An Empirical Analysis Of Transmission Mechanism Of Monetary Policy In China

In theory,Monetary policy transmission mechanism includes two kinds of channel:money channel and credit channel.These two channels' operational mechanism and the role they play in economy are close related to economic conditions and operational mechanism.In the western developed countries,the monetary channel is the main channel of transmission,the money supply is the only intermediate target that government controls.It's different from the actual situation in China.before 1998,China always implemented the credit management model,Monetary policy transmission mechanism control the money supply and credit scale as the dual intermediate target at the same time.After 1998,although the central bank announced to abandon the direct control of credit,but the actual situation is still need to be studied.In recent years,It is no doubt that the outbreak of the financial crisis make the biggest impact on China's economy.This article will also put the financial crisis as a node to study whether the monetary policy transmission mechanism changed before and after the financial crisis.This paper selects three variables,which are the M2 growth rate,the credit growth rate and the GDP growth rate.Because GDP can only be found quarterly data.In order to maximize the length of the data,this paper decides to replace the GDP growth rate with the monthly growth rate of industrial added value.The data starts from March 2003,ends in December 2016,all data are excluded from the inflation factor.In order to keep the data original message,the three variables are not seasonally adjusted,and the data used in the VAR model and the TVP-VAR model are exactly the same.The empirical study of the paper includes two parts,In the first part we will use the VAR model to make a full study on China's monetary policy transmission mechanism.The study found that Through compared with the credit channel,the monetary channel's impact on the real economy is more significant,which is China's financial market continues to develop and improve the performance,which reflects that China has make a big progress in financial market's development and improvement.And the increase in money supply has a lasting effect on economic growth and will stimulate economic growth for a long time.Through make the Granger causal test between the money supply and credit scale.M2 has a causal relationship with CR,indicating that the central bank gradually liberalized the direct control of credit,CR in turn is controlled by money supply indirectly.money supply is becoming the only mediation objective of monetary policy transmission mechanism.The second part is to use the TVP-VAR model's interval impulse response function and time-point impulse response function of China's monetary policy transmission mechanism to make a empirical analysis.Compared with the VAR model,the TVP-VAR model can be sensitive to capture the economic information that different monetary conditions affect the real economy.Through the interval impulse response function map we can find that the monetary channel has a lasting effect on the real economy,in the previous period the effect may be relatively weak,but in the long run it has sustainable effect on economic performance.Credit plays a significant role in the restoration of China's economy before and after the financial crisis,but in the long term its role is weakened.There is a certain causal relationship between money supply and credit size,but it also depends on the premise that the state does not control credit.Finally,in order to study whether the mechanism of monetary policy of China is changed before and after the financial crisis,and analyzes the three points before and after the crisis,the paper Select the crisis before and after the outbreak of three points to analyze.The results show that the mechanism of the monetary channel that affect the real economy did not change due to the occurrence of the financial crisis,it is still play a significant role in stimulating the economy.The role of the credit channel plays depends on the current economic performance,it has asymmetric character,when the economy is in a state of recession it's is significant,the role becomes weakened in the period of prosperityBased on the above analysis,we can draw the following conclusions.First,in terms of the importance of both the money channel and the credit channel,it's obvious that the monetary channel is more important than the credit channel.This trend will become more and more obvious with the continuous progress of China's financial reform.Second,the credit channel plays a significant role in the resumption of China's economy before and after the financial crisis,and its impact on the real economy has asymmetric character,after the financial crisis,it effectively stimulated economic growth,but it also likely to cause excessive investment or resources Waste and so on.Thirdly,there is a causal relationship between money supply and credit scale,which shows that China's financial market reform has achieved some effect,but this causal relationship is real-time,and is closely related to the implementation of the government's credit policy.