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On the effectiveness of China 's central bank to use sterilization operations by the central bank bills

Author: CaoJiaJia
Tutor: SunHuaZuo
School: University of Foreign Trade and Economic
Course: Finance
Keywords: Portfolio Model Sterilization operations Cointegration Granger causality test
CLC: F822
Type: Master's thesis
Year: 2006
Downloads: 429
Quote: 5
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Abstract


In this paper, the portfolio model analysis of the basic mechanisms of sterilization operations in China , and an empirical test the effectiveness of our sterilization operations . Cointegration test found cointegration relationship exists between the two do not match with the theoretical model predictions , that is, both in the long term there is no relationship between the passive growth of the money supply and foreign exchange reserves ; subsequently further conducted Granger causality test , the test results show that the foreign exchange reserve growth is not Granger cause of the growth of money supply , which further confirms the results of the cointegration test . On the basis of the analysis of the two sterilization operations carried out by the Central Bank of China .

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CLC: > Economic > Fiscal, monetary > Currency > China's currency
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