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 macroeconomic effects of monetary policy: Evidence from Japan

This study examines the macroeconomic effects of monetary policy in Japan. We apply the new identification strategy proposed by Bu et al. (2021) to the Japanese case and estimate monetary policy shocks that bridge periods of conventional and unconventional monetary policymaking. We show the macroeconomic effects of monetary policy; a contractionary monetary policy shock significantly decreases output and inflation rates even under the effective lower bound. However, because the shorter-term and longer-term nominal interest rates are already close to zero, the magnitude of monetary policy shocks on the macroeconomic variables is modest.     

Bank loans and the effects of monetary policy in China: VAR/VECM approach

In this paper, we test the differential effects of monetary policy shock on aspects of banks' balance sheets (deposits, loans, and securities) across bank categories (aggregate banks, state banks, and non-state banks) as well as on macroeconomic variables (output, consumer price index, exports, imports, and foreign exchange reserves). We do so by estimating VAR/VEC Models to uncover the transmission mechanisms of China's monetary policy. Also we identify the cointegrating vectors to establish the long-run relationship between these variables. By using monthly aggregate bank data and disaggregated data on bank and loan types from 1996 to 2006, our study suggests the existence of a bank lending channel, an interest rate channel and an asset price channel. Furthermore, we discuss and explore the distribution and growth effects of China's monetary policy on China's real economy. In addition, we investigate the effects of China's monetary policy on China's international trade. Finally, we identify the cointegrating vectors among these variables and set up VEC Models to uncover the long-run relationships that connect the indicators of monetary policy, bank balance sheet variables and the macroeconomic variables in China.     

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.     

The time-frequency analysis of conventional and unconventional monetary policy: Evidence from Japan

The effects of monetary policy on the aggregate economy is an important issue that has been addressed mainly in the time domain, and relatively little is known about how monetary policy affects the macroeconomy in the time-frequency space. With a continuous wavelet multiple coherency and partial coherency approach, this paper contributes to the literature by characterizing the macroeconomic effects of monetary policy across frequencies and over time using a monthly dataset from Japan, which is in the vanguard in the practice of unconventional monetary policy. The empirical results show that: First, interest rate changes could be largely captured by inflation fluctuations across frequencies before 1999 but only at low frequencies after 1999. Second, movements of M1 could well reflect the variations of industrial production at the scale of 2–4 years before 1999, but this relationship was reversed at the same scale after 1999. Third, changes in M2 could roughly mirror the fluctuations of inflation at the scale of 3–4 years between 1966 and 1969, and this relationship was reversed at the scale of 1–3 years between 2003 and 2007. This study indicates that in Japan conventional and unconventional monetary policy generate heterogeneous effects on the aggregate economy and the level of heterogeneity partially depends on the chosen instrument.     

Macroeconomic impact of monetary policy shocks: Evidence from recent experience in Thailand

This paper investigates the monetary transmission mechanism in Thailand, employing a VAR approach. It is found that the Bank of Thailand has leverage over the real interest rate in the short run due to inflation inertia. It is also found that the Thai monetary transmission mechanism has important international dimensions. More specifically, monetary contraction has stronger negative effects on import demand in the short run even though import prices fall.     

人民币国际化对货币政策有效性的影响

人民币国际化是否影响货币政策有效性?是人民币国际化程度提高之后货币大规模跨境流动而引起的担忧。文章研究发现,在给定其他因素不变的情况下,人民币国际化程度的提高放大了境外汇率变动对国内经济产出和价格的影响。因此,人民币国际化背景下,中央银行应将境外汇率失衡纳入货币政策的反应函数,反应系数取决于境外利率、产出和价格对境外货币需求的决定系数。理论分析还表明,人民币国际化程度不影响货币政策对国内价格的有效性,而是否影响货币政策对国内经济产出的有效性,则取决于经济结构特征。实证结果表明,目前人民币国际化未对国内利率、产出和价格带来明显冲击,且无论是在M0层次,还是在M2层次,人民币国际化均未明显影响国内货币政策有效性。     

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 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.     

利率市场化对我国货币政策有效性的影响

利率只有在市场经济体制的大环境中才有可能走向市场化。换句话说，利率的市场化要由市场经济体制为其提供最基础的条件。为什么在过去的很长一段时间内，我们并没有提出利率市场化的问题，原因就在于，过去实行的是计划经济体制，利率只是计划管理的工具，利率的影响作用被严格限制在一定的范围内，利率市场化与计划管理是对立的。后来，我     

Pushing on a string: State-owned enterprises and monetary policy transmission in China

This paper studies whether monetary transmission in China is asymmetric. While researchers have found an asymmetric transmission in the US and other economies, China offers a specific rationale for asymmetries: the presence of state-owned enterprises (SOEs) with preferential access to financing. To study the consequences of SOEs for monetary policy transmission, we differentiate between expansionary and restrictive policy shocks and argue that SOEs generally suffer less from a policy tightening and benefit more from a policy easing. Based on sector-specific macroeconomic time series and a large firm-level data set, we provide evidence of a systematic and sizeable asymmetry in the transmission of monetary policy shocks in China. The nature of the asymmetry is consistent with the notion of explicit or implicit government guarantees of SOEs and has consequences for the adjustment of aggregate variables. In contrast to other central banks, the People's Bank of China seems able to “push on a string”.     

Endogenous monetary policy shifts and the term structure: Evidence from Japanese government bond yields

I construct a no-arbitrage term structure model with endogenous regime shifts and apply it to Japanese government bond (JGB) yields. This model subjects the short-term interest rate to monetary regime shifts, specifically a zero interest rate policy (ZIRP) and normal regimes, which depend on macroeconomic variables. The estimates show that under the ZIRP regime, the effect of deflation (inflation) on lowering (raising) bond yields amplifies on the long end of yield curves, compared with a case with positive interest rates under the normal regime. On the other hand, output gaps’ ability to raise bond yields weakens for all maturities.     

Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area

This paper analyses an otherwise standard macro-financial VAR model for the euro area that includes - apart from conventional measures of output, inflation and monetary policy - a composite indicator of systemic financial stress, namely the CISS index, and total assets of the ECB balance sheet capturing the stance of unconventional monetary policy. I find that the CISS contributes significantly to the dynamics of the macroeconomy and exerts a strong influence on monetary policy when looking at both policy rates and the ECB balance sheet. The significance of the CISS appears robust to the inclusion of a broad set of real and financial control variables. Based on tests of direct versus indirect (Granger-)causality patterns proposed in Hsiao (1982), I also find that unlike unconventional policy as measured by ECB balance sheet growth, the policy rate does not seem to react directly to variations in financial stress but rather indirectly through the impact of financial stress on macroeconomic conditions. These different patterns of reaction are broadly consistent with the ECB’s “separation principle”. The estimated effects of the ECB’s standard and non-standard policy measures on inflation and economic growth are moderate, although an easier stance in both policy tools helps calm down financial stress.     

VAT rebates as trade policy: Evidence from China

Value-added tax (VAT) rebates are a commonly used export-promoting policy. This paper exploits China's frequent adjustments of VAT rebates and large-scale data on export transactions to estimate the effects of VAT rebates on exports. Our difference-in-differences estimations show that the negative adjustments of VAT rebates in our sample period significantly reduce export value and quantity by 15.30% and 19.75%, respectively. This shows that the trade policy of VAT rebates is very effective. We also find that the effect of VAT rebates on exports operating through extensive margins is larger than the effect through intensive margins. Moreover, we find that the pass-through of VAT rebates to importers is around 47%.     

从货币供给理论看我国当前货币政策的有效性

文章回顾了西方货币供给理论,结合我国当前宏观经济及货币信贷投放情况的新特点,指出货币供给内生性不断增强的趋势,并提出进一步发挥货币政策效用的对策。     

The Output Effects of Money Growth Uncertainty: Evidence from a Multivariate GARCH-in-Mean VAR

In this paper we extend the work in Serletis and Shahmoradi (Macroecon Dyn 10:652–666, 2006) by investigating the effects of money growth uncertainty on real economic activity, in the context of a multivariate framework in which a structural vector autoregression is modified to accommodate multivariate GARCH-in-Mean errors, as in Elder (J Money, Credit Bank 36:912–928, 2004). The model uses a recursive identification scheme, takes into account the possible interaction between conditional means and variances, isolates the effects of money growth volatility on output growth, and is able to explicitly model heteroskedasticity. We use quarterly data for the United States over the period from 1959:1 to 2005:4, provide a comparison among simple-sum, Divisia, and currency equivalent monetary aggregation procedures at each of the four levels of monetary aggregation—M1, M2, M3, and MZM—and find evidence that money growth volatility has significant negative effects on output growth. Issues of structural stability are addressed and sub-sample analysis is performed. Moreover, the robustness of the results to alternative identification schemes, alternative measures of the level of economic activity, and to the use of monthly observations is also investigated.     

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.     

The impact of technology identification policy on firm innovation: Evidence from China

Using firm-level data of companies listed on China's A-share market from 2006 to 2017, this research applies a difference-in-differences (DID) empirical method to test whether the state policy in China used for identifying firms as being “high-tech” enhances their innovative capabilities. This paper presents three main findings. First, multiple robustness tests confirm that the state technology identification policy does improve the total number of patent applications as well as the number of patent invention applications. Second, government subsidy is an important channel through which this policy affects a firm's innovation capabilities. Third, this policy has a more prominent and positive influence on the innovation capabilities of firms located in regions where there exist a higher rate of taxation in addition and relatively more developed products and factor markets. Fourth, we conduct a flexible back-of-the-envelope cost-benefit analysis to demonstrate that the high-tech firm identification policy does improve the overall level of social welfare. The empirical results of this paper have far-reaching implications for China's innovation policies.     

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.     

加强我国公司法人治理结构中的激励与约束机制

本文利用相关分析、Granger因果检验、回归分析三种统计指标分析了CPI与GDP的关系 ,指出CPI作为通货膨胀指标的可行性。要实现CPI的控制目标 ,应以M 2作为货币政策中介目标较为合理