The Independent Effect Of Each Monetary Policy Transmission Channel In China

Facing the highly technical difficulty in the separation of each monetary policy transmission channel’ independent effect in China, this paper identifies and compares it by using the separation technology in the SVAR model. Furthermore, this paper also deeply observe how different monetary policy transmission channels influence each component of aggregate demand, that is investme、consumption and net export. Through calculating the difference impulse response values of output to monetary policy shock between the "blocked" and "unblocked" situation, empirical results show some important features of Chinese monetary policy transmission:First, the role of each channel in the transmission of monetary policy shocks is very different from each other. And the independent transmission effects from large to small orders are asset price channel, credit channel, interest rate channel, and exchange rate channel, respectively accounting for about 46.11%、41.96%、9.66% and 2.27% of the total impulse response of output to monetary policy shock. In particular, the stock market is more sensitive to monetary policy compared with the household market.Second, the relative importance of different channels is not constant, it is sensitive to the environment of financial system. Paticularly, effect of credit channel is wenken for some problems in banking system, while all channels especially asset price channel and interest channel become more important for the reform of financial and interest rate liberalization in the fulture.Third, the process of financial marketization reform doesn’t change the fact that the effect of quantitive credit channel is much larger than interest rate channel. Which can be explained by that the heavy responsibility of reducing the serious friction in financial markets can not only depends on simple interest rate market-oriented reform.Fourth, investment is the most sensitive part to monetary innovations, next is net export and consumption. Asset price channel propagate the effect of monetary policy relatively more quickly and credit channel more durable, while transmission routine of interest rate channel is inverted U-shape and the effect of exchange rate channel is the weakest.This paper also rovides empirical support on the effective of central bank’s monetary policy operational by orientation of quantitative easing to iron the economic downturn. The robustness analysis also shows that results are robust to the choice of monetary policy proxy variable and the setting of identification restrictions.