| This paper entitled the effectiveness of monetary policy, foreign exchange amount of research, concerns the situation in recent years under the foreign exchange brought about by the surge in money supply led to the implementation of monetary policy dilemma on. Monetary policy, macro-control policy as a national important part, according to the 1995 enactment of the "Law of the People's Bank of China", People's Bank of the ultimate goal of monetary policy is to maintain monetary stability and promote economic growth. The People's Bank as a monetary policy-making departments have to do is to make the implementation of monetary policy to maintain currency stability, and promote economic growth. In this paper these two goals as the effectiveness of monetary policy evaluation criteria. Study the effectiveness of foreign exchange affect monetary policy problem, the current rapid rise in foreign exchange and price increases linked the two issues together, from the foreign exchange point of view the effectiveness of its monetary policy has brought much of the control and the establishment of econometric models made from the relationship between the number of empirical research.In view of our foreign exchange problems and solutions and the RMB exchange rate formation mechanism is closely related to the mandatory exchange settlement system. July 21,2005 the People's Bank of China set the yuan exchange rate changes based on market supply and demand, consider a basket of currencies, a managed floating system policy. And from statistical data, foreign exchange began in April 2005 over the size of the amount of base money. So this entire time period from January 2000 to June 2010 the whole time is divided into from January 2000 to March 2005 and April 2005 to June 2010 to analyze the two time periods.This study is the idea of endogenous money problems from the start, according to the balance sheet of the monetary authorities obtained the relationship between base money and foreign exchange. The effectiveness of monetary policy for the foreign exchange impact would be to provide theoretical support. According to the literature on monetary policy transmission channels in order, to find sources of money supply, interest rate channel, exchange rate channel, asset price channel and the credit channel as the channel of the five categories of money supply.Re-modeling, statistical test not bound by least draw the appropriate number of variables in the relational model. Having established cointegration model, look for relationships between variables and short-term effects of the amendment to the dynamic relationship between the impulse response function with the variables measured the impact of monetary policy, the number of results.This article is divided into six chapters. Chapter 1, as a preface, containing of the problem, purpose and significance, and this paper ideas and features. Chapter 2, the effectiveness of monetary policy, foreign exchange and understanding relationship, is to collect and sort out literature and discuss the results of existing research contribution in this problem. Chapter 3, the effectiveness of foreign exchange and monetary policies between the theoretical analysis, the most important part of this article. Both on the front part of the chapter a summary of literature review, but also for subsequent empirical analysis provides a theoretical support. Chapter 4 Empirical Analysis of the contents as the preparatory work before. Proposed to solve this problem, the model setup and data collection, descriptive statistics. Model specification, taking into account the effectiveness of monetary policy is concerned, the residents of the consumer price index CPI is interpreted as a variable, foreign exchange as a fixed explanatory variable, other variables are as variable to be determined by statistical tests in the empirical part of the Remove them. Chapter 5, the effectiveness of foreign exchange impact on monetary policy between the number of empirical analysis is the empirical part of the main chapters. First, key variables do correspond to descriptive statistics, balance of payments on the foreign exchange reserve accumulation, the stock of foreign exchange base money growth and the number of comparison in the relationship between the structure of foreign exchange liabilities of the impact of the monetary authorities. And then were on the front of the theoretical conclusions made by empirical analysis to establish the corresponding cointegration equation between the number of theoretical conclusions made from the corresponding explanation. Three conclusions are based on empirical findings supported. Chapter 6 further conclusions from empirical research and analysis. Taking into account the exchange rate system changed in 2005, the split point to 2005 as the time period 2000 to 2010 after ten years divided into two time periods to study the effectiveness of foreign exchange impact of monetary policy in two time periods The difference. Then discussed by the variable error correction model of the relationships between the long-term and short-term dynamic relationship between the amendment and to measure the impulse response function with variable number of the effects of monetary policy shocks.Looking at the results from the empirical data obtained, the theoretical analysis of Chapter 3 from the three conclusions have been confirmed. From 2000 to 2010 to see the entire data period, foreign exchange monthly average growth rate of 2.12%. So even if the CPI index of foreign exchange caused by the change coefficient of elasticity is only 0.033%, but from years of accumulated point of view, its forward push CPI index can not be ignored. Different time periods to see, in the 2000-2005 year, foreign exchange and the CPI index Cointegration between the main control variable is the credit channel proxy variables play a role in financial institutions, one-year lending rate and asset price channel proxy variables Shanghai Composite index is not the role. As in the first half of 2005-2010 to see, foreign exchange and the CPI index long-term stable cointegration relationship is no longer there.Cointegration relationship established by the HP filter from the amount of foreign exchange fluctuations and the CPI index to construct cointegration. The time period the amount of foreign exchange fluctuations as explanatory variables explain the increase in foreign exchange is no longer the CPI index changes of the main factors, but rather, foreign exchange fluctuations on the growth trend in the amount of a change affecting the CPI index main factor of 0.6 on the CPI index of elasticity. ECM analysis shows that both full-time or points in time to see the cointegration relationship on the CPI index in the short term are for the inhibitory effect. Specific to the impact of the phases of view, the impulse response function shows, full-time when the positive impact of foreign exchange a unit of the negative impact of CPI index reached 15 in 2000 to 2005, showed positive effects and has been sustained,2005 to 2010 to extend the negative effects, and slight fluctuations in the initial presentation.There are two main characteristics of this paper:1. From the central bank balance sheet and monetary policy transmission channels as a theoretical basis, draw theoretical conclusions. According to literature scholars commonly used linear model, from different transmission channels of monetary policy, cointegration equation constructed variables, with each of elimination to get the final exclusion of the variables cointegrated. Conclusions from the theoretical to the empirical logical sequence, clearly illustrates the impact of foreign exchange on the CPI index and the relationship between the number of changes; 2. From the observation of changes in foreign exchange volume and the change of exchange rate policy, with the sub-periods cointegration method to consider, are the two time periods due to changes in exchange rate cointegration relationship has also changed. Note the different time periods, China's foreign exchange impact on monetary policy concerns should also be changed accordingly. |
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