Empirical Study on the Asymmetry of the Effect of Monetary Policy Operation of Chinas Center Bank
In recent years, the research on both the symmetry and asymmetry of the effect of monetary policy has raised great concern abroad in the domain of finance. Evidence from research shows that the effects of contractionary and expansionary monetary policy differ from each other significantly when coping with the overheated and recessionary economy, respectively; besides, the distinctions of the effects and features of the monetary policies that are used in different countries and regions are also obvious. Through the flexible approach of Hamilton (2001), Kim D.H. (2002) analyses the monetary policy of U.S. The result indicated the significant nonlinearity of the American monetary policy before 1979, that is, asymmetric effect, while there is little such evidence for the subsequent period. By contrast, opposite results have been found by Bruinshoofd and Candelon(2004), test the effectiveness of monetary policy in some European countries using STR model and LM statistics. So far, few evidence shows whether the effect of monetary policy in China symmetric or not. This paper gives a thorough discussion on the issue using LSTR model and LM test statistics. The result indicates our monetary policy has a distinct asymmetry and a strong nonlinearity in its effect from the first quarter of 1993 to the second quarter of 2004.
Linear Monetary Policy Asymmetry LSTR Model LM Test
赵进文 闵捷
东北财经大学统计系,辽宁大连,116025
国际会议
昆明
英文
2005-07-05（万方平台首次上网日期，不代表论文的发表时间）