Transmission Effects of the U S and China Monetary Policy Shocks on the World.
學年 107
學期 2
出版（發表）日期 2019-04-27
作品名稱 Transmission Effects of the U S and China Monetary Policy Shocks on the World.
作品名稱（其他語言）
著者 Shu-Mei Chiang, Hung-Chun Liu, Chien-Ming Huang, Hsin-Fu Chen
單位
出版者
著錄名稱、卷期、頁數 Applied Economics 51(46), p.5063-5075
摘要 This paper applies the Markov-switching model to analyse the transition probabilities and generalized method of moments (GMM) with Newey–West heteroscedasticity and autocorrelation consistent covariance estimators (HAC) to examine the continuity of monetary policies in different countries when the U.S. and China change their monetary policies. Our results indicate that the euro area’s monetary authority continues to increase/decrease their money supply to stimulate/depress the economy. In Japan, long-term economic recession motivated the Japanese government to maintain a loose money supply. The continuity of Korea’s monetary policy in expansionary states lasts up to 5.1 years. Besides, the outcomes show the implementation of U.S. quantitative easing (QE), overnight reverse repurchase agreement (RRP), and Chinese RRP policies have significant spillover effects on other nations. Particularly, the effects on the euro area are the largest. Furthermore, although the monetary policies of China and the euro area seem to move in opposite directions, they are interdependent.
關鍵字 Markov;switching model;GMM estimation;quantitative easing;reverse repurchase agreement
語言 en_US
ISSN
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者
審稿制度 是
國別 USA
公開徵稿
出版型式 ,電子版
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