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| A Study of Interest Rate Transmission Dynamics |
| MA Jun, SHI Kang, WANG Honglin, WANG Lisheng
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Research Bureau, the People’s Bank of China;
Department of Economics, the Chinese University of Hong Kong;
Hong Kong Institute for Monetary Research, Hong Kong Monetary Authority |
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Abstract We construct a Dynamic Stochastic General Equilibrium (DSGE) model to illustrate the transmission mechanism of the central bank policy rate in China based on Ma and Wang (2014). Using a bank-centric financial system to characterize Chinese economy, our model qualitatively demonstrates and quantitatively simulates the transmission of a policy rate change to market rates, and then to the real economy, especially when various administrative restrictions and market frictions are in place. We prove that loan-to-deposit ratio restriction, loan quota, and high deposit reserve requirement ratio may weaken and even distort policy rate transmission. We also extend the dynamic model to estimate the efficiency loss of transmission mechanism due to business cycle factors. A key policy implication of this study is that China should gradually remove various quantitative restrictions and further reduce the deposit reserve requirement ratio, in order to improve the efficiency of interest rate transmission mechanism and facilitate the transition to the new monetary policy framework.
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Received: 12 October 2015
Published: 01 January 1900
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