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| 1 |
ID:
093843
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| Publication |
2010.
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| Summary/Abstract |
In this paper, we test the differential effects of monetary policy shock on aspects of banks' balance sheets (deposits, loans, and securities) across bank categories (aggregate banks, state banks, and non-state banks) as well as on macroeconomic variables (output, consumer price index, exports, imports, and foreign exchange reserves). We do so by estimating VAR/VEC Models to uncover the transmission mechanisms of China's monetary policy. Also we identify the cointegrating vectors to establish the long-run relationship between these variables. By using monthly aggregate bank data and disaggregated data on bank and loan types from 1996 to 2006, our study suggests the existence of a bank lending channel, an interest rate channel and an asset price channel. Furthermore, we discuss and explore the distribution and growth effects of China's monetary policy on China's real economy. In addition, we investigate the effects of China's monetary policy on China's international trade. Finally, we identify the cointegrating vectors among these variables and set up VEC Models to uncover the long-run relationships that connect the indicators of monetary policy, bank balance sheet variables and the macroeconomic variables in China.
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| 2 |
ID:
192410
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| Summary/Abstract |
We evaluate the effect of China's monetary policy shocks on corporate real investment. We propose a new approach to identify China's monetary policy shocks using high-frequency surprises based on treasury futures around monetary policy announcements as external instruments. We then estimate the dynamic effect of monetary policy shocks on corporate real investment using a rich firm-level data of all listed non-financial firms in China. We find that an unexpected monetary policy easing boosts firms' investment expenditures with heterogeneous dynamic responses across firms: small-sized firms have quicker responses than large-sized firms, especially for non-state-owned enterprises (non-SOEs). We show that sales revenue response could be the channel through which monetary policy shock transmits to non-SOEs' investment expenditures in China.
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| 3 |
ID:
122990
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| Publication |
2013.
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| Summary/Abstract |
Against the backdrop of the increasing impact of international short-term capital movements in the global economy, China's monetary policy independence has also been affected. This article outlines several important effects of international short-term capital movements on China's monetary policy independence by analysing features of channels and mechanisms of short-term international capital movement. The relationship between international short-term capital movements and China's monetary policy independence is studied econometrically using a value-at-risk model. The findings indicate that such capital influxes, especially those from abnormal channels in huge volumes, do adversely affect China's monetary policy independence.
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