| 2008U.S. subprime mortgage crisis triggered by the global financial crisis, followed by2011the U.S. debt ceiling of the storm, the euro zone sovereign debt crisis, the recent popular events, caused by highly-regarded national monetary policy, but also to the national monetary policy lot of challenges-for example, the U.S. subprime mortgage crisis after three quantitative easing monetary policy, not only on the practice of the United States criticized the United States this many domestic scholars and media people also believe that three of the quantitative easing of monetary policy and achieve the desired results. This is an important aspect of the theory of monetary policy-the effectiveness of monetary policy. The analysis of the effectiveness of monetary policy should first analyze the transmission mechanism of monetary policy is, whether smooth? This issue is the main content of this article.To grasp the monetary policy transmission mechanism, you first need to learn and understand the theory of monetary policy. This paper describes the gold standard (1880) before and after to some of the important influence of monetary policy theory since the1980s. First, from the effectiveness of monetary policy point of view to divide there are two camps-the effective wheel and invalid theory. The fundamental differences are that the monetary theory of the currency is neutral, short-term non-neutral.1930s and Cairns in the same period Hayek is invalid on the camp reasonably be expected to school in the1970s, subsequently inherited this position, effective round camp and monetary policy different proposition-the currency is not only long-term neutral, short-term neutral, monetary policy is invalid after a camp is that the currency short-term non-neutral, long-term neutral. Hayek generally from currency neutral theory point of view that monetary policy is not valid theory, reasonably be expected to school from the perspective of rational expectations that people can expect the government’s monetary policy in order to take preventive measures in advance, so monetary policy is not valid, even if it is expected outside of a sudden monetary policy, the effect is one-off, people will adjust the expected deviation. The theory of monetary policy in the other camp seems to be more influential, but also by the Governments. In this camp there are two opposing schools:Keynes and his successors, the monetarist school. The differences between two schools are about the effectiveness of monetary policy, monetary policy, operating rules, the ultimate goal of monetary policy, monetary policy intermediate indicators, the transmission mechanism of monetary policy, etc. There are many different positions and ideas. The difference is related to the monetary policy transmission mechanism, Keynes and his successors thought that the interest rate pathways was important, of course, the1970s Keynesianism credit pathway theory. Monetarist thought money supply affect asset prices which was the main monetary policy pathway. Of this paper to the empirical analysis is the successor of John Maynard Keynes-1950s neoclassical synthesis Tobin on behalf of the character of the monetary policy transmission mechanism.Tobin Tobin’s q value-the market mechanism and the replacement cost ratio is the only link of the monetary policy affects the real economy sector. Simple terms, the monetary policy transmission mechanism of Tobin’s q effect expressed as:expansionary monetary policy-the financial sector assets structural adjustment-the money supply↑-q↑-the real economy sector investment↑-national income and employment amount↑. Below it is an empirical analysis, the presence or absence of Tobin’s q effect of the monetary policy transmission mechanism in China, specifically to verify that the three aspects:(1) monetary supply↑-q↑, ie, money supply (hereinafter M2as an indicator of the variable) to the existence of stable positive correlation with q;②q↑-the real economy sector investment↑,q, and the real sector (non-financial enterprises) investment there is a positive correlation;③q↑--national income and employment is t, the samples match the requirements below q, and the firm’s output will verify whether there is a positive correlation.Of course, in the meantime, this article will be a brief introduction of China’s monetary policy, as well as Tobin’s q theory, as well as the monetary policy transmission mechanism Tobin proposed theoretical explanations.If the empirical results corresponding correlation is there, obviously, in Tobin’s q effects of Chinese monetary policy transmission mechanism is there. Below, empirical process, the measure of changes in monetary policy mainly M2(quasi-money), the sample of enterprises is China’s listed companies, including A-shares and B shares.From the empirical method, the M2and the value of q, q, and enterprise output correlation, mainly through the Granger causality test, the measurement methods of the Johansen cointegration test, the pulse function icon, the VEC model, the empirical, which can Eviews software. Tobin’s q effect of enterprise output-that is, enterprise output and q regression analysis below uses a panel data of listed companies (non-financial sector). Below Hausaman test results show that using fixed effects is more appropriate, the results can be verified by observing the regression investment in listed companies in China is the existence of the effect of Tobin’s q.The empirical results are to be expected, the monetary policy transmission mechanism in China there is the effect of Tobin’s q. specifically:(A) The money supply t-q t:Empirical M2and q(1)(lnM2-1) is the q Granger cause. The existence of the Johansen cointegration relations among M2ring ratios with qa, which is below the group of empirical analysis of sample data.(2) from the pulse function icon in (lnM2-1), there is a marked difference between positive fluctuations, in the second period of the whole market industry qa have the greatest positive fluctuations; upstream qa in the third period. Maximum forward fluctuations; midstream from the first phase until4has been maintained at between0.025to0.05standard deviation positive fluctuation until sixth volatility is zero; downstream from the first until4has been maintained at-0.02to0between the standard deviation of negative fluctuations, it is rather special; qa value of the non-financial sector in the second phase of positive fluctuations in the volatility of about0.05(and the whole market sectors marked difference maximum fluctuation marked difference), until the fifth, the fluctuations change back to zero, then the fluctuations gradually disappear.(3) From the VEC model, several sets of empirical sample data showed a callback trends and q by the M2changes.(B) q↑-the real economy sector investment↑:Corporate investment, Tobin’s q effectThis part of the panel data regression analysis using stata software model of business investment are mainly two aspects:(1) Selection of variables-q value is a key variable, adding that the two outside several control variables:corporate finance capacity (leverage index), the profitability of the business, corporate investment attitudes (based on signal theory below using retained earnings index), there are several dummy variables-whether state-owned shares of equity, dummy variables of the industrial chain, decision-makers hold a large proportion of shares.②the selection of indicators of each variable, the following eleven empirical observation of those indicators. The empirical results in terms of:The added value of corporate fixed assets, quarterly (1) as a measure of the best indicators of corporate investment, but also the most feasible, in addition to the qa outside, there are three control variables of the most significant:the ability of corporate finance (leveraged indicators, in particular, is the first lever index-the ratio of long-term debt ratio, long-term liabilities and short-term liabilities, other centralized leverage indicators are not significant), dummy variables of the industrial chain, decision-makers hold a large proportion of the shares of dummy variables.-Pay attention to the significant assets than not unexpected, profitability indicators, and characterization of the indicators of the attitude of the current project investment. And test whether state-owned stock dummy variable was not significant.(2) qa is more significant, the correlation coefficient is about0.3. But one thing, the empirical content of the plate to prove Tobin pointed out that-q>1, the enterprises will increase investment; q<1, the companies will reduce investment. The two sets of panel data regression analysis showed that:q>1sample of listed companies and the entire sample, qa and business investment correlation exists and, q>1, the sample correlation coefficient to be slightly smaller point0.2. Indicators of corporate finance capabilities-long-term debt ratio is significant, the regression coefficient is relatively large reach hundreds of Chinese companies with high debt ratios, bank loans, since the reality is that consistent.(3) The industrial chain of dummy variable regression coefficient is negative (where the upstream=-1, midstream, downstream=0).(4) the results of the decision-makers hold a large proportion of equity in dummy variable regression coefficients is interesting. If you choose to between20-50%, the regression coefficient is negative, the decision-makers hold a major proportion of shares will reduce the investment in fixed assets, this conclusion may be the "agent" theory to explain better; more than50%, the regression coefficient is positive, that is, decision-making holding, then holding will increase the volume of investment of fixed assets. So from the perspective of corporate investment decision-making more efficient the holding of decision-making may be better than hold a significant proportion of shares.(C) q↑-national income and employment is↑, the samples match the requirements below q, and the firm’s output will verify whether there is a positive correlation. The empirical results are summarized as follows:(1) to measure the output of the best indicators for the EBIT (EBIT), TIPROFIT (total profit), TINCOME (total income).(2) The quarterly EBIT increased value, quarter, an increase of the value of total profit, total revenue and qa correlation analysis results show that three sets of empirical data-the whole market, all industries quarter due to the stability requirements above empirical data (in the third quarter of2004to2011in the third quarter, the same below), non-financial sector quarterly data, non-financial sector, q>1samples are qa quarter year-on-year increase in the value of a quarter of a year-on-year increase in total profit value The total income Granger, added value and qa quarter of this year, quarter, an increase of the value of total profit, total revenue existence of cointegration relationship conclusions.(3) from the pulse function icon can be observed:the total revenue, are2to3during the period before first negative fluctuations, and then positive fluctuations, which can be understood as q positive changes in corporate investment (in this article in fixed assets increase in value) positive increase, but the investment recovery requires a cycle, so the first few of the opposite result in the reduction of total income. The same explanation is also suitable for all industries of the whole market EBIT quarterly value-added, total profit quarter of value-added.(4) The regression results from the VEC model, the three sets of empirical data samples have EBIT quarter year-on-year increase in value, the total profit quarter an increase of the value of total revenue by the qa change callback trend capacity. Overall, the empirical results show that the effect of monetary policy transmission mechanism in Tobin’s q. |
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