اثرات واقعی سیاست های پولی در چین: تجزیه و تحلیل تجربی

This paper examines whether institutional changes have affected the interaction between the real economy and monetary policy in China. We find evidence that structural changes in the financial and real sectors over the period of our study did influence the way in which monetary policy affected the real economy. There were an increasing influence of interest rates on output over 1984 to 1997 and non-state owned enterprises were increasingly reacting to monetary policy changes, suggesting that banking sector reforms were having effects, despite the fact that most credit was allocated to the loss-making State sector.

Since the start of economic reforms in 1979, there have been significant structural changes in the Chinese economy. Financial deregulation and innovation, since the beginning of 1990s, have widened the menu of financial options available, changing the way in which monetary policy operates on the real economy1. In addition we have observed major changes in the environment in which state-owned enterprises have operated and the increasing emphasis on the private sector as the driving force behind economic growth. Examining the relationships between real and financial variables in the Chinese economy, and how this has been altered by structural reform and financial deregulation, are therefore of interest for the study of monetary policy in China. This paper analyses the impact of monetary policy on the real economy after financial reform in 1984, when a two tier banking system was introduced, to the end of 1997, after which further major changes took place which will have impacted upon the way in which monetary policy operated but which are not considered in this paper. The reason for our choice of this period is that we wish to investigate specifically the impact of structural changes that have led to the non-state-owned sector becoming the major driver of growth in the Chinese economy. It was during 1984 to 1997 that a considerable amount of the real sector restructuring took place2 and hence concentrating on this period provides us with the opportunity to examine this particular feature. In this context we are interested in the following issues: do we observe changes in the way that monetary policy has operated on the real sector? If so do these changes reflect the relative importance of the state-owned sector to the overall growth of the real economy? If we observe changes can they be related to the developments in the financial sector over the period of our study? Our approach is empirical — we do not specify a theoretical model but adopt an approach of allowing the data to provide answer to the questions posed above. We will use a vector autoregression (VAR) approach to examine these issues. This has become a standard procedure for the analysis of monetary policy in developed, market-based economies.3 However, for China we need to specify the system to be estimated quite carefully to capture the key aspects of monetary policy. Furthermore, in order to consider whether the effects of monetary policy have been influenced by the restructuring in the real sector we differentiate between different classes of firms: state-owned enterprises (SOEs), collective enterprises (CLEs) and individual and private enterprises (PEs). On a priori grounds we will argue that there is likely to be variation in the estimated relationships of the VAR as a result of structural changes. We investigate the appropriateness of this conjecture through statistical testing and conclude that there is evidence that the impact of monetary on the real economy did vary over the period of our study. We investigate what these changes imply about the effects of monetary policy and relate these changes back to the institutional developments that have taken place. The remainder of the paper is organized as follows. In Section 2, we discuss the policy and institutional settings which form the background of this study and outline the approach we take to the operation of monetary policy in China. In Section 3 we present the results of our empirical analysis. We focus particularly on testing formally for structural breaks and relate the different estimates across sub-periods to our discussion of what institutional changes have taken place. In the final section we provide a summary of our results and consider the implications of our analysis for monetary policy in situations where rapid structural changes are taking place.

This paper has examined the way in which monetary policy has impacted on the real economy in China during a period of restructuring of the economy. The analysis gives some insights both into the way that restructuring has taken place as well as the effect that it has had on the way in which monetary policy has operated. We have employed an empirical (VAR) model that has taken into account the specific institutional structure of the Chinese economy and that this was changing in significant ways over the period we have studied. Our statistical testing has confirmed the existence of structural breaks and that the effects of monetary policy were different before and after the structural break. We have found that monetary policy has been seen to operate through both interest rate and lending channels but in the former case the effect has reflected the way in which non-SOEs have become more important in the Chinese economy over time, as well as the increasing use of banks to keep SOEs afloat. This contention is supported by the observation that shocks to bank lending have had less of an impact on the output in the latter period while interest rate effects were becoming more significant. Furthermore there appears to be changing behaviour in response to lending shocks. In the first sub-period we find that output responses are long-lasting and positive while there is a shift to a still positive but shorter-term effect in the latter period. Such a movement in response indicates that SOEs were losing some of their ability to call on bank lending to fund long-term expansion in response to short-term positive shocks in bank lending and were more concerned with maintaining financial viability. What have we been able to decide in terms of what caused the breaks in responses of output to policy shocks? We identified a number of changes in the financial sector which may have changed the operation of monetary policy. However the timing of the structural breaks does not suggest a particular event but rather a cumulative effect of institutional developments. Specifically, since the break date is found to take place during 1989, the shift to non-state owned production, the increasing emphasis on lending at the margin to non-SOEs seems to be driving our results. In addition the increasingly poor financial performance of SOEs has also had an effect. However we do not find any significant interaction between monetary policy instruments and the overall state of the banking system (as measured by the total amount of deposits) and hence no evidence to suggest that banks were changing their behaviour, except for lending at the margin, in response to the structural changes that were taking place. One of the general products of our analysis is to throw some light on the way in which structural changes need to be taken into account when we are accessing the impact of monetary policy. In our specific case we may observe that a failure to account for the structural change that took place would have given a different perspective on monetary policy in China. In particular we would have concluded that the main channel of monetary policy was through the quantity of bank loans. By identifying that the model is subject to a structural break we have found that monetary policy also has had effects through interest rates. We have also illustrated the way in which the shift in China's economy away from SOE output is having effects on the way in which monetary policy is operating on the real economy. In terms of understanding the future impact of monetary policy in China we may observe that significant structural changes to the real economy have changed the nature of the effects of monetary policy over the time period of this study and this is likely to continue. These effects are clearly worthy of further investigation. Of course our results are model specific. It may be that a more complete structural model of the economy will provide results which can explain in more detail and more precisely what is exactly driving the results we have found here. In addition we have chosen to represent structural breaks in the context of single events rather than as a continually evolving process. One reason for this choice is that it allows us to interpret the effects of the structural breaks more clearly. However it would be interesting to consider an approach which allowed for gradual change rather than a single period shift. This paper can be seen as identifying that such additional work is desirable and will help to explain in more detail, the specific case of monetary policy in China and more generally how a process of economic transformation influences how monetary policy operates and the specific changes which are taking place in the underlying relationships.