| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20518 |
| 来源ID | Working Paper 20518 |
| Monetary Policy Effectiveness in China: Evidence from a FAVAR Model | |
| John Fernald; Mark M. Spiegel; Eric T. Swanson | |
| 发表日期 | 2014-09-25 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We use a broad set of Chinese economic indicators and a dynamic factor model framework to estimate Chinese economic activity and inflation as latent variables. We incorporate these latent variables into a factor-augmented vector autoregression (FAVAR) to estimate the effects of Chinese monetary policy on the Chinese economy. A FAVAR approach is particularly well-suited to this analysis due to concerns about Chinese data quality, a lack of a long history for many series, and the rapid institutional and structural changes that China has undergone. We find that increases in bank reserve requirements reduce economic activity and inflation, consistent with previous studies. In contrast to much of the literature, however, we find that central-bank-determined changes in Chinese interest rates also have substantial impacts on economic activity and inflation, while other measures of changes in credit conditions, such as shocks to M2 or lending levels, do not once other policy variables are taken into account. Overall, our results indicate that the monetary policy transmission channels in China have moved closer to those of Western market economies. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Money and Interest Rates ; Monetary Policy |
| URL | https://www.nber.org/papers/w20518 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578192 |
| 推荐引用方式 GB/T 7714 | John Fernald,Mark M. Spiegel,Eric T. Swanson. Monetary Policy Effectiveness in China: Evidence from a FAVAR Model. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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