| Chinese government adopted a gradual and cautious strategy to liberalize the capital account.However it still cannot avoids the conflict of monetary policy and exchange rate policy,and exacerbates the economic volatility,due to increasing internationalization.On the concept of big data analysis,this paper transfers causal analysis searching for the reason of"why" the conflict occurred to correlation analysis exploring the result of"what" the policy conflict was.From the perspective of interest rates,a nonparametric methods is proposed to identify the conflict of monetary policy and exchange rate policy,estimate the strength of the conflict,and simulate which policy should be chosen to coordinate monetary policy and exchange rate policy.This research doesn't discuss whether discretionary policy operation is true exacerbated conflicts,and doesn't study how to coordinate the policy conflict from the perspective of long-term policy mechanism.This research assumes when the conflict has been formed,how to identify the present conflict of monetary policy and exchange rate policy,and how to design the decision support to coordinate the conflicts by using quantitative methods.Main contents and conclusions were as follows:?.Identification of conflict.First,the typical facts of the conflict between monetary and exchange rate policy since 1994 are reviewed.First conflict between the tightening monetary policy and exchange rate policy of suppressing of RMB appreciation s happened during 1994-1996;Second conflict between steady monetary policy and exchange rate policy of suppressing of RMB depreciation is happened during 1997-2000;Third conflict between steady monetary policy and exchange rate policy of stable appreciation is happened during 2001 to 2008;Fourth conflict between expansionary monetary policy and exchange rate policy of stable appreciation is happened during 2009 to 2010;Fifth conflict between prudent monetary policy and stable exchange rate is happened during 2012-2014.Second,according to existing qualitative description of the historical facts of the policy conflict and the "Trilemma" analysis,the linear Taylor Rule is promoted,and a quantitative identification frame of the policy conflict is established.The monetary and exchange rate policy conflicts is identified by using the theoretical interest rate since 1994.Annual results shows that 45 percent of the all conflicts are identified.Quarter result show that 49 percent of the all conflicts are identified.Finally,the varying coefficient semiparametric Taylor-type path identification model is introduced to fully recognize the monetary and exchange rate policy conflicts since 1994.Both the annual and quarter results identify 85 percent of the all conflicts,which describes the historical process of monetary policy and exchange rate policy conflict well.?.Estimate of conflict.First,the strength of policy conflicts is estimated within the varying coefficient semiparametric path identification framework.It is accounted for 56.5%of the identified policy conflicts,whose strength is larger than 20%.In additional,the strength is even larger than 100%in first quarter of 1999 and third quarter of 2009,indicating the existence of serious policy conflict.Second,the path transmission mechanism of policy conflict is given with the varying coefficient semiparametric path identification framework.Total effect,direct effect and indirect effect of monetary policy and exchange rate policy are investigated to answer "what" is the monetary and exchange rate policy conflicts.When the conflicts is performance as real interest rate lower than the theoretical interest rate,The magnitude of total effect of monetary and exchange rate policy is changing over the time,the direct effect mainly comes from exchange rate policy,and the indirect effect mainly comes from inflation,the expected inflation and the expected output gap;When the conflicts is performance as real interest rate higher than the theoretical interest rate,the total effect and direct effect is changing over the time,and the indirect effect mainly comes from inflation and the expected inflation.?.Simulation of conflict.Simulating how to adjust and how much to ease monetary and exchange rate policy when the present policy conflict occurred within path identification model.When the policy conflict performance as real interest rates lower than interest rates,if policy measures were undertaken as following:(1)By reducing the money supply,and the desired range is[0.3%,10.3%];(2)By reducing RMB appreciation,and the desired range is[0.1%,5.7%];(3)By reducing the money supply and RMB appreciation simultaneously,and the desired range are[0.3%,2.4%]and[0.03%,2.7%].When the policy conflict performance as real interest rates higher than interest rates,if policy measures were undertaken as following:(1)By increasing the money supply,and the desired range is[0.5%,13.7%];(2)By increasing RMB depreciation,and the desired range is[0.3%,10.3%];(3)By increase the money supply and RMB depreciation simultaneously,and the desired range are[0.3%,3.7%]and[0.08%,0.35%].?.Further discussion.First discussion is how the effects of monetary policy and exchange rate policies change when history repeats itself.When history repeats itself,reversal period of monetary policy is accounted for 62%,and that of exchange rate policy is accounted for 45%.In other words,the monetary policy effect reverses easier than the exchange rate policy effect without changing any policy.Second discussion is the convergence of path identification model.Two different processing ways have proved the path model converges to the benchmark model,and all the policy effects will disappear as a constant.The main contributions are as following:(1)An innovative Interest rate identification framework is established to identify the conflict of monetary policy and exchange rate policy.Based on Trilemma,the identification framework combines time-varying semi-parametric model and Taylor rule,and finds significantly deviation of the theoretical and real interest rates.The historical process of conflict of monetary policy and exchange rate policy is well described.(2)Path transmission mechanism of the conflict of monetary policy and exchange rate policy is discovered.When the conflicts is performance as real interest rate lower than the theoretical interest rate,the direct effect mainly comes from exchange rate policy,and the indirect effect mainly comes from inflation,the expected inflation and the expected output gap;When the conflicts is performance as real interest rate higher than the theoretical interest rate,the direct effect is changing over the time,and the indirect effect mainly comes from inflation and the expected inflation.(3)The paper presents an exploratory research on the following topics:How to identify the present conflict of monetary policy and exchange rate policy when the conflict has been formed?How to design the decision support to coordinate the conflicts of monetary policy and exchange rate policy?How the effect of monetary policy and exchange rate policy will change if the history repeats itself.Different from the existing research,this research doesn't discuss whether discretionary policy operation is true exacerbated conflicts,and doesn't study how to coordinate the policy conflict from the perspective of long-term policy mechanism.The main shortages are as following:(1)The research is completed within a set of models,based on the Trilemma,Taylor Rule and nonparametric statistical methods.As is known,the application of the economic theory and statistical methods needs to satisfy some stringent conditions.Some of the assumption in the framework is not always valid.This paper is mainly based on the idea of big data,not to pursue the "why" to do so,but trying to get confirmed "what is consistent with the reality".(2)Second,as a data driven and exploratory research,the conflict of monetary and exchange rate policy is identified from the perspective of estimating the theoretical interest rate.However,the results may be biased by the author,for that the theoretical exchange rate also could be estimated to identify conflicts.Certainly,estimation of theoretical exchange rate is much more difficult than that of theoretical interest rate,since a lot of international factors should be considered.(3)Crosstabulation Examination of semiparametric model is not considered in this study.The convergence of the path identification model is designed to verify the uniqueness of the model and get a robust conclusion. |
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