Monetary Transmission Channels, Sectoral Output and Augmented VAR Analysis

Rao,Doki Tripati,Singh,Sunny Kumar 한국유통과학회 2019 KODISA ICBE (International Conference on Business Vol.2019 No.-

This paper analyzes monetary policy effect on aggregate as well as sectoral output of the Indian economy for the period 1996Q1:2013Q2. We apply the standard vector autoregression (VAR) followed by impulse response function to evaluate the response of aggregate as well as sectoral output to monetary policy. We also augment the basic VAR by including various monetary transmission channels, such as, credit channel, exchange rate channel, asset price channel and direct interest rate channel and analyze the sector specific importance of each of these channels. The findings suggest that the impact of a monetary policy changes at the sectoral output level is heterogeneous. Sectors such as mining and quarrying, manufacturing, construction and trade, hotel, transport and communications seem to decline more sharply than aggregate output in response to a monetary tightening. The channels through which monetary policy is transmitted to the real economy are found to be different for every sector. In most of the cases, multiple channels are responsible for the changes in the aggregate and sectoral output to the monetary policy changes.

중국 통화정책이 도시와 농촌 간의 소득 격차에 미치는 영향 분석

왕자욱,박지윤 아시아.유럽미래학회 2023 유라시아연구 Vol.20 No.1

At present, there is a gap of absolute and relative income between urban and rural residents. In the long run, the growth rate of urban residents' income is much faster than that of rural residents. So, the absolute gap continues to widen. Although the relative gap fluctuates, it remains at a high level for a long time, and the overall trend is expanding. This paper studies the mechanism of monetary policy's heterogeneous influence on urban and rural residents' income, and clarifies the process of monetary policy's influence on urban and rural income gap, which is conducive to enhancing the effectiveness of monetary policy transmission mechanism, weakening the imbalance of monetary policy between urban and rural, and promoting the alleviation of urban and rural income gap. This paper mainly studies the impact of monetary policy on urban-rural income gap. Based on the differences in household income composition of urban and rural residents, this paper constructs a logical framework of “monetary policy-intermediary variable-urban-rural income gap,” and conducts theoretical analysis and empirical test. In terms of theoretical analysis, this paper studies how monetary policy influences the urban-rural income gap through affecting intermediary variables, and qualitatively expounds the effects of various transmission channels. Taking the expansionary monetary policy as an example, the expansionary monetary policy will bring the increase of money supply. At the same time, the increase of money supply will cause the rise of commodity housing price, and the rise of commodity housing price will widen urban-rural income gap. The increase of money supply will cause the share of labor factors to decline, while the share of labor factors will narrow urban-rural income gap. However, the share of capital income will increase, which will expand urban-rural income gap. The increase of money supply will lead to the increase of credit scale, and the increase of credit scale will widen urban-rural income gap. In terms of empirical test, the mediating effect model was constructed, and the panel data of 31 provinces (cities and districts) from 2000 to 2019 were used to test the transmission channels of the influence of monetary policy on urban-rural income gap. The research results show that monetary policy can affect urban-rural income gap through asset price, interest rate and credit transmission mechanism, which verifies the existence of transmission mechanism, and the effect of various transmission channels is consistent with theoretical analysis. In the empirical analysis, 31 provinces (cities and districts) were divided in eastern, Northeast, central and western regions, and it was found that there were regional differences in the effect of monetary policy on urban-rural income gap. Finally, according to the theoretical analysis and empirical test results, there offer the corresponding policy recommendations.

통화정책과 기업 설비투자: 자산가격경로와 대차대조표경로 분석

박상준,육승환 한국은행 2018 經濟分析 Vol.24 No.4

In order to confirm whether the monetary policy affect corporate investment or not, this paper examines the validity of the asset price channel and the balance sheet channel among monetary policy transmission mechanisms. Unbalanced dynamic panel model based on system GMM method is employed and annual financial statements data of Korean firms from 2000 to 2016 are used. For estimating the asset price channel, Tobin’s q is used as the independent variable, and for estimating the balance sheet channel, the cross products of liquidity asset ratio and call rate difference or liquidity asset ratio and rate of increase in monetary base are used as interaction independent variables. In addition, debt ratio and operating profit ratio are included as the regressors. The dependent variable is investment ratio (the ratio of real investment amount to real tangible fixed asset amount). The empirical test results show that there is a statistically significant relation between investment at t and Tobin’s Q at t-1. Considering lowering policy rate possibly increase stock price, and then stock price has a positive relation with Tobin’s Q, the plus signal of Tobin’s Q means that the asset price channel of monetary policy functions statistically significant. The coefficient of liquidity asset ratio at the former period (t-1) is also estimated as plus – it means that there might be information asymmetry between firms and banks. Meanwhile, the coefficient of interaction term which is the cross product of liquidity asset ratio and call rate difference is estimated plus and the one which is the cross products of liquidity asset ratio and rate of increase in monetary base is estimated minus. This means that the impact of liquidity asset on investment gets weaker during the time of easing monetary policy; therefore, the balance sheet channel of monetary policy function is statistically significant. Model estimation by firm size distribution shows that the impacts of the asset price channel and the balance sheet channel are stronger in the smaller firms. Besides, the impact of operating profit on investment is estimated more powerful in the smaller firms rather than in the larger firms. On the contrary, only the debt ratio coefficient of top 50% sized-firm group shows statistically significant minus sign. This study has policy implications in the aspects of firms’ investment during the time of tightening monetary policy, and external fund premium for smaller firms. 저자 : 박상준(와세다대학교), 육승환(금융통화연구실) <요약> 본 연구는 통화정책이 기업의 설비투자에 미치는 파급경로를 불균형 동태적 패널모형으로 분석하였다. 2000~2016년 중 우리나라 기업의 재무제표 데이터(연간)를 이용하여 자산가격경로와 대차대조표경로의 유효성을 검증하였는데 이 과정에서 내생성 문제를 해결하기 위해 시스템 GMM 기법을 적용하였다. 분석 결과, t-1기의 토빈 q는 t기의 투자율과 유의적인 양의 관계를 갖는 것으로 나타났다. 정책금리의 인하가 주가 상승에 긍정적인 영향을 주고 주가 상승이 토빈 q와 양의 상관관계가 있는 점을 고려하면 유의적인 양의 값으로 추정된 토빈q의 계수는 자산가격 파급경로가 작동하고 있음을 의미한다. 전기 유동성자산의 계수도 양의 값을 갖는 것으로 추정되었다. 이는 은행과 기업 간에 정보의 비대칭성이 존재할 가능성을 시사한다. 한편, 유동성자산 비율과 콜금리 차분의 교차항은 양의 값을, 유동성자산과 본원통화 증가율의 교차항은 음의 값을 갖는 것으로 추정되었다. 이는 확장적 통화정책이 실시되고 있을 때에는 투자에 대한 유동성자산의 영향력이 감소하는 것을 의미하는 것으로, 대차대조표경로가 작동하고 있음을 뜻한다. 기업을 규모별로 분류하여 추정한 결과, 기업 규모가 작을수록 자산가격경로와 대차대조표경로가 더 뚜렷하게 작동하는 것으로 보인다. 한편 영업이익률의 투자에 미치는 영향력도 규모가 큰 기업보다는 규모가 작은 기업에서 더 큰 것으로 나타났다. 반면에 부채비율은 상위 50% 기업에서만 유의적인 음의 값을 갖는 것으로 추정되었다. 본 연구는 기업 단위의 분석을 통해 통화정책의 자산가격경로와 대차대조표경로가 작동하여, 통화정책이 기업의 투자결정에 영향을 미친다는 것을 실증적으로 확인한 데 의미가 있다. 또한 통화정책 기조 변화가 기업의 투자결정에 미치는 영향이 기업 규모별로 상이할 수 있음을 보인 것도 정책적 측면에서 시사하는 바가 있다.