وام های بانکی و اثرات سیاست پولی در چین: روش VAR / VECM

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 Chin

Since 1978, China has undergone an economic transformation. Many successes resulting from this change came to fruition around the turn of the 21st century (specially from 1996 to 2006). As this marks China's integration with the world, this transformation profoundly impacts both Chinese and global history. Within the process of China's economic development, monetary policy has played important roles to stabilize the economy, which has spurred various academic debates on effects of the monetary policy regime in China. In this paper, we use monthly data of China's economy during this period to identify the transmission mechanisms of monetary policy and to test the effects of monetary policy on the real economy. According to Christiano et al., 1998a and Christiano et al., 1998b, monetary policy decisions and the economic events after them are the effects of all the shocks to the economy. Thus, to explore the effects of monetary policy on the economy is to test the effects of monetary policy shocks from diverse transmission channels. The monetary transmission mechanism (MTM) is a process through which monetary policy triggers the changes in macroeconomic variables by certain transmission channels.1 There is disagreement on the monetary transmission channels. As such, a variety of transmission channels of monetary policy are identified and employed by different schools of thought to measure the effects of monetary policy on economic activities. The ‘money view’ works through the interest rate channel and exchange rate channel. The ‘credit view’ works through the bank lending channel and the balance sheet channel. The asset price channel works through wealth effects due to the monetary policy, and the expectation channel is determined by the rational expectations by the public. Due to China's fixed exchange rate regime prior to 2005, we ignore the exchange rate channel here, although we still discuss the effects of monetary policy on the exports, imports, total foreign exchanges and aggregate outputs. The interest rate channel reflects that, when the central bank increases (decreases) the money supply or reduces (raises) the nominal interest rate, if the prices are sticky, the real interest rate will decline (rise), commercial banks will create more (less) money by issuing deposits, and the demand for consumption and investment in diverse sectors will increase (decrease) the aggregate output (GDP). The bank lending channel dominates the credit channels, which assumes that the banking system plays a significant role in the transmission of monetary policy and the business cycle. It focuses on the asset side of banks' balance sheets, assuming that contractionary monetary policy not only reduces the deposits and the liabilities of the banks, but also causes a decline of the supply of bank loans. It also focuses on the extent of reduction in loans diverse across banks of varying size. This implies that the type of borrower matters given asymmetric information and friction in the loan market. The balance sheet channel is similar to the bank lending channel; in a monetary contraction, the decline of net worth of firms (borrowers) will raise the cost of external finance and thereby reduce the demand for loans and investments. Following Ford et al. (2003) and Bernanke and Blinder (1992), we have identified and tested the existence of the transmission channels of monetary policies, giving particular attention to the money channels and the credit channels in China and to the long-run relationships between macroeconomic variables and monetary policy parameters by employing VAR/VEC Models with cointegration. First, we use aggregate time series monthly data, namely total loans and total deposits, from 1996 to 2006 to examine the relationships between bank loans and macroeconomic variables to identify the existence of the interest rate channel and bank lending channel. Second, we test the differential effects of China's monetary policy across the size of banks by two categories, state-owned banks (big banks), which dominate the capital structure of banking system lend to state-owned enterprises (large and medium firms), and non-state banks (small banks), which lend to private and small firms. By doing this, we can further test the evidence of credit channels because recent studies (e.g., Kashyap et al., 1995 and Ford et al., 2003) indicate that results from disaggregated bank data can reflect a theoretical base on which the bank lending channel was developed: asymmetric information and the possibility of financial friction in loan markets. Third, we explore the distributional effects of monetary policy across sectors by disaggregating the loans to different economic sectors (industry, commercial, and construction), which is also an important aspect caused by the bank lending channel. Fourth, we determine the effects of monetary policies on the international trade (exports and imports) in China under the fixed exchange rate regime in China that existed before May 2005. Finally, we identify the cointegrating vectors among these variables and set up VEC Models to uncover the long-run relationships that connect monetary policy, bank balance sheet variables and macroeconomic variables in China. The monthly data from January 1996 to December 2006 are collected from China's central bank, PBC, IFS, China's National Statistics, National Planning and Development Committee and Data companies. Considering the data period (1996–2006), by seasonally adjusting all variables and inspecting the graphs of all variables in Fig. 1, we ignore the possible structure break of data. The data sample and notations are detailed and explained in Appendix A.It is difficult to choose the indicators of China's monetary policy in a VAR approach because the accuracy of the estimates of the effects of monetary policy depends crucially on the validity of the measure of monetary policy that is used. Use of an inappropriate measure may obscure a relationship between monetary policy and other economic variables that actually exists, or it may create the appearance of a relationship where there is no true causal link.2 Here we use the inter-bank weighted average rate, cibr, as the indicator of China's monetary policy. Also, we try to provide another aspect to test the transmission channels of China's monetary policy by employing the growth rate of M2 as the indicator of China's monetary policy because, according to some Chinese economists, the PBC targets the growth rate of broad money. All variables are taken log excluding the indicators of monetary policy and CPI inflation. We conduct a seasonal analysis on all variables by X12 approach and find that the industrial production, exports, and imports have distinguished seasonal characters; therefore in our system, the above three variables are seasonally adjusted, and other variables are kept unchanged. There are both advantages and drawbacks to using VAR. The fact that the VAR/VECM technique has produced many fruitful and consistent results motivates our study. On the other hand, critics, especially Rudebusch (1998), are concerned by the difficulty of identifying policy innovations and accounting for exogenous structural innovations to monetary policy. Also, according to Romer and Romer (2004), endogenous and anticipatory movements caused by some indicators of monetary policy, which are generally employed in the VAR/VECM technique, may lead to underestimates of the effects of monetary policy. An example of this can be seen in the federal funds rate, which is used as indicator of American monetary policy: the federal funds rate in non-Greenspan periods often moved endogenously with changes in economic conditions. In Section 3.2 and Appendix D, we will discuss this issue and offer evidence to connect structural innovations to cibr and growth rate of M2, the indicators of China's monetary policy, with the exogenous monetary policy actions by monetary authority. The remainder of this chapter is organized as follows. Section 2 describes the methodology. Section 3 specifies the VAR/VEC Models for China's monetary policy transmission. The empirical results of MTMs by VARs are presented in Section 4. Section 5 discusses the cointegrating vectors and VEC Models. Section 6 summarizes and concludes.

In this paper we have examined the differential effects of monetary policy shock on bank's balance sheets variables (deposits, loans, and securities) across bank categories (aggregate banks, state banks, and non-state banks) and on macroeconomic activities (output, consumer price index, exports, imports, and foreign exchange reserves) by estimating VAR Models to uncover the transmission mechanism of China's monetary policy. Our study identifies and tests the existence of the bank lending channel, the interest rate channel and the asset price channel by using the aggregate and disaggregated banks data in term of bank and loans types. Furthermore, we explore and discuss the distribution and growth effects of China's monetary policy by using data on bank loans to different sectors. Thirdly, we investigate the effects of China's monetary policy on China's foreign trade in contractionary and expansionary policies, respectively. Finally, we indentify the cointegrating vectors among these variables and set up VEC Models to uncover the long-run relationships that connect the monetary policy, bank balance sheet variables, and macroeconomic variables in China. The results of this study reveal many implications for implementations of China's monetary policy. The study covers more than a 10-year period (January 1996 to December 2006), which includes a weak recession period (1996–2001) with a deflation threat and a rapid recovery period with a high economic growth rate and low inflation rate. The reshaping of China's economic structure and financial regulations (or deregulations) has taken place during this period with the development and openness of China. First, we have presented significant results from aggregate bank data, bank type data, and loan type data that comply with the asymmetric-information-based and finance-friction-based monetary transmission theories. Both the impulse response functions from the aggregate bank data and the disaggregated data simulations confirm the existence of the bank lending channel, the interest rate channel and the asset price channel in China's monetary policy transmission for both contractionary and expansionary activities. In particular, a monetary policy shock influences the bank behaviors across the bank and loans types. The heterogeneous behaviors across bank and loan types (borrowers) reflect asymmetric information and frictions in the loan market, supporting the theoretical base on which the bank lending channel was developed. This empirical evidence implies that China's monetary policy can affect macroeconomic activities by constraining or augmenting the loan supply through the bank lending channel. Moreover, given the immature and tiny scale of China's capital market, in which the direct capital raising is rationed and difficult, most of China's firms obtain external capital mainly depend on the banks loans. The bank lending channel does and will play a great role in the implementation of China's monetary policy to achieve its multiple goals. The identification of the asset price channel in China's monetary transmission can contribute significantly to the development of China's financial markets. Second, the diversity in the response from bank loans to different sectors to China's monetary policy shocks in both expansionary or contractionary operations qualitatively and quantitatively show that China's monetary policy play a role in economic distribution and growth and not just in stabilization. This can provide some possible explanations for the rapid economic growth in China since 1978. It also implies the importance of improving the effects and efficiency of China's monetary policy's transmission. Third, we find that China's monetary policy did affect exports and imports; thus it did influence foreign reserves and output by impacting the terms of trade even before 2005, when China maintained a fixed exchange rate system. Given the current long-term account surplus, the huge accumulation of foreign exchange reserves, and the recent adoption of a managed floating exchange rate system in China, this imbalance of international trade cannot be sustainable in the long run. Therefore, reducing the dependence of China's economic growth on international trade, especially exports, and seeking economic growth models that are more sound and sustainable are the main challenges to Chinese policy makers. Finally, the identification of cointegrating relationships and VEC Models suggest the long-run relationships between the indicators of China's monetary policy, bank balance sheet variables (total deposits, total loans, and bank securities), and real economic variables (output, CPI inflation, export, import, and foreign exchange reserve), which confirms again that bank loans play a significant role in the transmission effects of monetary policy on the real economy in China.