Research On The Efficiency Of Monetary Policy Transmission Mechanism Based On VAR And ECM

The most important part of the research of monetary policy is the monetary policy transmission mechanism.It made Keynes’ idea goes spread in the Unite States,when the worldwide Great Depression occurred in the1930s.IN General Theory,he proposed interest rate as the center of monetary policy transmission mechanisim. But he stressed that the interest rate had the most important impact to investment. It is the historical background of the Great Depression led Keynes advocated policies boarded the stage of history. Many well-known following the Keynesians to enrich and improve all aspects of Keynes’s interest rate transmission mechanism. For example, Tobin’s q says as the core asset prices、Modigliani theories about the impact of consumer wealth effects、 Bolanke credit theory for the center channel. With the development of economic globalization, scholars have proposed the existence of the exchange rate channel.In this paper, the theoretical basis of monetary transmission channels on the use of ECM model and VAR model,so that the effectiveness of the credit channel and monetary channel is analyzed empirically.In this paper, There are six chapters. The first chapter is the introduction, this paper introduces the background, significance, research methods, and the innovation of the paper.The second chapter describes the process of economic development as the basis, for the theory briefly presented various monetary transmission channels, as well as empirical analysis later.The third chapter analyzes the basic situation of China’s monetary policy transmission channels running through several aspects of the status quo analysis and draw conclusions.The fourth chapter, by selecting from2001to2013quarterly data, the model based on empirical analysis of ECM empirical analysis money supply channel、the credit channel、the effectiveness of monetary channels. Selected nine macroeconomic variables unit root test、Granger causality test、cointegration test, build ECM model to analyze the variables from short to long-term changes in dynamic equilibrium, draw the money supply channel of monetary policy is one of the main channels for the conduction of the credit channel on the real economy of the whole society strong explanatory power, but also the main channel of monetary policy transmission. Because of the degree of market-oriented country in the factor market is not high, so interest rates, exchange rates, asset prices, although the role of conduction channels have appeared, but not the main channel of monetary policy transmission.Chapter V, by selecting the money supply and GDP build two variables VAR model and Granger causality test, impulse response function, found the money supply M and gross domestic product GDP is highly positively correlated Upon receipt of the gross domestic product (GDP) of a positive money supply shock in nine months after the peak, so it can be considered that the existence of the money supply channels.Chapter VI, the conclusions and policy recommendations.1. The money supply is one of the main channels of monetary policy transmission channels. Money supply and GDP cointegrated, and loans, exchange rates, interest rates, Shanghai Securities index does not exist cointegrated Composite Index and GDP. After a quarter of the money supply on the price elasticity is0.34percentage points higher0.07than loans0.27price elasticity. Suggested the central bank to continue to study and make use of the money supply transmission channels, continue to play a regulatory role in the open market operations on the money supply. When the price rises rapidly, the future is expected to rise strongly, the channel can be inhibited by money supply inflation.2credit channel is one of the main transmission channels of monetary policy on the real economy of the whole society play a very crucial role. Although the results of long-term equilibrium relationship does not exist between the lending and financial institutions GDP in the analysis, but by empirical results.(1) After three months the bank will put out loans after loans from financial institutions Granger causality consumption and investment, which could explain the short-term indirect role in promoting investment and consumption through play, and will eventually be outputs impact.(2) Loans and prices of financial institutions long-term equilibrium relationship exists when loans from financial institutions put out three months after the beginning of an impact on prices, every one percentage point rise in lending, will push prices up0.2743percentage points. Third:the interest rate transmission channel, the role of asset prices conduction channel is lagging behind, the interest rate market also needs to speed up the process, especially the deposit interest rate marketization.