ارزیابی تجربی از سیاست های پولی چین

This paper investigates the responsiveness of the Chinese government’s monetary policies in terms of the money supply and interest rates to economic conditions and the effectiveness of these policies in achieving the goals of stimulating economic growth and controlling inflation. We analyze the responsiveness and effectiveness by estimating the Taylor rule, the McCallum rule, and a vector autoregressive model using quarterly data in the period of 1992–2009. The results show that, overall, the monetary policy variables respond to economic growth and the inflation rate, but the magnitudes of the responses are much weaker than those observed in market economies. Money supply responded actively to both the inflation rate and the real output and had certain effects on the future inflation rates and real output. The official interest rates, on the other hand, responded passively to the inflation rate and did not respond to the real output. They do not have any effect on future inflation rates and real output either.

Once a centrally planned economy, China has now implemented economic reforms to transform itself into a market-oriented economy and it has enjoyed an average annual real growth rate of about 10% for more than 20 years. After a few years of experimenting, the central bank of China announced in 1998 that it abandoned the traditional central-planning system of allocating funding to state-owned enterprises. Following the model in developed market economies, the central bank has been using the money supply and official interest rates as its main tools to implement its monetary policies. What was the role played by the central bank in the recent years of rapid growth? How effective were the monetary policies in promoting growth while maintaining stability? This paper sets out to answer these questions. Just as real economic variables and the inflation rate fluctuated over the last 20 years, so did the monetary variables. Such fluctuations in both economic variables and policy variables make it possible to conduct an empirical evaluation of the responsiveness and effectiveness of the government’s monetary policies. The time is ripe for such an evaluation as we now have enough data for a reasonable analysis. We address issues of how the money supply and official interest rates respond to macroeconomic variables such as the output, the inflation rate, and the real effective exchange rate. We explore which of the two monetary policy tools, money supply or official interest rates, play a more important role. We also examine how effective these monetary policies are in influencing future outputs and inflation rates. Regarding the former question of how responsive the monetary tools are, we adopt the frameworks of the Taylor rule and the MaCallum rule used widely in the literature to estimate the responses of the short-term official interest rate and the growth rate of the money supply to the real output and the inflation rate. We use time-varying-coefficient models as well as fixed-coefficient models to estimate the response coefficients in the Taylor rule and the MaCallum rule. For the latter task of analyzing the effectiveness of the policy variables, we adopt the standard vector autoregressive (VAR) model, examine the impulse response functions of the economic variables to the policy variables, and analyze the variance decomposition of the forecasting errors of the VAR model. Our results indicate that, overall, the monetary policy variables do respond to and have some effect on the economic growth, the inflation rate, and the real effective exchange rate as in Western market economies. However, the relationships among monetary policy variables and macroeconomic activities tend to be weaker than those in Western market economies. More importantly, unlike what’s been found in the Western economies, it is the growth rate of money supply that played a more crucial role in fine-tuning the economy, while the official interest rates played a very passive role. In the first 2 years of the sample period of 1992–2009, the money supply was too large and can be blamed for the ensuing high inflation in 1993–1994. The sharp decline in the money supply in 1994 was effective in bringing down inflation. For the remaining years of the sample period, the money supply had clear negative responses to both the inflation rate and the real output, in line with the MaCallum rule. The official interest rates passively responded to the inflation rate with a delay in the first half of the sample period and changed little in the second half of the sample period. Overall, the official interest rates had little effect on both the inflation rate and real output. The rest of this paper is organized as follows. Section 2 begins with a brief review of the literature on the evaluation of monetary policies. It then provides a brief account of China’s macroeconomic background, the government’s emphasis on different goals in various periods, and the literature on China’s monetary policies. This is followed by summary statistics and graphic illustrations of key macroeconomic variables for the sample period of 1992–2009. Section 3 investigates the responsiveness of the monetary policy variables to the economic conditions by estimating the Taylor rule and the McCallum rule equations. Section 4 presents an econometric analysis of the effectiveness of the monetary policy variables, using impulse response functions and variance decomposition of forecast errors, which characterize the importance of each variable in predicting future values of its own and other variables in the VAR system. Section 5 interprets the econometric results from a historical perspective. The last section concludes the paper.

In this paper, we address issues regarding the responsiveness and effectiveness of monetary policies in China in recent years. The large fluctuations in both economic variables and monetary policy variables provide an opportunity for this task. The empirical evidence we present in this paper shows that the two monetary policy variables, the growth rate of the real money supply and the official interest rates, do respond to the inflation rate and the output gap. The way these two policy variables respond to economic variables is better described by the models of the Taylor rule and the McCallum rule with time-varying coefficients than by the original models with fixed coefficients. The emphasis on stimulating growth in 1992–1993, the early years of the sample period, led to the high inflation rate later around 1994. The increase in the official interest rate and the sharp cut in the money supply in 1993–1995 were belated, but eventually worked to bring the inflation rate down. The delayed cut in the official interest rate after the Asian Financial Crisis in 1997–1998 partially caused sluggish recovery afterwards. Overall, we find that money supply was a more effective instrument used in China, responding to both the inflation rate and the real economy more actively, while the official interest rate responded to the inflation rate only passively.