US monetary policy shocks and the Chinese economy: a GVAR approach
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2017
Authors
Bi, Y.
Anwar, S.
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Journal article
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Applied Economics Letters, 2017; 24(8):553-558
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Using a global vector auto regressive (GVAR) methodology, this article examines the impact of US monetary policy shocks on China’s major macroeconomic indicators. Our analysis reveals that a positive shock to the US money supply growth rate initially increases China’s inflation rate but after some time this effect completely disappears. This shock also raises China’s short-term interest rate and the Chinese currency appreciates against the US dollar. A positive shock to the US short-term interest rate increases China’s short-term interest rate but the real output growth and inflation rates decline and the Chinese currency appreciates.
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Copyright 2016 Informa UK Limited, trading as Taylor & Francis Group
Access Condition Notes: Postprint available after 1 April 2018