The Research On The Time-Varying Effect Of China's Monetary Policy Transmission Channels Within The Framework Of Credit View

This paper draws lessons from international advanced theories and measures of time-varying parameters,and studies the change and development of China's monetary policy transmission channels from the angle of time-varying effect.This paper will help explore the change mechanism of China's monetary policy transmission channels in the process of institutional transition,enriching economic theory in the field of monetary policy and contributing to the development and improvement of the time varying effect theory of China's monetary policy.The conclusions also help the governmental monetary authorities grasp the overall status of China's monetary policy transmission channels exactly.This paper proposes targeted policy recommendations to promote China's monetary policy to control the economy effectively,guaranteeing the development of social economy healthy and harmonious.At the same time,the paper could also help financial institutions,enterprises and other social economic subject hold the pulse of the monetary policy,making right reactions and decisions about the monetary policy changes.So,in this paper,the research is valuable both theoretically and practically.In recent years,global economy has been in the face of its downturn after the era of post-financial crisis.As one of main means used by various governments to do macro-control,quantitative easing of monetary policy became popular among the world.To our disappointment,it failed to boost the economy rapidly.As a result,its effectiveness has been widely questioned.Monetary policy is a short-term counter-cyclical indirect control method that the government adopts,of which the transmission to the real economy will be through a complex process called "black box".Economists have tried to explain the transmission mechanism through sorts of theories,such as the interest rate channel theory,credit channel theory,the theory of asset price channel and so on.With the change of macroeconomic environment,the effectiveness of monetary policy is dissatisfying.Traditional theories are difficult to illuminate different effects in different periods on the premise of the same monetary policy.The researches on the time-varying effect of monetary policy transmission channels are increasingly becoming a hot and difficult issue which the monetary policy practice and theoretical circle pay close attention to currently.In China,the financial market is in a stage of rapid development.The system,policy,technology and market environment of the financial market,in the past,present and foreseeable in the future a long period of time is in a constant state of change.Compared with western developed countries,the change of China's monetary policy transmission channels are more complex,and the expectation of monetary policy effect is more difficult.But to make China's monetary policy regular and effective as means of macro-economic control and regulation,studies on the time-varying effect of the monetary policy transmission channel is even more important and urgent.Therefore,how to use scientific methods to analyze of main types of time-varying effect of China's monetary policy transmission channels?What kinds of influence will the monetary policy transmission trigger on?What's more,can we quantify the time-varying effect of transmission channels?Can the quantification mentioned above be included in the analysis framework to the monetary policy decisions?To solve these issues,this article attempts to explore the time-varying effects of the monetary policy transmission channels,try to analyze and test China's monetary policy transmission channel time-varying of the short-term along with long-term effects from perspective of credit view.Besides,this paper provides a certain basis theoretical and empirical support for effective implementation of monetary policy in China.This paper first summarizes relevant theories and research results from existing literature reviews,sorting out the origin and evolution of the related studies about the monetary policy transmission channels both at home and abroad.On the basis of these summaries,the paper depicts the frontier of the border of the research topics that this paper involves to provide the reference to the research of this article coordinates.The deficiency of research framework,researching approaches and researching conclusions is going to improve and innovate a little because of this paper.In order to perfect the related achievements of monetary policy transmission channel theory in the field of time-varying effect and provide the operation model and experience of reference that suitable for China's monetary policy practice,the paper first defines and explains professional vocabulary.On this basis,we discuss more about the generation and functionary mechanism of the time-varying effect of transmission channels.Specifically,periodic time-varying effect and financial situation time-varying effect are analyzed theoretically.Plus,time-varying parameter expansion CC-LM model is constructed for the mathematical derivation to demonstrate the effect of conduction channel on economic variables in reality.Before further study of time-varying effect on China's monetary policy transmission channels,this paper describes the background and characteristics of environmental change of monetary policy.As the carrier of the monetary policy transmission process,environmental change has assignable influence on transmission channels.In a word,this paper discusses the development of the system construction of Chinas financial market,the development of China's financial market status and tendency,as well as the change of monetary policy system,in order to have a preliminary understanding of the background and internal causes of the time-varying effect of China's monetary policy transmission channels.In the part of empirical analysis,the econometric model of Markov-Switching Vector Auto-Regressions(MS-VAR)is used to empirically test periodic time-varying effect.The system state of China's monetary policy transmission channels can be divided into unblock period and block period.We can draw four main conclusions below.(1)The state of the system of flow period and block period could be accurately fit the nonlinear cycle characteristics of the credit channel of monetary policy.From January 1996 to December 2016,the monetary policy credit channels have experienced five transitions between two system states,of which the credit channel cycle transformation point can be effectively captured by MS-VAR model.Combining with our country economy development,flow period happens mostly in the economic prosperity stage,while block period is going to take place in the stage of the economic downturn.(2)Two system states are relatively stable and have strong sustainability,the odds of self-transformation between flow period and block period is very low,probably occurring after strong external shock.(3)Further zoning of generalized impulse response analysis shows that the duration,direction,and impact strength of the monetary policy in real economy are different obviously between the two states.Monetary policy has good effect when applied to control the superheat of economy,but the effect is weaker in economic recessions.(4)China's monetary policy transmission channels have distinct periodic time-varying effect.From the point of specific channels under the framework of credit view,the transmission mechanisms of bank credit channel have significant differences in different periods.Although the balance-sheet channel has stages of block and flow as well,but only constant terms change between different states,the periodic time-varying effect of transmission mechanism is not significant.The paper takes advantage of the time-varying parameter vector auto-regressive model contains stochastic volatility(TVP-VAR-SV)to test China's monetary policy transmission channels financial situation time-varying effect between January 1996 and December 1996.The conclusions are as follows:(1)China's monetary policy transmission channels impact on prices has stronger financial situation time-varying effect.Under the framework of the credit view,the price effect of bank credit channels are volatile,and the balance sheet channels are showing a downward trend after rising at first.(2)The output effect of China's monetary policy transmission channels shows reinforcing enhance.Under the framework of the credit view,the bank credit channel output effect is volatile,the balance sheet channel is gradually enhanced.(3)Monetary policy transmission mechanism has the financial situation time-varying effect.Under the framework of the credit view,bank credit channel transmission mechanism has notable differences in different times,while the balance sheet channel changes a.little.(4)Transmission delay and action duration of the bank credit channel are relatively long,while those of balance sheet channel are relatively short.On the basis of the above discussions about the monetary policy transmission channel time-varying effect,this paper builds the foresighted monetary policy reaction function within time-varying parameter revision and uses Chinese macroeconomic data for this prospective response function estimation in order to explore the monetary policy rules that fits Chinese situation more.The results show that:(1)The McCallum model within time-varying parameter revision can better fit the relationship between Chinese monetary policy and the actual economic data.By comparison,McCallum's basic model and its relevant extension model is unsuitable for China's monetary policy and economic data.To join the extension model of prospective factors,there is a big difference between the estimated parameters and the actual economic conditions.Prospective response function after a time-varying parameter revision has better fitting effect and interpretation ability.(2)The discretionary choice monetary policy measures of people's bank of China for the financial situation of time-varying effect have a better adaptability.Although,the monetary policy transmission channel response is not sensitive to periodic time-varying effect.It mainly relies on past experience to control the intensity and direction of monetary policy.When cyclical change takes place,monetary policy needs quite a time to adapt to and try on instead of adjusting swiftly.