Econometric Analysis Of The Transmission Mechanism And Dynamic Effectiveness Of Monetary Policy

With the deep development of the open and reform and the unceasing improvement of marketing level, the monetary policy as a regulation method plays a more and more important role in the stable development of economy. Based on the monetary policy of China and the monetary policy theory, this thesis econometrically analyses the transmission mechanism and dynamic effectiveness of the monetary policy in China.Chapter one introduces the modern quantitative monetary theory and discusses the monetary policy theory and monetary policy effectiveness put forward by the main economic schools. This chapter mainly expounds basic quantitative monetary theory and model, then thinks that monetary neutrality and nonneutrality is the important premise of whether the monetary policy is effective or not. And discusses the Keynes's motivations theory of money demand. This chapter also summarizes the chief viewpoints and conclusions of the monetary policy effectiveness described by various kinds of economic schools.Under the framework of the general equilibrium model, chapter two expounds the three models including money, the steady-state characteristics of money equilibrium models and economic policy enlightenment.Tobin was one of the first economists who established the relationship between money and output on the basis of neoclassical economic growth model, and he provided a monetary vision by introducing money as a second asset. But Tobin didn't model the reasons of agent's money holding. This model reveals monetary neutrality. In the analysis of monetary utility, Sidrauski first studied the relationship between money and economic growth, which is the MIU model. The motivation for model incorporating money is that agents gain utility from both consumption and money holding. This model reveals money superneutrality that means that the changes of nominal money growth do not influent steady-state capitals or consumptions. Assuming that some trade must be performed through money, Clower's CIA model incorporated money. The model also reveals money superneutrality. The above conclusions are all based on the assumption of full competition. In the process of popularisation and extension, if the models incorporate wage sticky and price sticky, the influence of money on real economy is not neutrality.Chapter three probes into four kinds of monetary rules, which are monetary supply rule, inflation rule, Taylor rule, nominal income rule, and their explicit rules and implicit rules, respectively. In face of IS curve shock, money demand shock and supply shock, the development processes of money supply rule and interest rate rule are analysed. This thesis thinks that the economic environments of specific country or region determine the effects of money supply rule and interest rate rule. Any monetary policy rule bears its appropriately economic environment.Then, this chapter describes Poole theory that shows how the stochastic structure of the economy would determine the optimal instrument. Through comparing the output variance and fluctuation of different monetary rules, the results show that the determination of monetary policy goals is not depend on which variable is used as a policy instrument, but how that instrument should be adjusted to adapt the economic state in light of new but imperfect information about economic developments to realize the monetary goals.Chapter four introduces inflation bias and seigniorage, tests the long equilibrium relationship and short fluctuation pattern between money supply and inflation in China. Inflation bias indicates that even if policy makers agree on the optimal inflation rate and make it, they incline to raise inflation rate at discretion, then form inflation bias. In principle, central bank could derive an optima policy rule by specifying an objective function or a loss function and then determining the values of the parameters in the policy rule that maximized the expected value of the objective function or minimized the expected value of the loss function. Then central bank may...