Girton Roper (1977),,,,,, ( ),,,,,,, ( Exchange Market Pressure) 30 EMP, EMP EMP,Girton Roper (1977), ,,, Kim(1985) ,,, T

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1 : : : 3 : ,,,,,,, : 1994,,, , , , , 418 % , , 2 % 2005,,2007, , %, 2005, 1313 %,2007, 0141 %, 310,,?,?,?, Girton Roper (1977) ( EMP), ( Younus,2005),, ;, ;,,, Girton Roper (1977) 3,, :100871, edu. cn ( ΠG0302 ) ( ) Girton Roper (1977),, Girton Roper (1977), 58

2 Girton Roper (1977),,,,,, ( ),,,,,,, ( Exchange Market Pressure) 30 EMP, EMP EMP,Girton Roper (1977), ,,, Kim(1985) ,,, Tanner (1999) ,,,,, Kamaly Erbil (2000) , (MENA), Gochoco2Bautista Bautista (2005) ,,, ( ) Garcia Malet (2005) ,,,;,, EMP,Girton Roper (1977) Kamaly Erbil (2000),, (PPP) EMP Garcia Malet (2005),,,,Tanner (1999),6,, Kamaly Erbil (2000),, Gochoco2Bautista Bautista (2005),,, ;,,, Girton Roper (1977), 59

3 : :, (OLS), Girton Roper (1977) Kim(1985), (VAR), Tanner (1999) Kamaly Erbil (2000) Gochoco2Bautista Bautista (2005) Garcia Malet (2005) ( EMP), (2003) , EMP, EMP, EMP Girton Roper (1977), ( EMP),,, : M d = PY exp ( - ),, P, Y,, > 0,,, > 0 : H = F + D - B,, H, F, D, B, : H = F + D - B = PY exp ( - ) (1) (1), t, : 1 H 5 H = 1 H 5 ( F + D - B) = 1 P 5 P + 1 Y 5 Y - 5 : F( t) = t E( t) R - ( t) dt, B ( t) = t - (2) E( t) B ( t) dt (3) (3), R ( t) t, R ( t) t, B ( t) t, B ( t) t E ( t) t (3), (2) : 1 H 5 H h = 1 H 5 H : c = 1 H E5 R, r = E H 5 R + 5 D -, d = 1 H 5 D E5 B = 1 P 5 P, b = E H 5 B h c = r c + d c - b c = c + c y c + 1 Y 5 Y, = 1 P 5 P - 5 (4), y = 1 Y 5 Y 5, g =,, - c g c, (5),,, 2002,,,,,, , , 19, ,, ,, , 60

4 : u (5) (6), : h u = r u + d u = u + u y u h c - h u = ( r c + d c - b c ) - ( r u + d u ) = ( c + c y c - u g u (6) - c g c ) - ( u + u y u - u g u ) Girton Roper (1977), Garcia Malet (2005),, u c,, cu = c - u + ge cu,ge cu, Π,ge cu = 1 e 5 e, ge cu > 0 e, ; ge cu < 0, e, (7) : r c - r u + ge cu = - d c + d u + b c + c y c - u y u + cu (7) - c g c + u g u (8), Girton Roper (1977),,,,,,, r u, (8) : r c + ge cu = - d c + b c + h u + c y c - u y u + cu - c g c + u g u (9) r u d u h u, h u (9) ( EMP),,, (9) : (1),, (2),,,( ), (3), (4),,,,, ;,, ;,,, (9), ;,,,,,,,,,, 61

5 : :, (9), ,, ,,,, (OLS), (endogeneity problem), Kamaly Erbil (2000) Gochoco2Bautista Bautista (2005) Garcia Malet (2005), (VAR),,,,, VAR,, VAR,, Balassa2Samulson,,,, : p X t = A j X t - j j = t + 2 USh t + 3 USg t + v t (10) (10), X t = [ EM P t, CNd t, CNy t, CNg t ],{ v t }, 0, ),A v j, 1, 2, 3 : v { v t } iid (0, EMP t, CNd t, CNy t, CNg t, t, USh t USg t, : ( Π ) ( International Financial Statistics, IFS), , IFS 12a 12d 12e 12f, 2000 (9),,,,,,,,,,, (2006), (2006) 62

6 2008 9, ,,, ,,,, ( ), X11 IFS, X11 ( ), , CEIC : EMP = r c + ge cu, ge cu = ( e t Πe t - 1-1) 3 100, r c = ( Π 1 ) 3 100, = -, X11, 1 ] CNd = (Π 1 ) ( CNy) = [ ( Π )Π( Π ) - t = ( CPI - CPI + ge cu ) , ( EMP) 1 1 EMP ,, ,, ,,, ,, ,, , VAR 1, 1 1 % EMP 5 % VAR ( Granger Causality) 2, 2 VAR, 10 %,,,, 2006, , ,,,, 11 63

7 : : 1 ( EMP) 12,, 12,,, 1, 1 (ADF ) ADF T EMP, CNd, CNy, CNg, % % % :ADF Schwarz (SIC) 2 ( Granger Causality) F2 CNd EMP Granger CNy EMP Granger EMP CNd Granger EMP CNy Granger EMP CNg Granger CNd CNg Granger CNg CNd Granger : (1) (2) 10 % 64

8 2008 9, VAR 1,,, 12, (LR), 5 % 12, 12 VAR 3 3,VAR 3 EMP t ( - 1) EMP t ( - 2) EMP t ( - 3) EMP t ( - 4) EMP t ( - 7) VAR 7916 % EMP, ( ) : : 156, EMP t CNd t CNy t CNg t ( R 2 t ) , R , F ,,,,,,, ;,, ( ), EMP, EMP t ( - 8) EMP t ( - 10) EMP t ( - 11) EMP t ( - 12) CNd t ( - 1) CNd t ( - 4) CNd t ( - 8) CNd t ( - 9) CNd t ( - 10) CNd t ( - 12) (51147) (11112) ( ) (11136) ( ) ( ) (11328) ( ) ( ) (11393) (11164) ( ) ( ) ( ) (11880) (11539) ( ) ( ) ( ) ( ) (11167) ( ) ( ) ( ) Akaike (AIC) Schwarz (SC) 65

9 : :,12, EMP 3 ( 2),, CNy t ( - 1) CNy t ( - 2), CNy t ( - 4) EMP 2 EMP 12 (t 21178),,,,, EMP,,,,,,,, 1 2, EMP, ( 2),, EMP,,,, 66 CNy t ( - 5) CNy t ( - 6) CNy t ( - 7) CNy t ( - 8) CNy t ( - 11) CNy t ( - 12) CNg t ( - 3) CNg t ( - 5) CNg t ( - 6) CNg t ( - 8) CNg t ( - 10) CNg t ( - 12) C (21030) (11507) (21178) (11386) (11721) t (01020) USh t ( ) USg t ( ) ( ) ( ) (11878) ( ) (11285) ( ) ( ) (01279) (01574) (11829) ( ) ( ) ( ) (11586) (11989) (11044) ( ) (11475) ( ) (01380) (01162) (11352) ( ) (21205) (21265) (11212) ( ) ( ) ( ) (01197) : (1) t2 (2) VAR,

10 EMP ( 2 ),, ( ),,, EMP, ( 3),EMP 3,, 6, 7 11,,, 12,, EMP,,,,, ( 4 ), 1 4,, 6 8,, 3, EMP, EMP,,,, ;,,,,, EMP, ( 11 ),, EMP,,, 67

11 : : 3 EMP ( 2 ),EMP VAR,,,,,, EMP EMP,, t,,, 2005,,,,, ;,, ;,, ;,,,,, ;,, ;,,,,,, 68

12 2008 9,2006,, 7,2006, ( ) -, ( ) 6 2,2008 :,2003 : :, 6 Garcia,Clara and Nuria Malet,2005, Exchange Market Pressure, Monetary Policy, Economic Growth : Argentina in , Political Economy Research Institute, Working Paper Series No 99, University of Massachusetts2Amherst. Girton,Lance and Don Roper, 1977, A Monetary Model of Exchange Market Pressure Applied to the Postwar Canadian Experience, American Economic Review, Vol. 67, No. 4, Gochoco2Bautista,Maria Socorro and Carlos C. Bautista,2005, Monetary Policy and Exchange Market Pressure : The Case of the Philippines, Journal of Macroeconomics 27, Kamaly,Ahmed and Nese Erbil, 2000, A VAR Analysis of Exchange Market Pressure : A Case Study for the MENA Region, ERF Working Paper No University of Maryland,College Park,MD. Kim,Inchul, 1985, Exchange Market Pressure in Korean : An Application of the Girton2Roper Monetary Model : Note, Journal of Money, Credit and Banking,Vol. 17, No. 2, Π114. Tanner, Evan, 1999, Exchange Market Pressure and Monetary Policy : Asia and Latin America in the 1990s, The IMF Working Paper WPΠ Younus,Sayera,2005, Exchange Market Pressure and Monetary Policy, Working Paper Series WP0603, the Bangladesh Bank. China s Exchange Market Pressure and Monetary Policy : A Monetary Model Based on Empirical Analysis Bu Yongxiang (China Center of Economic Research ;Peking University) Abstract :Based on a monetary model this study derives a measure of Renminbi foreign exchange market pressure ( EMP), and investigates the interactions between EMP, central bank domestic credit, China s relative economic growth rate against US, and domestic interest rate. Also this paper explores the impacts of US monetary base and interest rate on China s EMP. Monthly data for the period to and a VAR methodology are used. We found some evidence of a negative relationship between Renminbi appreciation pressure and central bank domestic credit, as well as positive relationships between Renminbi appreciation pressure and economic growth, domestic interest rate respectively. Also there is some evidence that EMP affects domestic credit negatively, while no significant impacts on China s interest rate. Key Words : Exchange Market Pressure ; Monetary Policy ; Economic Growth JEL Classification : E580 ( : ) ( : ) 69

M 2 ΠGDP (1996) M2ΠGDP (2000) (2000) (2001) (2001) (2001) (2002) (2002) (2002) (2003) (2001) (2005) (2005) (2006) (2004) M2ΠGDP ; M2ΠGDP ; M2ΠG

M 2 ΠGDP (1996) M2ΠGDP (2000) (2000) (2001) (2001) (2001) (2002) (2002) (2002) (2003) (2001) (2005) (2005) (2006) (2004) M2ΠGDP ; M2ΠGDP ; M2ΠG 3 2006 GDP 1017 % (CPI) 115 % 2005 (Pagano 1993 ; King and Levin 1993 ;Rajan and Zingales 1998 ; 2001) (1984) (1989) (1992) (1992) (2005) M2 (1996 1997) (2000) ; (2002) (2006) ( ) 3 ( 06&ZD004-01) 4 2007