Pang, Iris Ai Jao (2010): Comparisons of different monetary policies in China with yield curve information.
Download (1MB) | Preview
This work compares the effectiveness of quantity-based and price-based monetary policies in China using FAVAR. This essay is the pioneer to identify the 1-year lending rate and deposit rate as the policy rates, and includes yield curve information in the analysis. It is found that effects of tightening monetary policies in China follow largely the stylized facts of long run neutrality of money on real activities, a long term fall in inflation and a short term rise in interest rates.
|Item Type:||MPRA Paper|
|Original Title:||Comparisons of different monetary policies in China with yield curve information|
|English Title:||Comparisons of Different Monetary Policies in China with Yield Curve Information|
|Keywords:||China; Monetary Policy; Factor Model; Factor Augmented VAR; FAVAR|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy
E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook > E61 - Policy Objectives ; Policy Designs and Consistency ; Policy Coordination
|Depositing User:||Iris A.J. Pang|
|Date Deposited:||30. Jul 2011 16:55|
|Last Modified:||12. Feb 2013 22:53|
Bernanke, B. and Mihov, I. (1998). The liquidity effect and long-run neutrality National Bureau of Economic Research Working Paper, 6608.
Bernanke, B., Boivin, J. and Eliasz, P. (2005). “Measuring the Effects of Monetary Policy: A Factor-augmented Vector Autoregressive (FAVAR) Approach,” The Quarterly Journal of Economics, 120:1, 387-422, January.
Dickinson, D. and Liu, J. (2007). “The Real Effect of Monetary Policy in China: An Empirical Analysis,” China Economic Review, 18, 87-111.
Diebold, F., and Li, C. (2006). "Forecasting the Term Structure of Government Bond Yields," Journal of Econometrics 130, 337-364.
Feyzioglu, T., Porter, N. and Takats, E. (2009). “Interest Rate Liberalization in China,” IMF Working Paper, WP/09/171
Geiger, M. (2006) “Monetary Policy in China (1994-2004): Targets, Instruments, and their Effectiveness,” Universitäte Würzburg, Würzburg Economic Papers No. 68.
Geiger, M. (2008) “Instruments of Monetary Policy in China and Their Effectivness: 1994-2006,” United Nations Conference of Trade and Development Discussion Paper No. 187.
Girardin E. and Liu Y. (2006). “The Effects of Monetary Policy in China since 1997,” EC2 Conference, Rotterdam, December.
Koivu, T., Mehrotra, A. and Nuutilainen, A. (2008). “McCullum Rule and Chinese Monetary Policy,” BOFIT Discussion Paper 15/2008.
Laurens, B. and Maino, R. (2007). “China: Strengthening Monetary Policy Implementation,” IMF Working Paper, WP/07/14.
People’s Bank of China, (1998-2009). China Monetary Policy Report, Quarter 4.
People’s Bank of China (2004a). “Highlights of China’s Monetary Policy in the First Quarter of 2004.” Available at www.pbc.gov.cn/english/xinwen/
People’s Bank of China (2004b). “PBC Decided to Float Central Bank Lending Rate.” Available at www.pbc.gov.cn/english/xinwen/.
People’s Bank of China, (2005), “Report on Steady Progress in Market-Based Interest Rate Reform,” Supplement to the China Monetary Policy Report, January
Porter, N. and Xu, T. (2009) “What Drives China’s Interbank Market,” IMF Working Paper, WP/09/189.
Qin, D., Quising P., He, X. and Liu S. (2005). “Modeling Monetary Transmission and Policy in China,” Journal of Policy Modeling, 27, 157-175.
Stock, J. and Watson, M. (2002) “Macroeconomic Forecasting Using Diffusion Indexes”, Journal of Business Economics and Statistics, 20:2, 147-162.