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Research on the Effect of Monetary Policy Based on the Generalized Dynamic Factor Model

Author: HanKe
Tutor: ZhangHua
School: Zhejiang University
Course: Finance
Keywords: General dynamic factor model Financial crisis Effectiveness of Monetary Policy
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 127
Quote: 0
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Abstract


Starting in 1994 , China gradually to monitor the level of money supply as a reference of the monetary policy operations in 1996 was officially the money supply as the intermediate target of monetary policy in China . Prior to this , China's monetary policy operations by directly controlling the credit scale to achieve the planned economy with a strong color. In other words , China to establish the true sense of the modern monetary policy framework , but also 15 years . In the past 15 years , China's economy has experienced fluctuations in the economic cycle , has also been a new challenge for China 's monetary policy operations . China 's central bank - the People 's Bank of China monetary policy implementation capacity is also rising. Especially in April 2003 of the issue of central bank bills as the subject of open market operations since , China 's central bank open market operations the ability to get significantly improved in more than monetary policy development background , this paper for the first time the use of the general dynamic factor model analysis of China 's monetary policy effects empirical results show that China 's monetary policy have a significant impact on the main economic variables , and variables such as GDP , the use of the analysis of the conclusions of the general dynamic factor model is superior to traditional vector autoregressive to the conclusion . Meanwhile, the departure from the operating target of monetary policy , the intermediate target , the ultimate goal of the angle analysis of the effectiveness of monetary policy in China since the financial crisis , the analysis showed that in the period of China 's monetary policy is effective , operational objectives , intermediary regulation of the target as well as intermediate targets with the ultimate goal of correlation are more desirable.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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