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Study on Asymmetry of Monetary Policy in China

Author: DingTao
Tutor: ZhaoZuoDong
School: Huaqiao University
Course: Quantitative Economics
Keywords: Monetary Policy Asymmetry Vector autoregressive family model
CLC: F822.0
Type: PhD thesis
Year: 2013
Downloads: 3
Quote: 0
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Abstract


The effective monetary policy, being the most penetrative and influential policyin a market economy, is regarded as an important economic tool by variousgovernments. Monetary Policy is applied to promote steady and rapid economicdevelopment and control the risks caused by excessive economic fluctuation. Whenthe central bank operate in practice, it is hard to predict monetary policy’s impact oneconomy. The effects of monetary Policy on different stages、regions、industries andcommodity prices are different. Because different regions、industries、stages ofeconomic development and commodity prices with their own Sensitive to monetarypolicy will change according to the environment, which is called the asymmetriceffects of monetary policy. In other words, the asymmetric effects of monetarypolicy are the key issues to research and solve for operation of the process ofmonetary policy in practice. Aware and understand the asymmetry of monetarypolicy in our country accurately in the market economy, which has become a core ofresearch for monetary economics. Based on extension analysis method from vectorautoregressive, this paper analyzes the asymmetry of monetary policy in China, andthe empirical results show that in our country the asymmetric effects of monetarypolicy show in the following four dimensions: region, industry, commodity price andtime, then this paper analyzes the mechanism of asymmetry effects of monetarypolicy in the four dimensions separately. In the regional dimension, this papertestifies the existence of asymmetry effects of monetary policy during whichtransmit in the provincial administrative region, and explain the mechanism of theasymmetric effects of monetary policy from economic and social development、industrial structure and living standards. The final result shows that it is found thatthe relationship between factors, which are social security and non-agriculturaldevelopment, and inflation cycle of the provincial administrative region caused bymoney shock is a negative correlation. Moreover, one of the fundamental reasonsthat why exit the asymmetric effects of monetary policy among different regions isthe different industrial structure in different regions.We find that the higherPercentage of primary industry is in the region, the longer inflation cycle is, and thatthe higher level of development of realty industry、financial industry and wholesaleand retail trade industry, the shorter inflation cycle caused by monetary policy is.In the industrial dimension, we use economic indexes and financial indexes asvariables to reflect the subspace which represent every industry in the fourth chapter,and refine public industrial factors to describe the Interactive relationship amongindustrial factors. Therein asymmetric effect on realty industry is most remarkable,heavy industry and agriculture comes second, while asymmetric effect of monetarypolicy on service industry and light industry is least remarkable.In the commodity price dimension, we research the asymmetric effect ofmonetary policy on various commodity prices in the fifth chapter. We testify theexistence of asymmetry effects of monetary policy during different commodityprices, by analyzing the respond to monetary impact on food price index、traffic andcommunication price index、medical care and personal supplies consumer price index.Therein asymmetric effect on food price index is most remarkable, medicalcare and personal supplies consumer price index comes second, while asymmetriceffect of monetary policy on personal supplies consumer price index is leastremarkable. This paper makes an empirical analysis for the asymmetric effect ofmonetary policy on various commodity prices in the different regions to prove therobustness of idea above-mentioned.In the time dimension, we research the asymmetric effect of monetary policy oninflation in different time in the sixth chapter, and we arrive at the following review.Firstly, the variety of monetary shocks in different stages is different. Secondly, it isat different times that the effect of monetary impact in the same direction is different.Thirdly, it is at different times that the effect of monetary shock in the differentdirection is different. What’s more, the effect of negative monetary impact oninflation is bigger than the effect of positive monetary impact on inflation in a shorttime, while the result was opposite when it is in a long time.Following the VAR family models as principal method, this paper firstlystudies the asymmetric effects of monetary policy on different regions by structurevector autoregressive model, then draws structure factor augment vectorautoregressive model to analyze t the asymmetric effects of monetary policy ondifferent industries. We use panel vector autoregressive model to analyze theasymmetric effects from the commodity price channel. Based on time varyingparameters-stochastic volatility-vector autoregressive model, this paper researchesthe asymmetric effects of monetary policy on time.

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CLC: > Economic > Fiscal, monetary > Currency > China's currency > Principle of policy and its elaborate
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