Effectiveness of Monetary Policy in China: Evidence from Factor-Augmented Vector Autoregression Model  

作　　者：Yunpeng Sun Jingjia Zhang 

机构地区：[1]Zhang School of Economics,Tianjin University of Commerce,Tianjin 300134,China [2]APEC Study Center,Nankai University,Tianjin 300071,China [3]Collaborative Innovation Center for China Economy,Nankai University,Tianjin 300071,China

出　　处：《Frontiers of Economics in China-Selected Publications from Chinese Universities》2019年第3期336-370,共35页中国高等学校学术文摘·经济学（英文版）

基　　金：The anthors thank the support from Tianjin Philosophy and Social Science Planning Project(No.TJYYQN19-004);Project of National and Regional Research Center,Ministry of Education(No.ZX20170183);National Natural Science Foundation Youth Project(No.71803089).

摘　　要：Since 2002,the People's Bank of China has frequently used both quantity-based direct monetary instruments and price-based indirect monetary instruments to promote economic growth and stabilize price level.Specifically,this study estimates 13 three-variable factor-augmented vector autoregression (FAVAR) models to explore how two types of monetary instruments affect China's economy and price level.Overall,we find that monetary policy has positive effects on China's economy and price level.Second,this study clearly states that the effectiveness of China's monetary policy on the economy has depended on China's quantity-based direct monetary instruments since 2002.Third,the effectiveness of quantity-based direct monetary instruments on China's economy and price level is dependent on the significant and positive effects of quantity-based direct monetary instruments after the 2008 financial crisis.Fourth,the significant and positive effects of price-based indirect monetary instruments on China's economy and price level before 2008 cannot fundamentally change their current insignificant effects on China's economy and price level.

关 键 词：China's MONETARY policy quantity-based direct INSTRUMENTS price-based indirect INSTRUMENTS factor-augmented vector AUTOREGRESSION model (FAVAR) 

分 类 号：F82[经济管理—财政学]