Monetary shocks to macroeconomic variables in China using time-vary VAR model

Aviral Kumar Tiwari, Yifei Cai, Tsangyao Chang

Research output: Contribution to journalArticle

Abstract

This study is the first attempt to apply TVP-VAR model to analyse the effects of China’s monetary shocks on macroeconomic variables. 3D impulsive response functions indicate that monetary shocks did affect GDP, CPI and exchange rate over 1996Q1-2016Q4 either in short-run or long-run in China. Our study has important policy implications for the Chinese government conducting monetary policy to sustain its economic growth and maintain economic stability.

Original languageEnglish
JournalApplied Economics Letters
DOIs
Publication statusE-pub ahead of print - 14 Mar 2019

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