Examining Monetary Policy Transmission in the People's Republic of China–Structural Change Models with a Monetary Policy Index

This paper estimates augmented versions of the Investment–Saving curve for the People's Republic of China in an attempt to examine the relationship between monetary policy and the real economy. It endeavors to account for any structural break, nonlinearity, or asymmetry in the transmission proc...

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Autores principales:	Paul G. Egan, Anthony J. Leddin
Formato:	article
Lenguaje:	EN
Publicado:	World Scientific Publishing 2016
Materias:	IS curve Kalman filter monetary policy People’s Bank of China structural change Social sciences and state - Asia (Asian studies only) H53
Acceso en línea:	https://doaj.org/article/79c0e86c7e614657943908819a8b7ef5
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spelling	oai:doaj.org-article:79c0e86c7e614657943908819a8b7ef52021-12-02T12:20:35ZExamining Monetary Policy Transmission in the People's Republic of China–Structural Change Models with a Monetary Policy Index0116-11051996-724110.1162/ADEV_a_00062https://doaj.org/article/79c0e86c7e614657943908819a8b7ef52016-03-01T00:00:00Zhttps://www.mitpressjournals.org/doi/pdf/10.1162/ADEV_a_00062https://doaj.org/toc/0116-1105https://doaj.org/toc/1996-7241This paper estimates augmented versions of the Investment–Saving curve for the People's Republic of China in an attempt to examine the relationship between monetary policy and the real economy. It endeavors to account for any structural break, nonlinearity, or asymmetry in the transmission process by estimating a breakpoint model and a Markov switching model. The Investment–Saving curve equations are estimated using a Monetary Policy Index, which has been calculated using the Kalman filter. This index will account for the various monetary policy tools, both quantitative and qualitative, that the People's Bank of China has used over the period 1991–2014. The results of this paper suggest that monetary policy has an asymmetric affect depending on the level of output in relation to potential, and that the People's Republic of China's exchange rate policy has restricted the effectiveness of the People's Bank of China's monetary policy response.Paul G. EganAnthony J. LeddinWorld Scientific PublishingarticleIS curveKalman filtermonetary policyPeople’s Bank of Chinastructural changeSocial sciences and state - Asia (Asian studies only)H53ENAsian Development Review, Vol 33, Iss 1, Pp 74-110 (2016)
institution	DOAJ
collection	DOAJ
language	EN
topic	IS curve Kalman filter monetary policy People’s Bank of China structural change Social sciences and state - Asia (Asian studies only) H53
spellingShingle	IS curve Kalman filter monetary policy People’s Bank of China structural change Social sciences and state - Asia (Asian studies only) H53 Paul G. Egan Anthony J. Leddin Examining Monetary Policy Transmission in the People's Republic of China–Structural Change Models with a Monetary Policy Index
description	This paper estimates augmented versions of the Investment–Saving curve for the People's Republic of China in an attempt to examine the relationship between monetary policy and the real economy. It endeavors to account for any structural break, nonlinearity, or asymmetry in the transmission process by estimating a breakpoint model and a Markov switching model. The Investment–Saving curve equations are estimated using a Monetary Policy Index, which has been calculated using the Kalman filter. This index will account for the various monetary policy tools, both quantitative and qualitative, that the People's Bank of China has used over the period 1991–2014. The results of this paper suggest that monetary policy has an asymmetric affect depending on the level of output in relation to potential, and that the People's Republic of China's exchange rate policy has restricted the effectiveness of the People's Bank of China's monetary policy response.
format	article
author	Paul G. Egan Anthony J. Leddin
author_facet	Paul G. Egan Anthony J. Leddin
author_sort	Paul G. Egan
title	Examining Monetary Policy Transmission in the People's Republic of China–Structural Change Models with a Monetary Policy Index
title_short	Examining Monetary Policy Transmission in the People's Republic of China–Structural Change Models with a Monetary Policy Index
title_full	Examining Monetary Policy Transmission in the People's Republic of China–Structural Change Models with a Monetary Policy Index
title_fullStr	Examining Monetary Policy Transmission in the People's Republic of China–Structural Change Models with a Monetary Policy Index
title_full_unstemmed	Examining Monetary Policy Transmission in the People's Republic of China–Structural Change Models with a Monetary Policy Index
title_sort	examining monetary policy transmission in the people's republic of china–structural change models with a monetary policy index
publisher	World Scientific Publishing
publishDate	2016
url	https://doaj.org/article/79c0e86c7e614657943908819a8b7ef5
work_keys_str_mv	AT paulgegan examiningmonetarypolicytransmissioninthepeoplesrepublicofchinastructuralchangemodelswithamonetarypolicyindex AT anthonyjleddin examiningmonetarypolicytransmissioninthepeoplesrepublicofchinastructuralchangemodelswithamonetarypolicyindex
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Examining Monetary Policy Transmission in the People's Republic of China–Structural Change Models with a Monetary Policy Index

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