A Study On The Asymmetric Effect Of China 's Monetary Policy

Asymmetric effects of monetary policy in the broad sense include vertical asymmetric and horizontal asymmetric effects. Vertical asymmetric effect mainly refers to different effect between different attitudes (expansionary or tight monetary Policy), and different effect of monetary policy when economic growth situation is different (economy in recession, growth, or prosperity), and different effect of monetary policy between different inflation condition (high or low inflation). Horizontal asymmetric effect includes different effect among industries, regions, or enterprlses. The narrow sense of asymmetric effect of monetary policy mainly refers to the vertical asymmetric effect, which is the main research content of this paper. The study of asymmetric effects of monetary policy has been a hot issue in the academic circles. At the same time, it is a useful reference for the central bank to implement the prudent monetary policy in the complex economic situation of the post crisis era when having a thorough understanding and research of asymmetric effect of monetary policy in our country.This paper is divided into two parts:theoretical and empirical research on the asymmetric effects of monetary policy in China. Firstly, in the theoretical research, on the basis of reviewing the previous studies, the paper presents asymmetric effects of monetary policy including neutrality and non neutrality, and then reviews the practice of monetary policy of our country according to time dimension since 1992. In the empirical part, the paper selects the monthly data from December 2014 to January 1996 to construct the MSVAR model, which includes the output growth rate, inflation rate, money supply growth rate, interest rate, credit scale, stock market return rate and exchange appreciation or depreciation rate. First, the paper makes judgment and analysis of the rationality of three regimes. Then, based on the model, through the impulse response function, the paper analyzes the asymmetric effects of monetary policy on different attitudes by using different means in different economic cycles on output, inflation and other macroeconomic variables. Finally, on the basis of empirical results, the paper proposes the corresponding recommendations.The results of the empirical research in this paper are as follows:Firstly, the division of the three regimes is a fine fit for the development of China’s economy in this period. Regime 1 indicates that inflation is low, the stock market return in the low, RMB exchange rate is a steady state. Regime 2 indicates that inflation is moderate, the stock market raises in a steady way, RMB exchange rate raises steadily. Regime 3 indicates that inflation is high, the stock market raises and waves sharply, RMB exchange rate rises sharply. The characteristics of each regime system exists significant differences. Secondly, the results of impulse response analysis show that in different regimes, different monetary policy means on different attitudes, such as money supply, interest rate, credit scale and exchange rate, have asymmetric effects on macroeconomic indicators such as output, inflation, stock index return, exchange rate.