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Asset Prices Transmission Effect of Monetary Policy in China

Author: GaoJian
Tutor: JinChengXiao
School: Jilin University
Course: Quantitative Economics
Keywords: Monetary policy Asset prices Conduction effect Structural vector auto regression model
CLC: F822.0
Type: Master's thesis
Year: 2011
Downloads: 170
Quote: 2
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Abstract

Since the 1980s, with the increasing expansion of the asset size of the market, the impact of asset price fluctuations on the economy is growing. In particular, the impact of the intermediate target of monetary policy and the ultimate goal, has made a study of the relationship between monetary policy and asset markets and the real economy to become a hot spot. China is in a period of economic restructuring, the ultimate goal of monetary policy is to maintain the stability of the currency, so as to promote the steady growth of the economy. The rapid development of the asset markets directly affect the supply and demand of the currency throughout the formulation and implementation of monetary policy of always. Deepening asset markets makes the transmission mechanism of monetary policy is increasingly complex, leading policy makers face more challenges to study the operation of monetary policy goals and means of implementation. Therefore, the importance of the effects of asset price transmission of monetary policy in China has become increasingly prominent. The main purpose of this paper is to analyze the asset prices of China's monetary policy conduction effect is significant. On the basis of previous studies, empirical study carve two parts: the first study of the impact of monetary policy on asset prices; then analyzed on the basis of asset prices, the impact on the real economy, as an example of China's monetary policy asset prices conduction effect is significant, conduction channels patency. Chapter 1 is an introduction. Introduce the research background and significance of the papers, the description of the monetary policy, asset prices conductivity of the necessity and importance of the study. Then conducted a literature review to understand the past, domestic and foreign Research, found and ask questions. In this thesis is given on the basis of the framework structure, innovation and lack of identifying research ideas and content. Chapter 2 describes the asset prices of the monetary policy transmission theory. Section 1 describes the four channels of monetary policy transmission; Section 2 describes the three tools of monetary policy and interest rates have an impact on asset prices means; 3 on asset prices, output and inflation. The main purpose of this chapter is to provide a theoretical basis for the empirical analysis later. Chapter 3 is about the theory used in the empirical model and research methods. Introduces SVAR model, and a brief description of the HP filter and SVAR used unit root test, Johansen cointegration test, Granger causality test, impulse response function and variance decomposition concepts and principles, providing methodological tools for empirical analysis operations. Chapter 4 is the empirical part of the thesis. Research through the establishment of the SVAR model of China's monetary policy conduction effect of asset prices, two part empirical carve. Prior to analysis, the choice of the number of monetary policy tools proxy variables discussed. Specifically, this chapter to analyze three pairs of monetary policy, asset prices conduction effect: a description of the empirical analysis of the choice of variables and sample data sources; Section 2 describes the use of the HP filter visits monetary policy in the number of tools the impact of changes in asset prices, and qualitative contrast; 3 as a key part of the thesis, the first one based on the quantitative analysis of China's monetary policy, asset prices conduction effects - the impact of monetary policy on asset prices and asset the impact of prices on output and inflation. Finally, for the conclusion of the paper, described in the thesis results, and will be described later on this aspect there may be difficulties in the course of the study and needs further attention.

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