The Analysis on the Industry Heterogeneity Effect of Monetary Policy -- GMM Method Based on Provincial Dynamic Panel Data Model

An Pan

《World Scientific Research Journal》 8卷2期 (2022/02) Pp. 433-444

https://doi.org/10.6911/WSRJ.202202_8(2).0056

摘要

This paper establishes a dynamic panel GMM model to explore the differential impact of monetary policy on five diverse sectors (real estate, industrial sector, construction, wholesale and retail trades, and hotel and catering services). In the context of China facing a ballooning local government debt and economic slowdown, we further investigate the response of different industries to monetary policy at different government debt levels and different economic cycle stages. The empirical results reveal that different sectors have various responses to the same monetary policy and the response of some sectors to monetary change at different size of local government debt and different stages of economic cycles. Our work provides a meaningful insight for industry heterogeneity effect of monetary policy as Chinese government play a unique role which is quite different from its counterpart in western countries in its economic development.

關鍵字

Monetary Policy ； Industry Heterogeneity ； Dynamic Panel Regression

參考文獻

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