The Dual Transmission Mechanism in Monetary Policy
Based on the theory of exchange rate overshoot and financial accelerator principle,from the theoretical levelin parsing the monetary policy impact on stock price bubble dynamic mechanism,this article found that increasing the money supply in the short term leads to rate overshoot,so as to improve corporate balance sheets,and then through the financial accelerator channels of commercial bank credit,it makes the stock price and credit scale has risen in a spiral.We measure the dynamic influence of monetary policy on exchange rate and price level from the perspective of time variation.The results show that monetary policy has overshoot effect on exchange rate in the short term,but has little effect on price level.Through the ARDL-ECM and DCC-GARCH,it is found that monetary policy is effective to the exchange rate-credit transmission channel of stock prices.At last,GSADF test is carried out for stock price bubbles,and it is found that there are obvious bubbles in Chinese stock prices in 2006-2008 and 2014-2015.The"Jackson Hole Consensus"policy of central bank intervention aimed at stabilizing prices will lead to.the dual situation of price inflation in capital market and deflation in real price level.
Monetary PolicyOvershoot of Exchange RateFinancial AcceleratorTVP-SV-VARJackson Hole Consensus
万方数据
维普
