 1984 to 1997 and non-state owned enterprises were increasingly reacting to monetary policy changes, suggesting that banking sector reforms were having effects, despite the fact that most credit was allocated to the loss-making State sector.     

Transparency in monetary policy

The paper examines different aspects of transparency. Transparency serves democratic accountability by promoting public control. Specifically, the degree of transparency conditions inflation expectations, hence the central bank's scope for stabilization. Recent studies have put doubt on the notion that complete transparency is socially desirable. Here it is pointed out that the conclusion critically depends on an asymmetric modelling of stochastic preferences. The paper also reviews the pros and cons of revealing individual voting. A conclusion is that secrecy is to be prefered in monetary unions in order to shield governors from pressure by home governments. Presidential Address presented at the Fifty-Third International Atlantic Economic Conference, March 13–17, 2002, Paris, France.     

Uncertainty and monetary policy

The experience of monetary policy making in an uncertain environmenthas encouraged increased attention to the concept of model uncertainty,that is, uncertainty as to which is the best model. A particulardifficulty has been the need to operationalise the concept inorder to yield definitive policy recommendations. If this typeof uncertainty is unquantifiable, then a policy rule determinedby a single model may not in fact be the best approach; pluralismof method and the exercise of judgement offer a potential solution.A rigorous foundation for such an approach is available in Keynes'sphilosophical analysis of decision making under uncertainty.It is concluded that more analytical attention needs to be devotedto agents’ own model uncertainty, and to judgement. Butultimately the scope for synthesis between the model uncertaintyand Keynes uncertainty approaches rests on whether or not thesubject matter is such that knowledge of it is best representedby one formal model.     

Fiscal and monetary policy in a monetary union: Credible inflation targets or monetized debt?

Fiscal and Monetary Policy in a Monetary Union: Credible Inflation Targets or Monetized Debt? —The paper examines the interrelationship between fiscal and monetary policy in a two-country monetary union. The worst scenario occurs when an independent central bank sets the nominal interest rate and responds to rising government debt/GDP ratios by monetization. The result is high inflation, high debt/GDP ratios and a large public sector. Government debt and inflation are contained if the governments bear sole responsibility for solvency, but the public sector remains excessively large. The best scenario occurs if the central bank removes the incentive for the governments to engineer surprise inflation by credible inflation targeting.     

Dual-track interest rates and the conduct of monetary policy in China

China has a dual-track interest-rate system: bank deposit and lending rates are regulated while money and bond rates are market-determined. The central bank also imposes an indicative target, which may not be binding at all times, for total credit in the banking system. We develop and calibrate a theoretical model to illustrate the conduct of monetary policy within the framework of dual-track interest rates and a juxtaposition of price- and quantity-based policy instruments. We show the transmission of monetary policy instruments to market interest rates, which, together with the indicative credit target in the banking system, ultimately are the means by which monetary policy affects the real economy. The model shows that market interest rates are most sensitive to changes in the benchmark deposit interest rates, significantly responsive to changes in the reserve requirements, but not particularly reactive to open market operations. These theoretical results are verified and supported by both linear and GARCH models using daily money and bond market data. Overall, the findings of this study help us to understand why the central bank conducts monetary policy in China the way it does, using a combination of price and quantitative instruments with differing degrees of potency in terms of their influence on the cost of credit.     

Making monetary policy: objectives and rules

What is it that monetary policy-makers do and how do they doit? The simple answer is that a central banker moves interestrates in order to maintain steady real growth and stable prices.In this essay, I examine the issues that arise in framing theproblem faced by monetary policy-makers. I begin with a discussionof how, over the past decade or so, central banks have beenmade more independent and more accountable. The result has beenthe virtual elimination of the inflation bias problem that iscaused by political interference in the monetary policy process,and better overall macroeconomic performance. The essay proceedswith an example of a formal version of the policy-makers' problem,describing their objectives and the information they need toformulate a policy rule. I conclude with a discussion of a simpleversus complex policy rules, the impact of uncertainty on policy-making,and how central bankers use formal modelling in making theirday-to-day decisions.     

我国货币政策传导渠道浅析

近几年来,货币政策在调控我国经济方面起到了重要的作用,人们对货币政策传导渠道的关注也越来越紧密。本文阐述了货币政策的主要传导渠道,分析了我国货币政策传导渠道存在的问题,最后给出了完善我国货币政策传导渠道的建议。     

Credibility and monetary policy in a model with growth

We examine the implications for monetary policy design of includinglearning-by-doing effects in a macroeconomic model. We showthat an inflation bias arises because monetary surprises maybe exploited to maximise potential output by temporarily raisingthe rate of human capital accumulation. Our model also providesan alternative explanation for the empirical evidence linkinginflation and growth, where the causal link goes from slow growthto high inflation. Unlike traditional credibility models, aninflationary bias can persist even when the authorities do notwish to offset labour market distortions through monetary surpriseswhich undercut the median voter's income.     

Market discipline and monetary policy

The effects of forward looking expectations of future inflationon equilibrium inflation and interest rates are examined withinan imperfect information framework. Expectations of future inflationaffect equilibrium in a manner similar to an increase in thecentral bank's weight on future social welfare, making it morelikely an opportunistic central bank will actually deliver onits announced inflation targets, and output expansions can ariseeven if the central banker is revealed to be a low inflationtype. The model also illustrates the channels through whichinflation scares raise current real interest rates.     

Bank competition and monetary policy

There is an apparent theoretical discrepancy between the effects of monetary policy shocks on economies with differently competitive banking sectors. We employ cross-country data to investigate this hypothesis with two different approaches. First, using aggregate data we analyze the correlation between two indices: (i) a cumulative impulse response function providing an index of the effect of monetary policy shocks; and (ii) Panzar and Rosse's H-statistic as an index of the state of bank competition. Second, using disaggregated data we regress bank lending on the interaction of bank competition and monetary policy shocks. The first approach does not provide any evidence of a relationship between monetary policy shocks and bank competition. However, the second approach suggests that competition in the banking industry leads to smaller monetary policy effects on bank lending.