Time-varying transmission efficiency of China's monetary policy. Issue 1 (2nd January 2019)

• Record Type: Journal Article
• Authors: Ge, Tingting
• Is Part Of: China economic journal. Volume 12:Issue 1(2019)
• Page Start: 32
• Page End: 51
• Publication Date: 2019-01-02
• Subjects: Interest rate -- money supply -- time-varying transmission efficiency; open-economy; E17 -- E52 -- E58; Economic development -- China -- Periodicals; China -- Economic conditions -- Periodicals; China -- Economic policy -- Periodicals; 338.900951
• DOI: 10.1080/17538963.2018.1556421
• Languages: English
• ISSNs: 1753-8963

Abstract

ABSTRACT: This paper tries to investigate the time-varying characteristics of China's monetary policy transmission from the impulse response evidence of both open-economy DSGE model and TVP-VAR model. We find that the transmission efficiency of price-based monetary policy has significantly improved over the sample period, while quantity-based monetary policy is weakening. The resume of exchange reform in 2010 also strengthens the exchange rate channel especially in terms of price-based monetary policy. Combining with the evidence from DSGE model underlines the importance of further interest rate liberalization and price-based monetary policy Taylor rule should also consider the exchange rate stability.