Advanced search
Publication Cover
Applied Economics Letters Volume 26, 2019 - Issue 17
Submit an article Journal homepage
513
Views
4
CrossRef citations to date
0
Altmetric
Articles

The dynamic effectiveness of monetary policy in China: evidence from a TVP-SV-FAVAR model

Chengcheng LiuSchool of Statistics and Mathematics, Central University of Finance and Economics, Beijing, Haidian, ChinaView further author information
,
Peng SongSchool of Statistics and Mathematics, Central University of Finance and Economics, Beijing, Haidian, ChinaView further author information
&
Bai HuangSchool of Statistics and Mathematics, Central University of Finance and Economics, Beijing, Haidian, ChinaCorrespondence[email protected]
View further author information
Pages 1402-1410 | Published online: 09 Jan 2019

References

  • Ang, A., and M. Piazzesi. 2003. “A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables.” Journal of Monetary Economics 50: 745–787. doi:10.1016/S0304-3932(03)00032-1.
  • Belke, A., D. Gros, and T. Osowski. 2017. “The Effectiveness of the Feds Quantitative Easing Policy: New Evidence Based on International Interest Rate Differentials.” Journal of International Money and Finance 73: 335–349. doi:10.1016/j.jimonfin.2017.02.011.
  • Belke, A., and T. Osowski 2017. “International Effects of Euro Area Versus US Policy Uncertainty: A FAVAR Approach.” GLO Working Paper No. 35, Global Labor Organization.
  • Belke, A., and A. Rees. 2014. “Globalisation and Monetary Policy: A FAVAR Analysis for the G7 and the Eurozone.” The North American Journal of Economics and Finance 29: 306–321. doi:10.1016/j.najef.2014.06.003.
  • Bernanke, B. S., J. Boivin, and P. Eliasz. 2005. “Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach.” The Quarterly Journal of Economics 120: 387–422.
  • Dickinson, D., and J. Liu. 2007. “The Real Effects of Monetary Policy in China: An Empirical Analysis.” China Economic Review 18: 87–111. doi:10.1016/j.chieco.2005.11.002.
  • Fernald, J. G., M. M. Spiegel, and E. T. Swanson. 2014. “Monetary Policy Effectiveness in China: Evidence from a FAVAR Model.” Journal of International Money and Finance 49: 83–103. doi:10.1016/j.jimonfin.2014.05.007.
  • Geiger, M. 2006. “Monetary Policy in China (1994–2004): Targets, Instruments and Their Effectiveness.” WEP Working Paper No. 68, Würzburg Economic Papers.
  • Guo, Y., and W. Ma. 2016. “Time-Varying Coefficient Taylor Rule and Chinese Monetary Policy: Evidence from the Time-Varying Coefficient.” Journal of Economic Development 41: 27–44.
  • He, Q., P. Leung, and T. T. Chong. 2013. “Factor-Augmented VAR Analysis of the Monetary Policy in China.” China Economic Review 25: 88–104. doi:10.1016/j.chieco.2013.03.001.
  • Koop, G., R. Leon-Gonzalez, and R. W. Strachan. 2009. “On the Evolution of the Monetary Policy Transmission Mechanism.” Journal of Economic Dynamics and Control 33: 997–1017. doi:10.1016/j.jedc.2008.11.003.
  • Liao, W., and S. J. Tapsoba 2014. “Chinas Monetary Policy and Interest Rate Liberalization: Lessons From International Experiences, IMF Working Paper No. 75, International Monetary Fund. doi:10.5089/9781484366295.001
  • Primiceri, G. E. 2005. “Time Varying Structural Vector Autoregressions and Monetary Policy.” The Review of Economic Studies 72: 821–852. doi:10.1111/j.1467-937X.2005.00353.x.
  • Qin, D., P. Quising, X. He, and S. Liu. 2005. “Modeling Monetary Transmission and Policy in China.” Journal of Policy Modeling 27: 157–175. doi:10.1016/j.jpolmod.2004.12.005.
  • Yamamura, T. 2017 May. Evaluating FAVAR with Time-Varying Parameters and Stochastic Volatility. Queen Mary University of London.
  • Zhang, J. Q., T. T. Chen, F. Fan, and S. Wang. 2018. “Empirical Research on Time-Varying Characteristics and Efficiency of the Chinese Economy and Monetary Policy: Evidence from the MI-TVP-VAR Model.” Applied Economics 50: 3596–3613. doi:10.1080/00036846.2018.1430338.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.