Asymmetry Effect of Monetary Policy Based on the Model of MSVAR
ZHAO Xiao-nan1,ZHANG Jing2,CAO Yun-xiang3
1.School of Economics and Management, Northern China University of Technology, Beijing 100041,China; 2.School of Economics, Tianjin University of Finance Economics, Tianjin 300222,China; 3.Schoo of Economics, Naikai University, Tianjin 300192, China
Abstract：
The paper discusses the asymmetry of Chinas monetary policy state with the help of state-dependent Impulsive Response Function(IRF by the Markov Switching Vector Auto Regression(MSVAR)model and Impulsive Response Function based on Chinas macroeconomic data from first quarter of 1992 to the fourth quarter of 2011. It is suggested that Chinas monetary policy transmission mechanisms are non-symmetric. The two-district MSVAR model can well reflect the role procedure of credit transmission path of monetary policy on macroeconomic system, but the interest rate transmission path of monetary policy on the role procedure on the macroeconomic system requires three-district MSVAR model to describe, and obviously, the district characteristics of the transmission mechanisms reflect the different response of monetary policy on the inflation rate and real output. We also find out that the inhibitory effect of tight monetary policy in economic expansion is significantly greater than the stimulate effect of expansionary monetary policy in economic contraction. Furthermore, the district system of interest rate has an apparent shift before and after the exchange rate reform, and interest rate, applied as the intermediate target of monetary policy is playing an important role.
2013 
