We often hear statements like“the market raises expectations for central bank interest rate cuts,resulting in higher commodity prices”.Given the current situation,the People’s Bank of China might adopt a more accom...We often hear statements like“the market raises expectations for central bank interest rate cuts,resulting in higher commodity prices”.Given the current situation,the People’s Bank of China might adopt a more accommodative monetary policy to mitigate the impact of the China-U.S.trade friction.Will this further easing of the monetary environment lead to an increase in natural gas prices?展开更多
We employ the Multi-Scale Log-Periodic Power Law Singularity Confidence Indicator(MS-LPPLS-CI)approach to identify positive and negative bubbles in the short-,medium,and long-term for the Indian stock market,using wee...We employ the Multi-Scale Log-Periodic Power Law Singularity Confidence Indicator(MS-LPPLS-CI)approach to identify positive and negative bubbles in the short-,medium,and long-term for the Indian stock market,using weekly data from November 2003 to December 2020.We use a nonparametric causality-in-quantiles approach to analyze the predictive impact of monetary policy shocks on bubble indicators.We find,in general,strong evidence of predictability across the entire conditional distribution for the two monetary policy shock factors,with stronger impacts for negative bubbles.Our findings have critical implications for the Reserve Bank of India,academics,and investors.展开更多
Traditionally, organizations assume that compensation/pay and monetary benefits are what all employees need to work harder, be productive, or remain with the company. According to Abraham Maslow, within every person i...Traditionally, organizations assume that compensation/pay and monetary benefits are what all employees need to work harder, be productive, or remain with the company. According to Abraham Maslow, within every person is a hierarchy of five needs： physiological needs, safety needs, social needs, esteem needs, and self-actualization needs Organizations must be able to identify what employees desire to secure optimum performance and to meet the needs of both employees and employers. This research focuses on the generational gap and the significance of intrinsic and extrinsic rewards in the workforce. The purpose and objective of this research are to test the significance of monetary versus non-monetary rewards among the different generations in the organization. A self-designed questionnaire distributed to a multi-generational group of employees of selected organizations was used to collect the analyzed data. Sixty-five （65%） responses were obtained. Secondary data were used to elucidate the needs in this area of study. Because the workforce is predicted to become more diverse in terms of age, organizations will be unlikely to implement one set of rewards for the multiple generations. This is due to the differing expectations and requirements among the generations. However, the results indicate no significant difference in monetary versus non-monetary rewards among the different generations in the workforce.展开更多
Starting from the analysis on the effectiveness of China's monetary policy under WTO,this paper advocates that reforms of the operating system of domestic monetary policy and the foreign exchange regime should be ...Starting from the analysis on the effectiveness of China's monetary policy under WTO,this paper advocates that reforms of the operating system of domestic monetary policy and the foreign exchange regime should be carried out in a combined manner.It also touches upon the coordination of exchange rate and interest rate polices.To improve the effectiveness of China's monetary policy,it is necessary to shift from the fixed exchange rate regime to the managed floating foreign exchange regime,gradually strengthening the central bank's rational control over the foreign exchange market and its construction of China's monetary market.It is also of great significance to improve the sterilization operation to guard against the internal fluctuations of money supply.展开更多
I utilize a differentiable dynamical system á la Lotka-Voletrra and explain monetary and fiscal interaction in a supranational monetary union. The paper demonstrates an applied mathematical approach that provides...I utilize a differentiable dynamical system á la Lotka-Voletrra and explain monetary and fiscal interaction in a supranational monetary union. The paper demonstrates an applied mathematical approach that provides useful insights about the interaction mechanisms in theoretical economics in general and a monetary union in particular. I find that a common central bank is necessary but not sufficient to tackle the new interaction problems in a supranational monetary union, such as the free-riding behaviour of fiscal policies. Moreover, I show that supranational institutions, rules or laws are essential to mitigate violations of decentralized fiscal policies.展开更多
As two main tools of macroeconomic policies,coordination and conflict between fiscal and monetary policies have been paid considerable attention by researchers.Under a structural vector autoregressive model that incor...As two main tools of macroeconomic policies,coordination and conflict between fiscal and monetary policies have been paid considerable attention by researchers.Under a structural vector autoregressive model that incorporates fiscal and monetary policies,this paper analyzes the monetary policy response to fiscal shocks.Our study finds that during the occurrence of a fiscal shock,the growth rate of broad money supply M2 substantially increased,indicating the adoption of an expansionary monetary policy by the monetary authority to fiscal policy expansion.Based on this empirical finding,this paper improves the dynamic stochastic general equilibrium model to investigate the fiscal policy effects under China’s monetary policy coordination.Our analysis shows that monetary policy coordination will significantly boost the economic stimulus effect of fiscal policy,generating a fiscal crowding-in effect.From the perspective of China’s institutional strength,this conclusion offers a theoretical explanation on the empirical fact of the fiscal crowdingin effect uncovered in the research literature,and offers a policy reference for making the proactive fiscal policy more efficient and effective.This paper suggests that China’s policymakers give full play to the country’s institutional strength by coordinating fiscal and monetary policies for high-quality economic development.展开更多
This paper highlights the importance of monetary policy transmission mechanism in Thailand since the 1997 financial crisis and then undertakes an empirical investigation of Thailand monetary policy. This study makes e...This paper highlights the importance of monetary policy transmission mechanism in Thailand since the 1997 financial crisis and then undertakes an empirical investigation of Thailand monetary policy. This study makes effort to address both two aspects of monetary transmission mechanism, namely channels of monetary policy and the effect of monetary policy shocks on key macroeconomic variables. To address these issues, the paper specifies structural vector autoregressive （SVAR） models and estimates them using quarterly data from 1997q3 to 2014q4. The identification schemes used in this paper follow Kim and Roubini and Raghavan, Silvapulle, and Athanasopoulos with some modifications. The overall result is that the identifying restrictions used in the SVAR seem to appropriately identify a monetary policy shock even though the exchange rate puzzle is found. The results show that interest rate and monetary aggregate have played the dominant channels of monetary transmission mechanism in Thailand, while an exchange rate channel is decreasingly significant. In addition, Thailand economy is somewhat exposed to the foreign sector especially for the world price of oil and the U.S. monetary policy. The results also reveal the linkage and influence of U.S. monetary policy on Thailand monetary policy. The empirical findings are then used to provide Bank of Thailand （BOT） with insight into identifying the important monetary policy transmission channels. It would help the BOT to implement an effective monetary policy for achieving price stability through the appropriate monetary channels.展开更多
The Quantity Theory of Money and the Theory of Credit Creation have been the major streams in the study of the quantity of money.Nowadays,monetary theory is dominated by the Quantity Theory of Money because the Moneta...The Quantity Theory of Money and the Theory of Credit Creation have been the major streams in the study of the quantity of money.Nowadays,monetary theory is dominated by the Quantity Theory of Money because the Monetarist School and the Rational Expectation School are both the advocates of the Quantity Theory of Money,which has resulted in a sharp decrease of scholars studying the Theory of Credit Creation.Nevertheless,the two theories will ultimately converge.Given that reason,we propose a new theory-Dynamic Quantity Theory of Money in this paper,by which the unification of the Quantity Theory of Money and the Theory of Credit Creation can be achieved.Based on the Dynamic Quantity Theory of Money,we further put forward the Theory of Money Operation Cycle,the Theory of Monetary Compensation and Theory of Investment Compensation targeting economic crises,expound why Quantitative Easing monetary policy fails and why Quantitative Easing does not cause inflation in the short term under the premise of these theories,and demonstrate the necessity of fiscal investment for rescuing economic crisis from the perspective of theories of money.展开更多
Using system clustering method to group China's provinces into 3 new groups according to their housing prices, then establishing a state-space model and applying the Kalman filter calculation, we made a comparativ...Using system clustering method to group China's provinces into 3 new groups according to their housing prices, then establishing a state-space model and applying the Kalman filter calculation, we made a comparative analysis of the influences of different types of monetary policy instruments towards different regional housing prices. The empirical results show that both the quantitative instruments represented by M2 and the pricing instruments represented by real interest rate have increasing influences on different regional housing prices,but the former influence is much stronger than the latter. The influential differences of quantitative instruments to regional housing prices are much greater. It means the higher the regional housing price is, the greater the influence is. Therefore, the central bank shall optimize the combination of monetary policy instruments according to the above characteristics of different types of monetary policy instruments in order to acquire the regulatory target of real estate market.展开更多
This study investigates the international spillover effects of US unconventional monetary policy(UMP)-frequently called large-scale asset purchases or quantitative easing(QE)—on advanced and emerging market economies...This study investigates the international spillover effects of US unconventional monetary policy(UMP)-frequently called large-scale asset purchases or quantitative easing(QE)—on advanced and emerging market economies,using structural vector autoregressive models with high-frequency daily data.Blinder(Federal Reserve Bank of St.Louis Rev 92(6):465–479,2010)argued that the QE measures primarily aim to reduce US interest rate spreads,such as term and risk premiums.Considering this argument and recent empirical evidence,we use two spreads as indicators of US UMP:the mortgage and term spreads.Based on data from 20 emerging and 20 advanced countries,our empirical findings reveal that US unconventional monetary policies significantly affect financial conditions in emerging and advanced countries by altering the risktaking behavior of investors.This result suggests that the risk-taking channel plays an important role in transmitting the effects of these policies to the rest of the world.The extent of these effects depends on the type of QE measures.QE measures such as purchases of private sector securities that lower the US mortgage spread exert stronger and more significant spillover effects on international financial markets than those that reduce the US term spread.Furthermore,the estimated financial spillovers vary substantially across countries and between and within the emerging and advanced countries that we examine in this study.展开更多
The study empirically assesses how macroprudential policy interacts with systemic risk,industrial production,and monetary intervention on a global level from January 2006 to December 2018.We adopt the aggregate proxie...The study empirically assesses how macroprudential policy interacts with systemic risk,industrial production,and monetary intervention on a global level from January 2006 to December 2018.We adopt the aggregate proxies of these variables,capturing their global effects,and use a novel econometric technique,namely,smooth local projections.The study finds that global macroprudential policy leads the monetary policy,exhibiting a countercyclical pattern concerning industrial production.The latter has an inverse bidirectional linkage with systemic risk.Thus,an ex-ante tight macroprudential policy can indirectly mitigate global systemic risk through its pro-growth effect on industrial production,although no convincing evidence exists for the direct impact of a macroprudential intervention on systemic risk.The study results endure several extensions and a robustness check,which builds on alternative measures of global systemic stress and real economic activity,thereby legitimizing the increased importance attached to the macroprudential policy since the 2007–2009 global financial crisis.展开更多
Empirical research has shown that there were international spillover effects from the U.S. monetary policy to output level, net exports and price levels of each country, and the impact on prices in each country was of...Empirical research has shown that there were international spillover effects from the U.S. monetary policy to output level, net exports and price levels of each country, and the impact on prices in each country was of synchronous effect. The structural impulse response analysis showed that U.S. monetary policy could improve U.S. income and payment without damaging U.S. economic growth, but the shocks negatively affected the economic growth in the rest of the world. Hence, it's important to pay close attention to the moral risks of U.S. monetary policy to evade the global shocks caused by the "benefit-itself-at-the-expense-of-others" polices of the American government. Besides these findings, U.S. monetary policy shocks strongly affect China's trade surplus fluctuations. Based on this, we propose that the approaches of balancing China's current account could be explored efficiently from the perspective of monetary policy.展开更多
This works examine the responses of housing prices to the monetary policies in various Chinese cities. Thirty-five large and medium sized Chinese cities are classified into six clusters applying the minimum variance c...This works examine the responses of housing prices to the monetary policies in various Chinese cities. Thirty-five large and medium sized Chinese cities are classified into six clusters applying the minimum variance clustering method according to the calculated correlation coefficients between the housing price indices of every two cities.Time difference correlation analysis is then employed to quantify the relations between the housing price indices of the six clusters and the monetary policies.It is suggested that the housing prices of various cities evolved at different paces and their responses to the monetary policies are heterogeneous,and local economic features are more important than geographic distances in determining the housing price trends.展开更多
In the framework of an overlapping generations model, forward-looking monetary policy roles and backward-looking monetary policy rules were investigated. It is shown that the monetary steady state is more likely to be...In the framework of an overlapping generations model, forward-looking monetary policy roles and backward-looking monetary policy rules were investigated. It is shown that the monetary steady state is more likely to be indeterminate under an active forwardlooking rule than under the corresponding backward-looking rule. It is also shown that backward-looking roles can render the monetary steady state unstable.展开更多
We construct recurrence plots(RPs)and conduct recurrence quantification analysis(RQA)to investigate the dynamic properties of the new Center for Financial Stability(CFS)Divisia monetary aggregates for the United State...We construct recurrence plots(RPs)and conduct recurrence quantification analysis(RQA)to investigate the dynamic properties of the new Center for Financial Stability(CFS)Divisia monetary aggregates for the United States.In this study,we use the lat-est vintage of Divisia aggregates,maintained within CFS.We use monthly data,from January 1967 to December 2020,which is a sample period that includes the extreme economic events of the 2007–2009 global financial crisis.We then make comparisons between narrow and broad Divisia money measures and find evidence of a nonlinear but reserved possible chaotic explanation of their origin.The application of RPs to broad Divisia monetary aggregates encompasses an additional drift structure around the global financial crisis in 2008.Applying the moving window RQA to the growth rates of narrow and broad Divisia monetary aggregates,we identify periods of changes in data-generating processes and associate such changes to monetary policy regimes and financial innovations that occurred during those times.展开更多
In this paper, a time_varying AR model is constructed by using the vector_space algorithm of compactly_supported biorthonormal wavelet transform. It is developed for forecasting narrow monetary multipliers in China .
This study examines the exchange rate pass-through to the United States(US)restaurant and hotel prices by incorporating the effect of monetary policy uncertainty over the period 2001:M12 to 2019:M01.Using the nonlinea...This study examines the exchange rate pass-through to the United States(US)restaurant and hotel prices by incorporating the effect of monetary policy uncertainty over the period 2001:M12 to 2019:M01.Using the nonlinear autoregressive distributed lag(NARDL)model,empirical evidence indicates asymmetric pass-through of exchange rate and monetary policy uncertainty.Moreover,a stronger pass-through effect is observed during depreciation and a negative shock in monetary policy uncertainty,corroborating asymmetric pass-through predictions.Our results further show that a positive shock in energy prices leads to an increase in restaurant and hotel prices.Furthermore,asymmetric causality indicates that a positive shock in the exchange rate causes a positive shock to restaurant and hotel prices.We found feedback causal effects between positive and negative shocks in monetary policy uncertainty and positive and negative shocks in the exchange rate.Additionally,we detected a one-way asymmetric causality,flowing from a positive(negative)shock to a positive(negative)shock in energy prices.Therefore,these findings provide insights for policymakers to achieve low and stable prices in the US restaurant and hotel industry through sound monetary policy formulations.Highlights.The drivers of restaurant and hotel business in tourism destinations are examined.There is asymmetric pass-through of exchange rate and monetary policy uncertainty.A stronger pass-through is observed during appreciation and a negative shock to monetary policy uncertainty.There is asymmetric causality from positive shock in exchange rate to postive shock in restaurant and hotel prices.展开更多
This study develops a structural vector autoregression(SVAR)framework to empirically examine the reciprocal transmission channels of monetary policies between China and the United States.The primary objective is to di...This study develops a structural vector autoregression(SVAR)framework to empirically examine the reciprocal transmission channels of monetary policies between China and the United States.The primary objective is to discern potential disparities in the spillover effects of monetary policies and ascertain any contrasting mechanisms underlying these effects across the two countries.Based on our research,it appears that there exists a certain level of non-symmetry in the spillover effects of monetary policy between the two countries.Moreover,this paper provides adequate analysis of disparities in the trade framework,capital control,and financial market operations of both countries in constructing a dynamic stochastic general equilibrium(DSGE)model that incorporates financial frictions for the examination of the theoretical rationale.The empirical findings indicate that China’s monetary policy creates a spillover effect primarily through trade.In China,following an increase in its interest rates,the domestic economic activity will experience a contraction,leading to a decline in both investment and output.Consequently,this will result in a decrease in China’s imports of investment goods from the United States,impacting the output of the US economy.In contrast,the US monetary policy exerts a spillover effect primarily through finance.An increase in interest rates by the United States is associated with a notable outflow of capital from China.This leads to a rise in the financing costs for Chinese firms,consequently diminishing their overall net worth.In light of the financial accelerator effect,corporate external financing risk premium will continue to increase,exacerbating the downward trajectory of China’s output.展开更多
文摘We often hear statements like“the market raises expectations for central bank interest rate cuts,resulting in higher commodity prices”.Given the current situation,the People’s Bank of China might adopt a more accommodative monetary policy to mitigate the impact of the China-U.S.trade friction.Will this further easing of the monetary environment lead to an increase in natural gas prices?
文摘We employ the Multi-Scale Log-Periodic Power Law Singularity Confidence Indicator(MS-LPPLS-CI)approach to identify positive and negative bubbles in the short-,medium,and long-term for the Indian stock market,using weekly data from November 2003 to December 2020.We use a nonparametric causality-in-quantiles approach to analyze the predictive impact of monetary policy shocks on bubble indicators.We find,in general,strong evidence of predictability across the entire conditional distribution for the two monetary policy shock factors,with stronger impacts for negative bubbles.Our findings have critical implications for the Reserve Bank of India,academics,and investors.
文摘Traditionally, organizations assume that compensation/pay and monetary benefits are what all employees need to work harder, be productive, or remain with the company. According to Abraham Maslow, within every person is a hierarchy of five needs： physiological needs, safety needs, social needs, esteem needs, and self-actualization needs Organizations must be able to identify what employees desire to secure optimum performance and to meet the needs of both employees and employers. This research focuses on the generational gap and the significance of intrinsic and extrinsic rewards in the workforce. The purpose and objective of this research are to test the significance of monetary versus non-monetary rewards among the different generations in the organization. A self-designed questionnaire distributed to a multi-generational group of employees of selected organizations was used to collect the analyzed data. Sixty-five （65%） responses were obtained. Secondary data were used to elucidate the needs in this area of study. Because the workforce is predicted to become more diverse in terms of age, organizations will be unlikely to implement one set of rewards for the multiple generations. This is due to the differing expectations and requirements among the generations. However, the results indicate no significant difference in monetary versus non-monetary rewards among the different generations in the workforce.
文摘Starting from the analysis on the effectiveness of China's monetary policy under WTO,this paper advocates that reforms of the operating system of domestic monetary policy and the foreign exchange regime should be carried out in a combined manner.It also touches upon the coordination of exchange rate and interest rate polices.To improve the effectiveness of China's monetary policy,it is necessary to shift from the fixed exchange rate regime to the managed floating foreign exchange regime,gradually strengthening the central bank's rational control over the foreign exchange market and its construction of China's monetary market.It is also of great significance to improve the sterilization operation to guard against the internal fluctuations of money supply.
文摘I utilize a differentiable dynamical system á la Lotka-Voletrra and explain monetary and fiscal interaction in a supranational monetary union. The paper demonstrates an applied mathematical approach that provides useful insights about the interaction mechanisms in theoretical economics in general and a monetary union in particular. I find that a common central bank is necessary but not sufficient to tackle the new interaction problems in a supranational monetary union, such as the free-riding behaviour of fiscal policies. Moreover, I show that supranational institutions, rules or laws are essential to mitigate violations of decentralized fiscal policies.
基金a result of the Major Project of the National Social Science Fund of China (NSSFC)“Study on Monetary Policy and Fiscal Policy Coordination under the Dual Economic Circulations”(Grant No.20&ZD104)
文摘As two main tools of macroeconomic policies,coordination and conflict between fiscal and monetary policies have been paid considerable attention by researchers.Under a structural vector autoregressive model that incorporates fiscal and monetary policies,this paper analyzes the monetary policy response to fiscal shocks.Our study finds that during the occurrence of a fiscal shock,the growth rate of broad money supply M2 substantially increased,indicating the adoption of an expansionary monetary policy by the monetary authority to fiscal policy expansion.Based on this empirical finding,this paper improves the dynamic stochastic general equilibrium model to investigate the fiscal policy effects under China’s monetary policy coordination.Our analysis shows that monetary policy coordination will significantly boost the economic stimulus effect of fiscal policy,generating a fiscal crowding-in effect.From the perspective of China’s institutional strength,this conclusion offers a theoretical explanation on the empirical fact of the fiscal crowdingin effect uncovered in the research literature,and offers a policy reference for making the proactive fiscal policy more efficient and effective.This paper suggests that China’s policymakers give full play to the country’s institutional strength by coordinating fiscal and monetary policies for high-quality economic development.
文摘This paper highlights the importance of monetary policy transmission mechanism in Thailand since the 1997 financial crisis and then undertakes an empirical investigation of Thailand monetary policy. This study makes effort to address both two aspects of monetary transmission mechanism, namely channels of monetary policy and the effect of monetary policy shocks on key macroeconomic variables. To address these issues, the paper specifies structural vector autoregressive （SVAR） models and estimates them using quarterly data from 1997q3 to 2014q4. The identification schemes used in this paper follow Kim and Roubini and Raghavan, Silvapulle, and Athanasopoulos with some modifications. The overall result is that the identifying restrictions used in the SVAR seem to appropriately identify a monetary policy shock even though the exchange rate puzzle is found. The results show that interest rate and monetary aggregate have played the dominant channels of monetary transmission mechanism in Thailand, while an exchange rate channel is decreasingly significant. In addition, Thailand economy is somewhat exposed to the foreign sector especially for the world price of oil and the U.S. monetary policy. The results also reveal the linkage and influence of U.S. monetary policy on Thailand monetary policy. The empirical findings are then used to provide Bank of Thailand （BOT） with insight into identifying the important monetary policy transmission channels. It would help the BOT to implement an effective monetary policy for achieving price stability through the appropriate monetary channels.
文摘The Quantity Theory of Money and the Theory of Credit Creation have been the major streams in the study of the quantity of money.Nowadays,monetary theory is dominated by the Quantity Theory of Money because the Monetarist School and the Rational Expectation School are both the advocates of the Quantity Theory of Money,which has resulted in a sharp decrease of scholars studying the Theory of Credit Creation.Nevertheless,the two theories will ultimately converge.Given that reason,we propose a new theory-Dynamic Quantity Theory of Money in this paper,by which the unification of the Quantity Theory of Money and the Theory of Credit Creation can be achieved.Based on the Dynamic Quantity Theory of Money,we further put forward the Theory of Money Operation Cycle,the Theory of Monetary Compensation and Theory of Investment Compensation targeting economic crises,expound why Quantitative Easing monetary policy fails and why Quantitative Easing does not cause inflation in the short term under the premise of these theories,and demonstrate the necessity of fiscal investment for rescuing economic crisis from the perspective of theories of money.
基金the Humanity and Social Science on Youth Foundation of Ministry of Education of China(No.14YJC790152)the Foundation of Shanghai Municipal Education Commission(No.2016-SHNGE-03-ZD)the China Postdoctoral Science Foundation(No.2013M531157)
文摘Using system clustering method to group China's provinces into 3 new groups according to their housing prices, then establishing a state-space model and applying the Kalman filter calculation, we made a comparative analysis of the influences of different types of monetary policy instruments towards different regional housing prices. The empirical results show that both the quantitative instruments represented by M2 and the pricing instruments represented by real interest rate have increasing influences on different regional housing prices,but the former influence is much stronger than the latter. The influential differences of quantitative instruments to regional housing prices are much greater. It means the higher the regional housing price is, the greater the influence is. Therefore, the central bank shall optimize the combination of monetary policy instruments according to the above characteristics of different types of monetary policy instruments in order to acquire the regulatory target of real estate market.
基金Funding was provided by Anadolu University Scientific Research Project Commission(Grant number:1605E282).
文摘This study investigates the international spillover effects of US unconventional monetary policy(UMP)-frequently called large-scale asset purchases or quantitative easing(QE)—on advanced and emerging market economies,using structural vector autoregressive models with high-frequency daily data.Blinder(Federal Reserve Bank of St.Louis Rev 92(6):465–479,2010)argued that the QE measures primarily aim to reduce US interest rate spreads,such as term and risk premiums.Considering this argument and recent empirical evidence,we use two spreads as indicators of US UMP:the mortgage and term spreads.Based on data from 20 emerging and 20 advanced countries,our empirical findings reveal that US unconventional monetary policies significantly affect financial conditions in emerging and advanced countries by altering the risktaking behavior of investors.This result suggests that the risk-taking channel plays an important role in transmitting the effects of these policies to the rest of the world.The extent of these effects depends on the type of QE measures.QE measures such as purchases of private sector securities that lower the US mortgage spread exert stronger and more significant spillover effects on international financial markets than those that reduce the US term spread.Furthermore,the estimated financial spillovers vary substantially across countries and between and within the emerging and advanced countries that we examine in this study.
文摘The study empirically assesses how macroprudential policy interacts with systemic risk,industrial production,and monetary intervention on a global level from January 2006 to December 2018.We adopt the aggregate proxies of these variables,capturing their global effects,and use a novel econometric technique,namely,smooth local projections.The study finds that global macroprudential policy leads the monetary policy,exhibiting a countercyclical pattern concerning industrial production.The latter has an inverse bidirectional linkage with systemic risk.Thus,an ex-ante tight macroprudential policy can indirectly mitigate global systemic risk through its pro-growth effect on industrial production,although no convincing evidence exists for the direct impact of a macroprudential intervention on systemic risk.The study results endure several extensions and a robustness check,which builds on alternative measures of global systemic stress and real economic activity,thereby legitimizing the increased importance attached to the macroprudential policy since the 2007–2009 global financial crisis.
文摘Empirical research has shown that there were international spillover effects from the U.S. monetary policy to output level, net exports and price levels of each country, and the impact on prices in each country was of synchronous effect. The structural impulse response analysis showed that U.S. monetary policy could improve U.S. income and payment without damaging U.S. economic growth, but the shocks negatively affected the economic growth in the rest of the world. Hence, it's important to pay close attention to the moral risks of U.S. monetary policy to evade the global shocks caused by the "benefit-itself-at-the-expense-of-others" polices of the American government. Besides these findings, U.S. monetary policy shocks strongly affect China's trade surplus fluctuations. Based on this, we propose that the approaches of balancing China's current account could be explored efficiently from the perspective of monetary policy.
基金Supported by the Hundred Talent Program of the Chinese Academy of Sciences,the National Natural Science Foundation of China under Grant Nos.71103179 and 71102129Program for Young Innovative Research Team in China University of Political Science and Law, 2010 Fund Project under the Ministry of Education of China for Youth Who are Devoted to Humanities and Social Sciences Research 10YJC630425
文摘This works examine the responses of housing prices to the monetary policies in various Chinese cities. Thirty-five large and medium sized Chinese cities are classified into six clusters applying the minimum variance clustering method according to the calculated correlation coefficients between the housing price indices of every two cities.Time difference correlation analysis is then employed to quantify the relations between the housing price indices of the six clusters and the monetary policies.It is suggested that the housing prices of various cities evolved at different paces and their responses to the monetary policies are heterogeneous,and local economic features are more important than geographic distances in determining the housing price trends.
基金Project supported by National Natural Science Foundation of China （Grant No. 70071012）
文摘In the framework of an overlapping generations model, forward-looking monetary policy roles and backward-looking monetary policy rules were investigated. It is shown that the monetary steady state is more likely to be indeterminate under an active forwardlooking rule than under the corresponding backward-looking rule. It is also shown that backward-looking roles can render the monetary steady state unstable.
文摘We construct recurrence plots(RPs)and conduct recurrence quantification analysis(RQA)to investigate the dynamic properties of the new Center for Financial Stability(CFS)Divisia monetary aggregates for the United States.In this study,we use the lat-est vintage of Divisia aggregates,maintained within CFS.We use monthly data,from January 1967 to December 2020,which is a sample period that includes the extreme economic events of the 2007–2009 global financial crisis.We then make comparisons between narrow and broad Divisia money measures and find evidence of a nonlinear but reserved possible chaotic explanation of their origin.The application of RPs to broad Divisia monetary aggregates encompasses an additional drift structure around the global financial crisis in 2008.Applying the moving window RQA to the growth rates of narrow and broad Divisia monetary aggregates,we identify periods of changes in data-generating processes and associate such changes to monetary policy regimes and financial innovations that occurred during those times.
文摘In this paper, a time_varying AR model is constructed by using the vector_space algorithm of compactly_supported biorthonormal wavelet transform. It is developed for forecasting narrow monetary multipliers in China .
文摘This study examines the exchange rate pass-through to the United States(US)restaurant and hotel prices by incorporating the effect of monetary policy uncertainty over the period 2001:M12 to 2019:M01.Using the nonlinear autoregressive distributed lag(NARDL)model,empirical evidence indicates asymmetric pass-through of exchange rate and monetary policy uncertainty.Moreover,a stronger pass-through effect is observed during depreciation and a negative shock in monetary policy uncertainty,corroborating asymmetric pass-through predictions.Our results further show that a positive shock in energy prices leads to an increase in restaurant and hotel prices.Furthermore,asymmetric causality indicates that a positive shock in the exchange rate causes a positive shock to restaurant and hotel prices.We found feedback causal effects between positive and negative shocks in monetary policy uncertainty and positive and negative shocks in the exchange rate.Additionally,we detected a one-way asymmetric causality,flowing from a positive(negative)shock to a positive(negative)shock in energy prices.Therefore,these findings provide insights for policymakers to achieve low and stable prices in the US restaurant and hotel industry through sound monetary policy formulations.Highlights.The drivers of restaurant and hotel business in tourism destinations are examined.There is asymmetric pass-through of exchange rate and monetary policy uncertainty.A stronger pass-through is observed during appreciation and a negative shock to monetary policy uncertainty.There is asymmetric causality from positive shock in exchange rate to postive shock in restaurant and hotel prices.
文摘This study develops a structural vector autoregression(SVAR)framework to empirically examine the reciprocal transmission channels of monetary policies between China and the United States.The primary objective is to discern potential disparities in the spillover effects of monetary policies and ascertain any contrasting mechanisms underlying these effects across the two countries.Based on our research,it appears that there exists a certain level of non-symmetry in the spillover effects of monetary policy between the two countries.Moreover,this paper provides adequate analysis of disparities in the trade framework,capital control,and financial market operations of both countries in constructing a dynamic stochastic general equilibrium(DSGE)model that incorporates financial frictions for the examination of the theoretical rationale.The empirical findings indicate that China’s monetary policy creates a spillover effect primarily through trade.In China,following an increase in its interest rates,the domestic economic activity will experience a contraction,leading to a decline in both investment and output.Consequently,this will result in a decrease in China’s imports of investment goods from the United States,impacting the output of the US economy.In contrast,the US monetary policy exerts a spillover effect primarily through finance.An increase in interest rates by the United States is associated with a notable outflow of capital from China.This leads to a rise in the financing costs for Chinese firms,consequently diminishing their overall net worth.In light of the financial accelerator effect,corporate external financing risk premium will continue to increase,exacerbating the downward trajectory of China’s output.
