Using the Phillips-Loretan approach, this paper verifies the degree and speed of pass- through and rigidity of different interest rates in China, as well as the response of private loan interest rates to other interes...Using the Phillips-Loretan approach, this paper verifies the degree and speed of pass- through and rigidity of different interest rates in China, as well as the response of private loan interest rates to other interest rates during 2002-2012. The results indicate that the long-term pass-through from the interbank offered rates and deposit and loan interest rates to the treasury bond rate is incomplete, but that the long-term pass-through to private loan interest rates is overshooting. The long-term pass-through from the deposit and loan interest rates to the overnight interbank offered rate is incomplete, while that to the interbank offered rates of other maturities is complete. The short-term passthrough and adjustment speed of interest rates exhibit asymmetry. Therefore, before considering a full liberalization of interest rates, it is important to further enhance the competition of the financial system and the function of different interest rate systems, such as the interhank market and bond market.展开更多
This paper investigates how a firm＇s characteristics restrict the influence of monetary policy changes on its investment behavior. Focusing on China＇s listed companies for a sample period from the first quarter of 2...This paper investigates how a firm＇s characteristics restrict the influence of monetary policy changes on its investment behavior. Focusing on China＇s listed companies for a sample period from the first quarter of 2002 to the first quarter of 2011, we find that quantity- oriented and price-based monetary policies have heterogeneous impacts on corporate investment behavior, but the influence of monetary policies is constrained by the liquidity, inventory, size and asset-liability ratio of a firm. Firms with higher liquidity, lower inventory level and lower asset-liability ratios are less sensitive to the impact from two kinds of monetary policies. The larger the size of the firm, the less it is subject to influenee from quantity-oriented monetary policy; it responds more to price-based monetary poliey. The policy implication is that the monetary authorities should pay attention to the importance of policy-making based on the monetary demand of mieroeconomie entities.展开更多
基金support from the National Social ScienceFund of China(Grant Nos.10zd&034 and 12CJY115)the National Natural Science Foundation of China (Grant No.71373011)Zhejiang Provincial Natural Science Foundation of China(Grant No. LY12G03027)
文摘Using the Phillips-Loretan approach, this paper verifies the degree and speed of pass- through and rigidity of different interest rates in China, as well as the response of private loan interest rates to other interest rates during 2002-2012. The results indicate that the long-term pass-through from the interbank offered rates and deposit and loan interest rates to the treasury bond rate is incomplete, but that the long-term pass-through to private loan interest rates is overshooting. The long-term pass-through from the deposit and loan interest rates to the overnight interbank offered rate is incomplete, while that to the interbank offered rates of other maturities is complete. The short-term passthrough and adjustment speed of interest rates exhibit asymmetry. Therefore, before considering a full liberalization of interest rates, it is important to further enhance the competition of the financial system and the function of different interest rate systems, such as the interhank market and bond market.
基金the financial support from the National Social Science Fund of China(Grant No.10zd&034 and 12CJY115)the Foundation for the Author of National Excellent Doctoral Dissertation of China(Grant No.201102)+1 种基金the Social Sciences Foundation of the Ministry of Education of China(Grant No.12YJA790053)the Program for New Century Excellent Talents in University(Grant No.NCET-10-0688)
文摘This paper investigates how a firm＇s characteristics restrict the influence of monetary policy changes on its investment behavior. Focusing on China＇s listed companies for a sample period from the first quarter of 2002 to the first quarter of 2011, we find that quantity- oriented and price-based monetary policies have heterogeneous impacts on corporate investment behavior, but the influence of monetary policies is constrained by the liquidity, inventory, size and asset-liability ratio of a firm. Firms with higher liquidity, lower inventory level and lower asset-liability ratios are less sensitive to the impact from two kinds of monetary policies. The larger the size of the firm, the less it is subject to influenee from quantity-oriented monetary policy; it responds more to price-based monetary poliey. The policy implication is that the monetary authorities should pay attention to the importance of policy-making based on the monetary demand of mieroeconomie entities.
