Study on the Regional Asymmetry and Time-varying Effects of Monetary Policy's Credit Channel in China: Based on PCHVAR Model

Abstract

Abstract:

Based on the trade openness, the second industry proportion and the per capita income index as the conditional variables, economic growth, inflation, local and foreign loan balance as the endogenous variables, medium and long term loan as common exogenous variable, this paper constructs a panel conditional homogeneous vector autoregressive model (PCHVAR) to analyze the asymmetric and time-varying effect of China's credit policy. The empirical results show that there is a Granger causality between local/foreign loan balance and economic growth, and there is no Granger causality relationship with inflation rate. In the face of the positive impact of the shock of local and foreign balance, when the degree of trade openness is a conditional variable, the impulse response of economic growth is also higher in region with high trade openness, while the impulse of inflation is lower than that of low trade openness region. In the proportion of the secondary industry as a conditional variable, the impulse response of economic growth and inflation is also high in the areas of high proportion of secondary industry. In the region where the per capita income index is the conditional variable, the impulse response of the economic is also high in the region with high per capita income index, while the impulse of inflation shows an asymmetric pattern.

Key words: monetary policy, credit transmission, asymmetric and time-varying effect, PCHVAR model

Cui Baisheng, Gao Songyao, Hu Chunyan. Study on the Regional Asymmetry and Time-varying Effects of Monetary Policy's Credit Channel in China: Based on PCHVAR Model[J]. , 2020, 32(3): 37-49.

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