The Study On The Asset Price Transmission Mechanism Of Chinese Monetary Policy

Transmission mechanism of monetary policy is always one of the central issues of finance. At the same time, deepening of financial innovation is making the contact among monetary polic, asset prices and the real economy more closely. In this context, this article make an empirical study on the prices of assets of monetary policy transmission mechanism. Research ideas are as follows:at first, this article according to draw on previous research results to discuss the monetary policy transmission mechanism of asset prices Theoretical Framework, and then use the Granger causality test to analyze the relationship between monetary policy and asset prices and the relationship between asset prices and investment, consumption and other real economy indicators. Our aim is to test the existence of the monetary policy transmission mechanism of asset prices. Second we use SVAR modal to analyze the relationship between monetary policy and asset prices and macroeconomic and the stability of the transmission process.Our data sample is from January 2000 to December 2009 monthly data, the granger causality test results show that:the changes in money supply will bring the volatility of the real estate market and the Changes in interest rates will bring the stock market volatility; Real estate investment market volatility affected the level of consumption and investment. But the stock market volatility did not have a significant impact on investment and consumption levels. This shows that the transmission mechanism of monetary policy exists in our country. But the transmission mechanism of stock market and real estate markets is different.Next the SVAR model analysis showed that:the conduction process is stable. Thus This paper analyzes the response of the impact of money supply and interest rates, reached the following conclusions:Whether in the face of the impact of money supply or interest rate shock, the response of the total economy have lagged, but the stock market and real estate markets immediately responded to monetary policy. This further confirms the transmission mechanism existence.Accordingly, the paper argues that when the central bank is setting the monetary policy it should take into account the existence of the transmission mechanism. When faced with policy choices the central bank should use money supply to regulate the real estate market and use interest rates to Regulate the stock market. Contemporary the central bank should pay more attention to the real estate market.