| Under the unprecedented changes in the 21 st century,the economic in China is facing a situation of triple pressures of demand,supply shocking and weakening expectations.The expected returns on the investment of the financial system and the real economy have declined a lot.The structural problems of economic development are prominent,and financial frictions have intensified.At this stage,the main task of the monetary policy is turning to fully support on the development of the real economy and promotion on the effective improvement of quality and reasonable growth of quantity.With a new stage of the epidemic prevention,the financial institutions pay more attention to the domestic demand and supply system,and have provided strong financial support for the real economy.In this context,clarifying the problem in the transmission of the monetary policy is very important.First,we should know how much is the liquidity of the financial system as the "upstream",and how much is the liquidity of the real economy as the "downstream",and also we need to know whether there is structural phenomenon in the liquidity in each system.Second,Whether the existing monetary policy plays a mitigating role in the liquidity stratification of the money market or not,even the money market remains separated by currencies.Third,how does the liquidity stratification affect the efficiency of monetary policy transmission? Is it improved or decreased? Fourth,what are the effects of monetary policy transmission under the liquidity stratification? Whether the "water" released by the monetary policy can flow smoothly into the real enterprises.Further,different from traditional Western Economic research and more in line with Chinese actual situation,what are the effects of monetary policy transmission on entities with different ratings in the bond market and different quantiles in the credit market which are the largest two channels in social financing scale? And so on,these problems have important theoretical and practical significance.There are few discussions on the phenomenon of liquidity stratification in the existing literature,and most of them focus on the total of the liquidity.In general,liquidity stratification refers to the liquidity layering in the inter-bank market or the money market.In this article,we make it as a proxy variable for liquidity stratification in the financial system.After 2000,the liquidity structure of financial system have changed in China.From 2000 to 2014,it was a foreign-exchange-led structure.From 2014 until now,it is a liquidity shortage structure led by the central bank.There are phenomenons of liquidity stratification in both stages.In the current stage of liquidity shortage,the phenomenon of liquidity stratification has become more prominent,attracting scholars’ attentions,and more and more literatures have begun to study it,but it still lacks detailed description of the liquidity of the real economy.The problem of difficult financing and expensive financing has gradually become a hot spot in the market and a difficult point of the policy.Behind this phenomenon,there is differentiation in liquidity allocation of physical enterprises.Following the main line of "the basic currency released by monetary policy,to the liquidity stratification in the money market,and to the differentiation of liquidity allocation in the real economy manifested by the transmission of credit market and bond market" and the classic structure of "raising questions-theoretical basis-realityempirical analysis-policy recommendations",this paper studies the construction of mathematical models and uses various econometric methods.Then the paper carries out the analysis of the impact of monetary policy tools on the liquidity stratification,and studies the impact of liquidity stratification on the efficiency of the monetary policy transmission,even the credit transmission channel and the bond transmission channel.It strives to enrich and deepen the existing academic research results through more systematic and perfect research,and provides targeted and feasible policy recommendations.The core contents of this paper mainly includes the following four aspects:First of all,on the basis of the analysis of the total amount of liquidity,the paper makes a study of the liquidity of the financial system and the real economy from the micro-mechanism.Different from the previous researches focusing on the total amount of liquidity,this paper probes into the structural phenomenon of liquidity in micro-level,and analyzes the stratification and differentiation of liquidity in the financial system and the real economy caused by the objective friction.For the liquidity stratification of the financial system,the paper analyzes the liquidity structure of different periods along with the perspective of supply and demand,which is the basis and background for our further analysis.Then,we study the liquidity of the financial system under the current structural monetary policy from the macro and micro perspectives.Finally,we analyze the current situation of liquidity stratification in the financial system and the current situation of liquidity allocation in the real economy,laying the foundation for the empirical analysis in Chapter 4,Chapter 5,Chapter 6 and Chapter 7.Secondly,it discusses the dynamic impact of liquidity stratification from the perspective of common monetary policy tools.While analyzing the liquidity regulation system of the central bank,this paper uses a variety of methods to measure the liquidity stratification.It uses factor-analysis-model to measure the liquidity stratification of the stratification between the large banks and small banks and between the banking financial institutions and non-bank financial institutions to achieve the overall sense of the liquidity stratification identification in the money market.This method not only improves the disadvantage of the traditional method covering single indicators,but also enriches and makes up for the weakness of the identification and measurement of liquidity stratification in China.At the same time,it is a useful supplement to the existing literature that focuses on the overall volume and price level of the money market which lacks structural analysis.Further,in Chapter 4,we use TVP-VAR model to study the impact of monetary policy tools on the liquidity stratification.The results show that the impact of medium-term lending facility(MLF)is relatively stronger between the large banks and small banks,but the impact of open market operation(OMO)is relatively stronger between the banking financial institutions and non-bank financial institutions.Thirdly,the efficiency of the monetary policy transmission is explored from the impact of the stratification of liquidity.We use the Newey-West standard error regression with heteroscedasticity-sequence correlation to test the impact of liquidity stratification on the transmission efficiency of in Chapter 5.The results show that appropriate liquidity stratification represents the pricing of monetary market made by the participants towards the counterparties,but excessive liquidity stratification has a positive impact on the transmission efficiency of the monetary policy,which reduce the efficiency,and strong interbank policies further reduce the efficiency of monetary policy transmission.On the other hand,excessive liquidity stratification means that more liquidity is allocated to large banks.Due to different commercial banks serving different sectors of the real economy,it is easy to form a situation of "fund idle".It even reduces the efficiency of monetary policy transmission.Fourthly,we study the bond market channel from the micro level.In order to make the captured empirical facts fit the actual economic and financial operation,we use TVP-VAR model to conduct vector autoregressive test of time-varying parameters in Chapter 6.On the basis of a preliminary test of the term spread of bonds,the paper further studies the bond credit spread with a fixed term,and estimates the dynamic relationship of the monetary policy interest rate,bond credit spread,the consumption and the output.The results show that in different economic environments,the transmission of monetary policy interest rate on price level is pro-cyclical and counter-cyclical,and the impact on output gap is volatile and time-varying.Further research shows that the credit spread of bonds with different ratings has friction on the transmission of monetary policy.The interest rate of the monetary policy has a greater impact on the bonds with lower rating,but the impact is not significant if the rating is too low.Under different bonds rating,the monetary policy has different transmission effects on consumption and output.Overall,the lower the bonds rating,the stronger the transmission effectiveness,but it becomes weaker when the rating is too low.Finally,we study the transmission of the credit market from the micro level.We conduct a causal test on the overall transmission mechanism and find that the transmission channel of bank credit interest rate of monetary policy is relatively smooth.Through the analysis of the transmission of monetary policy between the head enterprises and the tail enterprises,we can observe more differential and structural effects of the transmission.Further,we take the entity enterprises as the key research object,and selects the financial data of 766 listed companies and the data of monetary policy,stock market and macroeconomic for 13 consecutive years from 2009 to 2021 in Chapter 7.It uses the panel Quantile Regression model to regress the impact of monetary policy tools on the liquidity allocation of entity enterprises.The study shows that,the impact of monetary policy instruments on entities in different quantiles show significant differences.The loose monetary policy has formed a better financing environment for enterprises with strong credit financing ability,and the excessive supply has led to the "idling" of funds in a few high-quality enterprises,resulting in the imbalance of liquidity allocation and the decline of efficiency. |
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