Factor-augmented VAR analysis of the monetary policy in China
Publication in refereed journal


香港中文大学研究人员 ( 现职)

庄太量教授 (经济学系)

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数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.chieco.2013.03.001

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/13WOS source URL

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摘要We investigate the transmission mechanism of monetary policy in China over the past decades with emphasis on the post-Asian crisis period. A factor-augmented VAR method is used to study the effectiveness of monetary policy instruments in stabilizing the Chinese economy. We find that repo rate, benchmark lending rate, and a market-based monetary stance have little impact on the Chinese economy, and are only mildly effective when the exchange rate is more market-determined. The non-market-based measures of People's Bank of China, such as growth rates of total loan and money supply, are effective in adjusting the real economy and price level. Given the slow pace of exchange rate reform. China is likely to continue employing non-market-based policies in the near future. (c) 20http://aims.cuhk.edu.hk/converis/portal/Publication/13 Elsevier Inc. All rights reserved.

着者He Q, Leung PH, Chong TTL
期刊名称China Economic Review
出版年份20http://aims.cuhk.edu.hk/converis/portal/Publication/13
月份6
日期1
卷号25
出版社Elsevier
页次88 - 104
国际标準期刊号1043-951X
电子国际标準期刊号1873-7781
语言英式英语

关键词Factor model; Monetary policy; Principal components; VAR
Web of Science 学科类别Business & Economics; Economics; ECONOMICS