Consumption Loan Augmented Divisia Monetary Index and China Monetary Aggregation
Abstract
:1. Introduction
2. The Model
2.1. Consumer’s Utility Maximization Problem
- = vector of per capita (planned) consumptions of goods and services (including those of durables) during period s.
- = vector of goods and services expected prices and of durable goods expected rental prices during period s.
- = true cost of living index, used to deflate nominal to real values.
- = planned per capita real balance of monetary asset i during period s .
- = the expected nominal holding period yield (including capital gains and losses) on monetary asset i during period s.
- = real expenditure volumes with consumption loan type j (including credit card services) for transactions during period s .
- = expected interest rate on consumption loan djs during period s for .
- = planned per capita real benchmark asset holding during period s.
- = the expected (one-period holding period) yield on the benchmark asset during period s.= per capita labor supply during period s.
- = the wage rate during period s.
2.2. User Cost of Consumption Loans
2.3. Consumption Loan Augmented Monetary Aggregation
3. China’s Monetary Aggregation
3.1. Data Description and Pretreatments
3.2. Consumption Loan Augmented Divisia Aggregates
3.3. China’s Money Supply with Long Time Horizon (Jan 2000–Dec 2020)
3.4. China Monetary Aggregation and Macroeconomic Cycles
4. Augmented Divisia Monetary Aggregation and New Monetary Assets
5. Conclusions
Author Contributions
Funding
Data Availability Statement
- Publicly available datasets of China’s simple summed monetary aggregates were analyzed in this study. This data can be found here: http://www.pbc.gov.cn.
- China’s Divisia monetary aggregates data presented in this study are available on request from the corresponding author.
Conflicts of Interest
Appendix A
Appendix B
1 | Huabei has also been called Ant Check Later services. See Xie et al. (2020). However, to avoid confusion from translating issues, we adopt its original product name in this paper. |
2 | Treasury Bills, negotiable certificate of deposit, and commercial paper have not been regularly published by PBC, so are not included in this paper. Accessed on 13 Feburay 2021. |
3 | Original prospectus can be found at https://www.niutoushe.com/wpcontent/uploads/file/20201105/1604567173445605.pdf. Accessed on 13 Feburay 2021. |
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Type | M1 | DM1 | ADM1 | M2 | DM2 | ADM2 | M3 | DM3 | ADM3 |
---|---|---|---|---|---|---|---|---|---|
Cash | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 |
Credit Card Services | 0 | 0 | 1 | 0 | 0 | 1 | 0 | 0 | 1 |
(E-commerce) Consumption Loans | 0 | 0 | 1 | 0 | 0 | 1 | 0 | 0 | 1 |
Demand Deposits | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 |
Fixed Deposits in Commercial Banks | 0 | 0 | 0 | 1 | 1 | 1 | 1 | 1 | 1 |
negotiable certificate of deposit | 0 | 0 | 0 | 1 | 0 | 0 | 1 | 1 | 1 |
Saving Deposits in Commercial Banks | 0 | 0 | 0 | 1 | 1 | 1 | 1 | 1 | 1 |
Fixed Deposits in Finance Companies | 0 | 0 | 0 | 0 | 1 | 1 | 1 | 1 | 1 |
Saving Deposits in Finance Companies | 0 | 0 | 0 | 0 | 1 | 1 | 1 | 1 | 1 |
Overnight and Term Repurchases | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 1 | 1 |
Business Paper and Bills | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Treasury Bills | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Min. | Max. | Range | Mean | Std.Dev | Cor(,GDP) | |
---|---|---|---|---|---|---|
Simple sum M1 | 476,527.6 | 604,318 | 127,790.4 | 539,213.9 | 26,187.87 | 0.7015354 |
475,117.9 | 601,579.3 | 126,464 | 540,912 | 26,056.11 | 0.6933125 | |
476,410.8 | 714,589.9 | 238,179.2 | 543,895.5 | 29,402.44 | 0.7253561 | |
Simple sum M2 | 1,419,188 | 1,903,308 | 484,120 | 1,633,972 | 137,898.9 | 0.5599771 |
1,420,778 | 1,892,873 | 471,094.6 | 1,631,437 | 129,664.6 | 0.5720135 | |
1,422,516 | 2,038,599 | 616,083.3 | 1,640,332 | 131,172.1 | 0.5797076 | |
Simple sum M3 | 1,584,969 | 2,131,711 | 546,744 | 1,836,080 | 158,963.4 | 0.5681474 |
1,582,517 | 2,112,359 | 529,842.6 | 1,823,183 | 147,460 | 0.5759296 | |
1,584,319 | 2,268,600 | 684,270.9 | 1,832,586 | 149,378.5 | 0.5759484 |
Min. | Max. | Range | Mean | Std.Dev | Cor(,GDP) | |
---|---|---|---|---|---|---|
Simple sum M1 | 44,679 | 625,581 | 580,902 | 259,632.2 | 176,712.4 | 0.9872589 |
44,848.81 | 614,508.2 | 569,659.4 | 255,626.5 | 173,407.6 | 0.9872337 | |
Simple sum M2 | 116,293.4 | 1,989,887 | 1,873,594 | 780,288.2 | 562,083.5 | 0.9881089 |
116,091 | 1,839,876 | 1,723,785 | 733,839.6 | 515,714.4 | 0.9886445 | |
Simple SumM3 | 121,220 | 2,234,298 | 2,113,078 | 850,844.1 | 637,900.8 | 0.9863492 |
120,593.4 | 1,945,297 | 1,825,704 | 767,073.1 | 546,655.6 | 0.9880806 |
Divisia Monetary Aggregates | Type | ||||
---|---|---|---|---|---|
Cash | |||||
Central Bank Digital money | |||||
Credit Card Services | |||||
(E-commerce) Consumption Loans | |||||
Virtual currency | |||||
Demand Deposits | |||||
Fixed Deposits in Commercial Banks | |||||
Negotiable Certificate of Deposit | |||||
Saving Deposits in Commercial Banks | |||||
Fixed Deposits in Finance Companies | |||||
Saving Deposits in Finance Companies | |||||
Overnight and Term Repurchases | |||||
Business Paper and Bills | |||||
Treasury Bills |
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Share and Cite
Barnett, W.A.; He, K.; He, J. Consumption Loan Augmented Divisia Monetary Index and China Monetary Aggregation. J. Risk Financial Manag. 2022, 15, 447. https://doi.org/10.3390/jrfm15100447
Barnett WA, He K, He J. Consumption Loan Augmented Divisia Monetary Index and China Monetary Aggregation. Journal of Risk and Financial Management. 2022; 15(10):447. https://doi.org/10.3390/jrfm15100447
Chicago/Turabian StyleBarnett, William A., Kun He, and Jingtong He. 2022. "Consumption Loan Augmented Divisia Monetary Index and China Monetary Aggregation" Journal of Risk and Financial Management 15, no. 10: 447. https://doi.org/10.3390/jrfm15100447