Research On The Asymmetric Effects Of Monetary Policy Transmission In China

In this thesis,considering multiple transmission channels of monetary policy such as bank credit,interest rate,exchange rate and asset price,we make theoretical and empirical studies on the effectiveness of these four transmission channels and the asymmetric effects of economic cycle,region and industry in China.For the theoretical study,we investigate the theories of effectiveness of monetary policy,the mechanism of different transmission channels and their asymmetric effects.Then,we put forward research hypotheses based on the characteristics of economic and financial systems in China.For the empirical study,we firstly analyze the impact of credit,interest rate,exchange rate,stock market and real estate market transmission channels of monetary policy in China from “monetary policy intermediary variable → transmission channel variable” and“transmission channel variable → macroeconomic variable”,respectively.Then,we analyze the asymmetric effects of credit,interest rate,exchange rate,stock market and real estate market transmission channels of monetary policy in China on economic output and price level in the economic growth stage(1999—2009)and the economic slowdown stage(2010—2019),on the economic growth and price level of eight comprehensive economic zones in China,on the proportion of three industries,and on the proportion of the labor,capital,technology intensive manufacturing industry in the secondary industry and the proportion of modern service industry in the tertiary industry.The main conclusions are as follows:(1)The credit transmission channel of monetary policy in China is unobstructed,the real estate market transmission channel is largely unobstructed,and the interest rate transmission channel,exchange rate transmission channel and asset price transmission channel are partially unobstructed.Among all,the interest rate transmission channel is more complicated,and it becomes unobstructed with the accelerated process of marketization of interest rates.The first link of the exchange rate transmission channel is obstructed,but the exchange rate significantly affects the price level,imports and exports.These four transmission channels are interrelated,and the transmission of monetary policy in China gradually becomes influenced by all these channels,instead of a signal channel as in the past.(2)The transmission of monetary policy in China shows a significant asymmetric effect of business cycles.Firstly,the impact of a transmission channel is significantly different in the phases of expansion and recession.In the phase of expansion,the transmission effect is more significant,credit expansion effectively stimulates economic growth,and interest rate and exchange rate increases effectively affect economic growth,while the effect is significantly weakened during slowdown;The price effects of credit,interest rate,exchange rate and real estate market are more significant during slowdown.Secondly,the main transmission channel varies with business cycles.In the phase of expansion,the main transmission channel is interest rate,credit and exchange rate.The stock market channel has some effects in the short term,while in the phase of economic slowdown,exchange rate and credit prevail.The effect of interest rate is weak,and the real estate market channel has some effects in the short term.During expansion,the main transmission channels for prices are interest rate and credit.During economic slowdown,transmission channels for prices change into credit,interest rate and real estate price.(3)The transmission of monetary policy in China shows a significant regional asymmetric effect.The bank credit and interest rate channels influence regional economic growth and price along the same direction,although they differ in degree;the influence of exchange rate on regional economic growth and price are asymmetric in both direction and degree;the stock market price and real estate price have little impact on the economic growth rate and prices for most of the regions,while the regional asymmetric effect is obvious.Overall,bank credit,interest rate and exchange rate play a dominant role in determining the regional asymmetric effect of the transmission of monetary policy.(4)The transmission of monetary policy in China shows a significant industrial structure effect.A rising interest rate tends to reduce the proportions of the second and the third industries,where the decrease for the second industry is significantly larger.The increase of the bank credit increases the proportion of the third industry and decreases that for the other two industries in a short period of time.The proportion of the tertiary industry increases and the proportion of the secondary industry decreases with the increase of the real estate market price.The proportion of the tertiary industry increases and the proportion of the primary industry decreases with the increase of the real estate market price.The impact of the stock price remains unclear.The influence on the proportions of technology intensive manufacturing industry and modern service industry in the secondary and tertiary industries also differs.Rising interest rate,exchange rate and real estate market price does not increase the proportional of technology intensive manufacturing industry;rising exchange rate increases the proportional of modern service industry;rising stock price increases the proportions of both industries.The impact of bank credit is unclear.Given that the economic development in China gets into a new normal and a new development pattern is building up,we make suggestions for the relevant policies based on the above conclusions.