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An Empirical Research of Threshold Effect of Monetary Policy in China Based on Credit Rationing Theory

Author: LiWei
Tutor: ZhuShunLin
School: Ningbo University
Course: Finance
Keywords: credit Rationing Monetary policy threshold effect
CLC: F832.4
Type: Master's thesis
Year: 2013
Downloads: 0
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Abstract


Threshold effect of monetary policy is one kind of asymmetric money theory. This paperdistinguished the two kinds of threshold effects and nonlinear model or asymmetric modelfollowed by an estimation of the threshold value based on the annual data from1978to2011,which is-0.06under a obviously threshold effect. This paper hold the idea that the threshold ofmonetary policy is caused by threshold rationing existed in different-size companies, then come upwith four hypothesis. In order to test the four hypothesis, the author use the change of loan givento industry in all the loan, which shows the credit rationing is tight when the value lower than0andloose when higher than0. Then this paper use AB-SVAR model to test the structuralresponse for different size companies’ product by using data from1986-2011as a sample. Theresult shows that in tight monetary policy, the bank would like to give loans to large-sizecompanies which only bring a little grow in production, which is much more small than thedecrease of small-size companies. But in the other hand, in loose monetary policy, the bank willfirst increase loan for large-size companies then small-size companies loose of credit rationing canmake small size produce more obviously, but it is at the expense of decrease of credit for large sizecompanies. The basic reason for credit rationing is difficult for small-size companies in gainingfinancial support in caused by imperfect market. So we come up with three suggestions in the end:the first is to improve system building which can give a protection to market development;secondly, expand financial channels to support economic; thirdly, guid the financial institutiontargeted ly to help the bank found a new model of profit.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Credit
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