Three Essays On The Impacts Of China S Monetary Policy
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Three Essays On The Impacts Of China S Monetary Policy
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Author : Shen Chen (Ph. D.)
language : en
Publisher:
Release Date : 2018
Three Essays On The Impacts Of China S Monetary Policy written by Shen Chen (Ph. D.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Economic development categories.
China has experienced high speed of economic growth, trying to catch up with the developed countries. Monetary policy has played a more and more important role in China. This dissertation studies the impacts of China's monetary policy on China's housing market, stock market, and China's economic growth. The first essay examines macroeconomic determinants of China's housing price by constructing a VAR model. Granger Causality tests, impulse response functions and variance decompositions are used to analyze the impacts of macroeconomic factors on the housing price. By using the monthly data from 2005 to 2015, the results show that a contractionary monetary policy will cause the growth rate of housing prices to decline in China. However, output growth doesn't play an important role in housing price in China. Besides, it will take about half a year for a contractionary monetary policy to start to influence the housing prices and the effect will last for approximate two years after the policy is initially implemented. The second essay conducts empirical analysis of the influence of economy growth and monetary policy on the stock index in China. From 2008 to 2017, China's GDP growth remained above 6% and China surpassed Japan to become the world's second largest economy in 2011. However, after the financial crisis in 2007 China's stock market remained weak and stock index fluctuated up and down at the level of 2008. Some scholars believe that the downturn of stock market in China is the result of a slowdown in China's economy. And some argue that it can be caused by the government's intervention to stock market. This paper examines the determinant of China's stock index by constructing a VAR model. The results of the empirical study show that none of the real economic variables is a cause of the stock index. And monetary policy doesn't have significant effect on the stock market in China. The third essay employs a Dynamic Stochastic General Equilibrium (DSGE) model with Bayesian approach to model the China economy and to analyze the impacts of monetary policy shocks. The data are on a quarterly basis and from 1992 to 2014. Based on the results of the posterior distributions and impulse response functions, I find that the monetary policy shock does have significant effects on China's output and inflation. However, based on the results of variance decomposition I find that the monetary policy shocks didn't play significant role in China's business cycle. Hence, the monetary policy might not be the major driver for China's economic growth. The reason of the ineffectiveness of China's interest rate policy might be the imperfect financial market and interest rate control in China.
Three Essays On Monetary Policy The Financial Market And Economic Growth In The U S And China
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Author : Juan Yang
language : en
Publisher:
Release Date : 2010
Three Essays On Monetary Policy The Financial Market And Economic Growth In The U S And China written by Juan Yang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Does monetary policy affect the real economy? If so, what is the transmission mechanism or channel through which these effects occur? These two questions are among the most important and controversial in macroeconomics. This dissertation presents some new empirical evidence that addresses each question for the U.S. and Chinese economies. Literature on monetary transmission suggests that the monetary policy can take effect on the real economy through several ways. The most noteworthy one is credit channels, including the bank lending channel and the interest channel. First, I use a new method to test for structural breaks in the U.S. monetary policy history and present some new empirical evidence to support an operative bank lending channel in the transmission mechanism of monetary policy. Results show that an operative bank lending channel existed in 1955 to 1968, and its impact on the economy has become much smaller since 1981, but it still has a significant buffering effect on output by attenuating the effect of the interest channel. Second, I adopt the recently developed time series technique to explore the puzzling negative correlation between output and stock returns in China currently, and posit that it is due to a negative link between monetary policy and stock returns when monetary policy increases output. The monetary policy has not been transmitted well in the public sector which is the principal part of Chinese stock market, and increased investment capital from monetary expansion goes to real estate sector instead of the stock market. Last, I demonstrate how monetary policy has been transmitted into the public and private sectors of China through the credit channel. The fundamental identification problem inherent in using aggregated data that leads to failure in isolating demand shock from supply shock is explicitly solved by introducing control factors. I find that the monetary policy has great impact on private sector rather than public sector through credit channel in China. These findings have important practical implications for U.S. and China's economic development by improving the efficiency of the monetary policy because a comprehensive understanding of monetary transmission will lead to better policy design.
Three Essays On Monetary Policy And Economic Growth In China
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Author : Peng Wang
language : en
Publisher:
Release Date : 2009
Three Essays On Monetary Policy And Economic Growth In China written by Peng Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with China categories.
Three Essays About Monetary Policy In China
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Author : Weibo Xiong
language : en
Publisher:
Release Date : 2012
Three Essays About Monetary Policy In China written by Weibo Xiong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
The thesis focuses on three aspects of China's monetary policy since the 1980s. Chapter 1 examines the monetary policy actions of the central bank in China. A new policy stance index incorporating a range of di erent monetary policy instruments is developed and examined. The empirical results suggest that the PBC is informally targeting in ation although no explicit target has been announced. Chapter 2 focuses on China's monetary conditions and aggregate demand in terms of the monetary conditions index (MCI). Di erent transmission channels are considered through which monetary conditions might in uence aggregate demand. The empirical tests show that the MCIs contain useful information about future output growth and in ation in China over the short and medium term. Chapter 3 examines the scal challenges to the monetary authority's control over the price level in China. The empirical result suggests a scal dominance regime. When a pegged exchange rate regime is considered, it is argued that in the presence of large capital in ows and strong central bank interventions, the monetary authority can generate seigniorage without worrying about the foreign exchange reserves to decrease.
Three Essays On China S Foreign Exchange Markets
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Author : Yi David Wang
language : en
Publisher: Stanford University
Release Date : 2011
Three Essays On China S Foreign Exchange Markets written by Yi David Wang and has been published by Stanford University this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
This dissertation is a compilation of three essays I wrote during my investigation of China's foreign exchange markets. I list the abstract of each in the following paragraphs. Essay 1: Anomaly in China's Dollar--RMB Forward Market Newly-established data on onshore deliverable US dollar--RMB forwards and the Shanghai Interbank Offered Rate from October 2006 to April 2009 reveal significant violations of covered interest rate parity. This paper hypothesizes that these violations are caused by an increase in US dollar-to-RMB conversion restrictions. Given that Chinese monetary authorities want to prevent market participants from taking advantage of the predictable appreciation of the RMB, China's State Administration of Foreign Exchange has to tighten up the control on US dollar-to-RMB conversions. Under the tightened conversion restrictions, similar deviations will resurface in the forward market whenever hot money inflow increases. One way to avoid covered interest rate parity violations in the forward market is to decrease hot money inflow into China by maintaining a stable and credible exchange rate policy. Essay 2: Convertibility Restriction in China's Foreign Exchange Market and its Impact on Forward Pricing Different from the well established markets such as the dollar-Euro market, recent CIP deviations observed in the onshore dollar-RMB forward market were primarily caused by conversion restrictions in the spot market rather than changes in credit risk and/or liquidity constraint. This paper proposes a theoretical framework under which the Chinese authorities impose conversion restrictions in the spot market in an attempt to achieve capital flow balance, but face the tradeoff between achieving such balance and disturbing current account transactions. Consequently, the level of conversion restriction should increase with the amount of capital account transactions and decrease with the amount of current account transactions. Such conversion restriction in turn places a binding constraint on forward traders' ability to cover their forward positions, resulting in the observed CIP deviation. More particularly, the model predicts that onshore forward rate is equal to a weighted average of CIP-implied forward rate and the market's expectation of future spot rate, with the weight determined by the level of conversion restriction. As a secondary result, the model also implies that offshore non-deliverable forwards reflect the market's expectation of future spot rate. Empirical results are consistent with these predictions. Essay 3: The Global Credit Crisis and China's Exchange Rate The case for stabilizing China's exchange rate against the dollar is strong. Before 2005 when the yuan/dollar rate was credibly fixed, it helped anchor China's domestic price level. But gradual RMB appreciation from July 2005 to July 2008 created a "one-way-bet" that disordered China's financial markets in two respects: (1) no private capital outflows to finance China's huge trade surplus leading to an undue build up of official exchange reserves and erosion of monetary control, and (2) a breakdown of the forward exchange market in 2007-08 so that exporters could no longer get trade credit—probably worsening the severe slump in Chinese exports. But after July 2008, the credit crunch induced an unexpected unwinding of the dollar carry trade leading to a sharp appreciation in the dollar's effective exchange rate. The People's Bank of China (PBC) then stopped RMB appreciation against the dollar. China's forward exchange market was restored and monetary control regained. Now the PBC can better support the fiscal stimulus by promoting a parallel expansion of bank credit. But, since March 2009, the fall in the dollar (with the RMB tied to it) again threatens to undermine the yuan/dollar rate and China's monetary stability.
Re Balancing China
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Author : Peter Nolan
language : en
Publisher: Anthem Press
Release Date : 2014-02-01
Re Balancing China written by Peter Nolan and has been published by Anthem Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-01 with Business & Economics categories.
‘Re-balancing China’ addresses three key sets of issues in China’s political economy. Part One provides an analysis of the profound effect of the global financial crisis upon China’s economy, as well as the positive impact of the massive rescue package that was implemented in response to the crisis. Part Two focuses on the challenge of globalization for China’s industrial policy. After more than two decades of industrial policy, China still has a negligible number of large firms that are competitive in global markets. China’s experience presents a fundamental challenge to traditional concepts of industrial policy and development. Part Three examines China’s international relations – in particular, its relationship with the US and the interactions between the two countries in the East and South China Seas.
Three Essays On China S Foreign Exchange Markets
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Author : Yi David Wang
language : en
Publisher:
Release Date : 2011
Three Essays On China S Foreign Exchange Markets written by Yi David Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
This dissertation is a compilation of three essays I wrote during my investigation of China's foreign exchange markets. I list the abstract of each in the following paragraphs. Essay 1: Anomaly in China's Dollar--RMB Forward Market Newly-established data on onshore deliverable US dollar--RMB forwards and the Shanghai Interbank Offered Rate from October 2006 to April 2009 reveal significant violations of covered interest rate parity. This paper hypothesizes that these violations are caused by an increase in US dollar-to-RMB conversion restrictions. Given that Chinese monetary authorities want to prevent market participants from taking advantage of the predictable appreciation of the RMB, China's State Administration of Foreign Exchange has to tighten up the control on US dollar-to-RMB conversions. Under the tightened conversion restrictions, similar deviations will resurface in the forward market whenever hot money inflow increases. One way to avoid covered interest rate parity violations in the forward market is to decrease hot money inflow into China by maintaining a stable and credible exchange rate policy. Essay 2: Convertibility Restriction in China's Foreign Exchange Market and its Impact on Forward Pricing Different from the well established markets such as the dollar-Euro market, recent CIP deviations observed in the onshore dollar-RMB forward market were primarily caused by conversion restrictions in the spot market rather than changes in credit risk and/or liquidity constraint. This paper proposes a theoretical framework under which the Chinese authorities impose conversion restrictions in the spot market in an attempt to achieve capital flow balance, but face the tradeoff between achieving such balance and disturbing current account transactions. Consequently, the level of conversion restriction should increase with the amount of capital account transactions and decrease with the amount of current account transactions. Such conversion restriction in turn places a binding constraint on forward traders' ability to cover their forward positions, resulting in the observed CIP deviation. More particularly, the model predicts that onshore forward rate is equal to a weighted average of CIP-implied forward rate and the market's expectation of future spot rate, with the weight determined by the level of conversion restriction. As a secondary result, the model also implies that offshore non-deliverable forwards reflect the market's expectation of future spot rate. Empirical results are consistent with these predictions. Essay 3: The Global Credit Crisis and China's Exchange Rate The case for stabilizing China's exchange rate against the dollar is strong. Before 2005 when the yuan/dollar rate was credibly fixed, it helped anchor China's domestic price level. But gradual RMB appreciation from July 2005 to July 2008 created a "one-way-bet" that disordered China's financial markets in two respects: (1) no private capital outflows to finance China's huge trade surplus leading to an undue build up of official exchange reserves and erosion of monetary control, and (2) a breakdown of the forward exchange market in 2007-08 so that exporters could no longer get trade credit--probably worsening the severe slump in Chinese exports. But after July 2008, the credit crunch induced an unexpected unwinding of the dollar carry trade leading to a sharp appreciation in the dollar's effective exchange rate. The People's Bank of China (PBC) then stopped RMB appreciation against the dollar. China's forward exchange market was restored and monetary control regained. Now the PBC can better support the fiscal stimulus by promoting a parallel expansion of bank credit. But, since March 2009, the fall in the dollar (with the RMB tied to it) again threatens to undermine the yuan/dollar rate and China's monetary stability.
Three Essays On Mainland China S Stock Market Performance
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Author : Han Zhou
language : en
Publisher:
Release Date : 2018
Three Essays On Mainland China S Stock Market Performance written by Han Zhou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
The thesis consists of three essays that examine empirical factors important for explaining the performance of the mainland China stock market. The first chapter discusses whether other stock market performances could explain the mainland China stock market performance within the framework of greater China. This chapter provides empirical evidence of the non-existence of stable cointegrating relationships among the mainland China, Hong Kong and Taiwan stock markets. The empirical results of short-run spillover effects on both first and second moments indicate that mainland China stock markets serve as an information generator, the Taiwan stock market serves as an information receptor and the Hong Kong stock market functions as both an information generator and receptor. The second chapter empirically studies the linkages between mainland China monetary policies and stock market performance by employing event study and SVAR methods. The empirical results indicate that first, monetary policy announcements concerning benchmark interest rates and required reserve ratio adjustments have effects on stock market volatility; second, a positive monetary policy shock in mainland China could decrease stock prices in the short run, and the effect of the policy trends slightly towards 0; third, a positive stock price shock could have a positive effect on interbank rates; and fourth, this effect has an increasing trend followed by a decreasing trend. The third chapter provides empirical evidence that an increase in institutional ownership can increase stock return volatility. The chapter first confirms that an increase in institutional ownership of one listed firm increases that firm's stock return volatility. Second, the chapter provides evidence that the marginal effect of institutional ownership on the volatility of one firm-level stock return decreases with an increase in institutional ownership and that this effect becomes negative when institutional ownership exceeds a certain threshold of approximately 28%. Additionally, we observe that an increase in institutional ownership can decrease stock return synchronicity.
Essays On The Effects Of Monetary Policy In China And Japan
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Author : Yunpeng Sun
language : en
Publisher:
Release Date : 2018
Essays On The Effects Of Monetary Policy In China And Japan written by Yunpeng Sun and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Essays On Money And Finance
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Author : Jiajin Huang
language : en
Publisher:
Release Date : 2019
Essays On Money And Finance written by Jiajin Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with Business & Economics categories.
This book investigates and resolves some financial and monetary questions regarding Chinese economy. The first chapter examines the role of informal financing in China using a firm-level dataset of manufacture industry, and finds that low-risk informal finance exerts a positive effect on firms' performance. The second and third chapter focus on the measurement and effect of Chinese monetary policy. The autor establishes a new index by using a state space method, reflecting changes in various monetary instruments, which has both theoretical and empirical advantages. Then he investigates the effect of China's monetary policy shocks on its close trading partners in developing Asia with the GVAR method. China's influence has highly expanded even by monetary policy perspective.