In this research, the authors evaluate different channels of the monetary policy transmission mechanisms in Saudi Arabia over the last 15 years with a baseline of structural vector autoregressive （SVAR） models. Cont...In this research, the authors evaluate different channels of the monetary policy transmission mechanisms in Saudi Arabia over the last 15 years with a baseline of structural vector autoregressive （SVAR） models. Contemporaneous coefficient in the structural model indicates that while Saudi Arabia pegs its currency to US dollar, monetary policy instrument reacts positively to unexpected changes in the monetary aggregate. In addition to the traditional interest rate channel, the authors have also found the effects of credit channel. Moreover, variance decomposition results show that past shocks of credit, nominal effective exchange rate （NEER）, federal funds rate （FFR） and treasury bill （TB） are found to be important for credit growth in shorter and longer horizons. The exchange rate channel has been less significant in comparison to other channels.展开更多
Looking from the institutional system that the stock market services the state-owned enterprises, the bad corporate governing structure of the state-owned listed companies, the lack of balance between the yield from a...Looking from the institutional system that the stock market services the state-owned enterprises, the bad corporate governing structure of the state-owned listed companies, the lack of balance between the yield from an investment and the stock, and the polarization of the wealth distribution in the stock market, we make an intensive analysis and exploration on the inefficiency of transmitting monetary policy of Chinese capital market herein.展开更多
This paper highlights the importance of monetary policy transmission mechanism in Thailand since the 1997 financial crisis and then undertakes an empirical investigation of Thailand monetary policy. This study makes e...This paper highlights the importance of monetary policy transmission mechanism in Thailand since the 1997 financial crisis and then undertakes an empirical investigation of Thailand monetary policy. This study makes effort to address both two aspects of monetary transmission mechanism, namely channels of monetary policy and the effect of monetary policy shocks on key macroeconomic variables. To address these issues, the paper specifies structural vector autoregressive （SVAR） models and estimates them using quarterly data from 1997q3 to 2014q4. The identification schemes used in this paper follow Kim and Roubini and Raghavan, Silvapulle, and Athanasopoulos with some modifications. The overall result is that the identifying restrictions used in the SVAR seem to appropriately identify a monetary policy shock even though the exchange rate puzzle is found. The results show that interest rate and monetary aggregate have played the dominant channels of monetary transmission mechanism in Thailand, while an exchange rate channel is decreasingly significant. In addition, Thailand economy is somewhat exposed to the foreign sector especially for the world price of oil and the U.S. monetary policy. The results also reveal the linkage and influence of U.S. monetary policy on Thailand monetary policy. The empirical findings are then used to provide Bank of Thailand （BOT） with insight into identifying the important monetary policy transmission channels. It would help the BOT to implement an effective monetary policy for achieving price stability through the appropriate monetary channels.展开更多
In this paper,we review the historical transformation of China’s monetary policy framework in a systematical way in the past 70 years since the founding of the People’s Republic of China,from the five dimensions of ...In this paper,we review the historical transformation of China’s monetary policy framework in a systematical way in the past 70 years since the founding of the People’s Republic of China,from the five dimensions of money creation mechanism,monetary policy objective,monetary policy instrument,monetary policy rule and monetary policy transmission channel.We then focus on the current policy framework and suggest its major characteristics:the base money creation mechanism is undergoing fundamental structural changes and the credit system is becoming more and more complex;the multip1e objectives of the monetary policy are prone to conflict with each other;quantitative tools and price-based tools coexist while the validity of various new structural tools still needs to be tested;the monetary policy decisions are mainly discretionary and clear quantitative rules have not been formed;the monetary policy transmission is still dominated by bank credit channels,and the transmission to real economy is partially blocked.In the end,we outline the four major challenges facing China’s existing monetary policy framework and put forward policy recommendations for its transformation in the future.展开更多
The great impact of monetary policy on bank risk-taking,facilitated by a liquidity mechanism,significantly complicates the macro-prudential supervision process.Surprisingly,limited scholarly research has delved into t...The great impact of monetary policy on bank risk-taking,facilitated by a liquidity mechanism,significantly complicates the macro-prudential supervision process.Surprisingly,limited scholarly research has delved into this particular issue.Hence,in this paper,the liquidity variable is introduced into the dynamic linear model to depict the liquidity mechanism by which monetary policy affects bank risk-taking.Based on micro-data from 133 commercial banks in China,this paper empirically tests using systematic Gaussian mixture models estimation and a panel smooth transition regression model.The findings reveal that while monetary policy does not exhibit a significant risk-shifting effect.A marked liquidity transmission effect,however,is observed,whereby easy monetary policy noticeably exacerbates bank risk-taking.This impact becomes more pronounced as liquidity levels improve.The most significant negative impact of monetary policy on bank risk-taking occurs when bank liquidity reaches approximately 43%.Moreover,when banks maintain high levels of liquidity,the statutory deposit reserve ratio exerts a greater regulatory effect than other monetary policy tools.Contractionary monetary policy imposes noticeably weaker restraints than expansionary monetary policy,particularly in banks with higher liquidity levels.Moreover,the interplay between monetary policy and bank risk-taking is contingent upon not just the liquidity level of banks,but also their asset size and capital adequacy.展开更多
文摘In this research, the authors evaluate different channels of the monetary policy transmission mechanisms in Saudi Arabia over the last 15 years with a baseline of structural vector autoregressive （SVAR） models. Contemporaneous coefficient in the structural model indicates that while Saudi Arabia pegs its currency to US dollar, monetary policy instrument reacts positively to unexpected changes in the monetary aggregate. In addition to the traditional interest rate channel, the authors have also found the effects of credit channel. Moreover, variance decomposition results show that past shocks of credit, nominal effective exchange rate （NEER）, federal funds rate （FFR） and treasury bill （TB） are found to be important for credit growth in shorter and longer horizons. The exchange rate channel has been less significant in comparison to other channels.
文摘Looking from the institutional system that the stock market services the state-owned enterprises, the bad corporate governing structure of the state-owned listed companies, the lack of balance between the yield from an investment and the stock, and the polarization of the wealth distribution in the stock market, we make an intensive analysis and exploration on the inefficiency of transmitting monetary policy of Chinese capital market herein.
文摘This paper highlights the importance of monetary policy transmission mechanism in Thailand since the 1997 financial crisis and then undertakes an empirical investigation of Thailand monetary policy. This study makes effort to address both two aspects of monetary transmission mechanism, namely channels of monetary policy and the effect of monetary policy shocks on key macroeconomic variables. To address these issues, the paper specifies structural vector autoregressive （SVAR） models and estimates them using quarterly data from 1997q3 to 2014q4. The identification schemes used in this paper follow Kim and Roubini and Raghavan, Silvapulle, and Athanasopoulos with some modifications. The overall result is that the identifying restrictions used in the SVAR seem to appropriately identify a monetary policy shock even though the exchange rate puzzle is found. The results show that interest rate and monetary aggregate have played the dominant channels of monetary transmission mechanism in Thailand, while an exchange rate channel is decreasingly significant. In addition, Thailand economy is somewhat exposed to the foreign sector especially for the world price of oil and the U.S. monetary policy. The results also reveal the linkage and influence of U.S. monetary policy on Thailand monetary policy. The empirical findings are then used to provide Bank of Thailand （BOT） with insight into identifying the important monetary policy transmission channels. It would help the BOT to implement an effective monetary policy for achieving price stability through the appropriate monetary channels.
基金The Youth Program of the National Social Science Fund of China“Study on the Forming Mechanism and Countermeasures for Macro Debt and High Leverage”(17CJY054).
文摘In this paper,we review the historical transformation of China’s monetary policy framework in a systematical way in the past 70 years since the founding of the People’s Republic of China,from the five dimensions of money creation mechanism,monetary policy objective,monetary policy instrument,monetary policy rule and monetary policy transmission channel.We then focus on the current policy framework and suggest its major characteristics:the base money creation mechanism is undergoing fundamental structural changes and the credit system is becoming more and more complex;the multip1e objectives of the monetary policy are prone to conflict with each other;quantitative tools and price-based tools coexist while the validity of various new structural tools still needs to be tested;the monetary policy decisions are mainly discretionary and clear quantitative rules have not been formed;the monetary policy transmission is still dominated by bank credit channels,and the transmission to real economy is partially blocked.In the end,we outline the four major challenges facing China’s existing monetary policy framework and put forward policy recommendations for its transformation in the future.
文摘The great impact of monetary policy on bank risk-taking,facilitated by a liquidity mechanism,significantly complicates the macro-prudential supervision process.Surprisingly,limited scholarly research has delved into this particular issue.Hence,in this paper,the liquidity variable is introduced into the dynamic linear model to depict the liquidity mechanism by which monetary policy affects bank risk-taking.Based on micro-data from 133 commercial banks in China,this paper empirically tests using systematic Gaussian mixture models estimation and a panel smooth transition regression model.The findings reveal that while monetary policy does not exhibit a significant risk-shifting effect.A marked liquidity transmission effect,however,is observed,whereby easy monetary policy noticeably exacerbates bank risk-taking.This impact becomes more pronounced as liquidity levels improve.The most significant negative impact of monetary policy on bank risk-taking occurs when bank liquidity reaches approximately 43%.Moreover,when banks maintain high levels of liquidity,the statutory deposit reserve ratio exerts a greater regulatory effect than other monetary policy tools.Contractionary monetary policy imposes noticeably weaker restraints than expansionary monetary policy,particularly in banks with higher liquidity levels.Moreover,the interplay between monetary policy and bank risk-taking is contingent upon not just the liquidity level of banks,but also their asset size and capital adequacy.
