تجزیه و تحلیل عامل-شونده VAR از سیاست های پولی در چین

We investigate the transmission mechanism of monetary policy in China over the past decades with emphasis on the post-Asian crisis period. A factor-augmented VAR method is used to study the effectiveness of monetary policy instruments in stabilizing the Chinese economy. We find that repo rate, benchmark lending rate, and a market-based monetary stance have little impact on the Chinese economy, and are only mildly effective when the exchange rate is more market-determined. The non-market-based measures of People's Bank of China, such as growth rates of total loan and money supply, are effective in adjusting the real economy and price level. Given the slow pace of exchange rate reform, China is likely to continue employing non-market-based policies in the near future.

China has achieved remarkable economic growth over the past decades, with an average growth rate of 9%. The inflation rate (either measured by the GDP deflator or Consumer price index) has remained moderately below 3% during this period.1 With the end of the official guidance on bank lending2 in 1998, monetary policy plays an increasingly important role in macroeconomic stabilization (Green, 2005). However, the transmission mechanism of monetary policy remains unclear. Since 1998, a series of monetary policy instruments, such as base interest rates, open market operations, discount rate, and reserve requirement, have been adopted by the People's Bank of China (PBC) to fine-tune the economy. The effectiveness of these instruments is, however, open to question. With its increasing integration into the global economy, the independence and effectiveness of China's monetary policy have been challenged because of the rigidity imposed on the exchange rate (Goodfriend & Prasad, 2007). Although significant efforts have been devoted to investigating the effect of Chinese monetary policies, most of the previous studies focus only on a single policy measure. Mehrotra (2007) finds that interest rate, as a monetary policy tool, cannot influence the price movements in China. Using total loans and central bank lending rate as monetary policy instruments, Dickinson and Liu (2007) find that the economic restructuring has changed the way monetary policy affects the real economy. Sun, Ford, and Dickinson (2010) show that the inter-bank weighted average interest rate affects the real economy through the bank lending channel. As China often implements different market-based policy instruments simultaneously, the analysis based on a single monetary tool may not provide a good evaluation of its monetary policy. Moreover, most of these studies have employed VAR, which typically comprises few variables. The use of sparse information sets in VAR analysis may produce inaccurate estimates and impulse response patterns (Bernanke et al., 2005, Rudebusch, 1998 and Sims, 1992). To shed light on the transmission channels of monetary policy in China over the past decades, in this paper, we employ the factor-augmented vector autoregression (FAVAR) of Bernanke et al. (2005) to investigate the effectiveness of monetary policy instruments.3 The FAVAR model combines the standard VAR approach with factor analysis to properly identify the monetary transmission mechanism (Bernanke et al., 2005 and Boivin and Giannoni, 2006). The FAVAR approach also enables us to assess the extent of the movements of real economies attributed to each policy instrument, separately or in combination. In this paper, we comprehensively investigate the effect of monetary policy on real economy after the financial reform in 1998. We are interested in this sample period for the following reasons. First, the Asian crisis of 1997 deteriorated the performance of Chinese companies, which accelerated the accumulation of non-performing loans (NPL) in the banking system. Recognizing the seriousness of NPL, the PBC abandoned the directed lending policy in 1998, and expanded its monetary policy toolbox. Hence, the post-1998 period provides us with a unique opportunity to examine the effectiveness of the market oriented monetary policy tools in China. Second, although China switched the exchange rate regime in June 2005 from a fixed rate regime to a more flexible exchange rate arrangement, very few studies have examined the improvement in the effectiveness of monetary policies after this reform. This sample period allows us to investigate how monetary policies in China are implemented under a relatively more floating exchange rate regime. Finally, most monthly macroeconomic data are only available after 1998. Our results show that China has effectively implemented monetary policy instruments to manage its economic growth and inflation. It is found that the Chinese economy is affected primarily by the growth rate of total loan and M2. Market-based policy instruments, such as repo and benchmark lending rates, are only mildly effective, when China moved to a more flexible exchange arrangement. We also find that the general monetary stance representing the overall effects of market-based instruments only plays a modest role in curbing inflation. The rest of the paper is organized as follows. Section 2 provides an overview of the major monetary policies and the transmission mechanism in China. The FAVAR model is introduced in Section 3. Section 4 presents the empirical evidence. Section 5 discusses the results and policy implications. Section 6 concludes the paper.

This paper estimates a factor-augmented vector autoregression model to analyze the monetary transmission mechanism in China. We show that market-based monetary policies have little impact on the real economy and price level under the fixed exchange rate regime. These policy instruments become slightly more effective on influencing the industrial production when the exchange rate is more market-determined. It is found that the monetary factor, which tracks the market-based monetary stance of the PBC by summarizing 15 policy variables, is more effective than any individual policy instrument, suggesting the synergy of a combination of policy instruments. We also show that the non-market-based measures of the PBC, such as the total financial loans and the broad money supply, are effective in adjusting the real economy and price level. Given the slow pace of exchange rate reform, China is likely to continue employing the non-market-based monetary policies in the near future.