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

Aviral Kumar Tiwari, Yifei Cai, Tsangyao Chang

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)

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
Pages (from-to)1664-1669
Number of pages6
JournalApplied Economics Letters
Volume26
Issue number20
Early online date14 Mar 2019
DOIs
Publication statusPublished - 28 Nov 2019

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