| In this paper, we firstly test the performance effect of Chinese monetary policy in Cointegration theory and Granger Causality Testing that based on VAR and Impulse-Response Function Analysis between 1993 and 2002. We select the tool variables of monetary policy and multi-variables of macro-economy to analyze. Unit-Root-Testing results show that Chinese quarter data of the tool variables of monetary policy and multi-variables of macro-economy are non-stationary and contain a Unit Root in our analytical term of sample. The results of Granger causality Testing and Cointegration Testing show that the monetary policy tools which were adopted such as credit, money supply MO, exchange rate have an special prominence effect on consumer price, consumption, share price, GDP, deposit in sample period. But the effect of interest rate tools is very small. Monetary policy tools, which were adopted such as credit, money supply Ml, interest rate of deposit and loan have a special prominence effect on investment. Credit, money supply has almost no effect on net export. But interest rate (interest rate of marketing, deposit), exchange rate have a special prominence effect on investment. Finally, we make impulse-response analysis to dynamic character of VEC model among variables. From impulse-response curves that were derived from VEC models based on Cointegration vectors finally, we can conclude as follows: All monetary policy tool variables have rather small impulse to macro-economy variables in the short run, and their impulse would boost up at different degree in the long run.Therefore, monetary policy that was carried into execution in China between 1993 and 2002 had marked effect on entity economy, especially monetary policy tools that were adopted such as credit, money supply, and exchange rate channel off markedly for price, consume, deposit, GDP, share price. But we noticed that interest rate tool had faint effect on price, deposit, GDP and share price except stronger effect on invest and net export. Non-market of form mechanism decided thatadjusting of regulative interest rate easily lag to changing of Macro-economy due to stronger interest rate regulation in China at present, extent of adjusting is not enough agility, transmitting efficiency of monetary policy discount highly. Therefore, we push interest rate marketing so that we implement conversion of macroeconomic management from direct mode to indirect mode in grain and bring interest rate into macroeconomic management action really. Models of interest rate marketing of characteristic of China that were built have important sense in order to bring into play macroeconomic management in deed in the process of reformation of interest rate marketing.In order to further research the law of interest rate marketing, we selected many variables which may influence interest rate of marketing from multi-angles. And we made Cointegration model-building analysis for interest rate marketing. We can conclude that macro-economical data of China are all non-stationary that contain a Unit Root in our analytical term of sample from Unit-Root-test results. We found Granger cause that influenced interest rate of marketing through Grange Causality Testing such as inflation rate, GDP, factor of price (RPI), deposit and loan, interest rate of deposit and loan, money supply (MO, Ml). Money supply MO has stronger effect on interest rate of marketing than Ml in the long run. This is consistent with the fact that Interest rate that was adjusted low by the central bank had no marked effect on deposit of resident, Money supply M1, imports and exports in these years. To use Money supply Ml as medi-target would have not good effect of macroeconomic management of interest rate of marketing in long run. We conclude from short-term dynamic equation (error correction model) that was built at last as follows: Interest rate of marketing is influenced by itself from lag one quarter to lag four quarter, but influence is not quite prominence, Coefficients of that model are all less than one. I... |
PDF Full Text Request