教師資料查詢 | 類別: 期刊論文 | 教師: 黃健銘 HUANG, CHIEN-MING (瀏覽個人網頁)

標題:Transmission Effect of the U.S. and China’s Monetary Policy Changes on the World
學年107
學期2
出版(發表)日期2019/04/27
作品名稱Transmission Effect of the U.S. and China’s Monetary Policy Changes on the World
作品名稱(其他語言)
著者Chiang, S.M.' Liu, H.C.; Huang, Chien-Ming
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
語言英文(美國)
ISSN
期刊性質國外
收錄於SSCI;
產學合作
通訊作者
審稿制度
國別美國
公開徵稿
出版型式,電子版
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