Transmission Effect of the U.S. and China’s Monetary Policy Changes on the World

doi:10.1080/00036846.2019.1610707

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/116963

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题名:	Transmission Effect of the U.S. and China’s Monetary Policy Changes on the World
作者:	Chiang, S.M.' Liu, H.C.;Huang, Chien-Ming
关键词:	Markov;switching model;GMM estimation;quantitative easing;reverse repurchase agreement
日期:	2019-04-27
上传时间:	2019-09-11 12:10:43 (UTC+8)
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.
關聯:	Applied Economics 51(46), p.5063-5075
DOI:	10.1080/00036846.2019.1610707
显示于类别:	[財務金融學系暨研究所] 期刊論文

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