The Impact of Unconventional Monetary Policy on China’s Economic and Financial Cycle: Application of a Structural Vector Autoregression Model Based on High-Frequency Data

Autor: Zhenzhong Fan, Xing Chen
Jazyk: angličtina
Rok vydání: 2024
Předmět:
Zdroj: Mathematics, Vol 12, Iss 13, p 1967 (2024)
Druh dokumentu: article
ISSN: 2227-7390
DOI: 10.3390/math12131967
Popis: With the occurrence of the global financial crisis in 2008, the U.S. unconventional monetary policy affected the Chinese market. Based on a monthly data sample from 2008M1 to 2015M12, in this paper we identify U.S. and Chinese monetary policy shocks by using a structural vector autoregression (SVAR) model with multi-external instrumental variables along with principal component analysis (PCA) combined with high-frequency financial market data. The empirical results show that the unconventional monetary policies had a negative effect on China’s inflation and output due to the signal effect, and China’s stock and commodity markets increased in the short term. During the same period, China’s monetary policy had a greater impact on the domestic economy and financial markets. The conclusion of this paper provides a significant reference for relevant departments to make decisions amidst the new wave of unconventional U.S. monetary policies due to the COVID-19 pandemic.
Databáze: Directory of Open Access Journals
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