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

Aviral Kumar Tiwari; Yifei Cai; Tsangyao Chang

doi:10.1080/13504851.2019.1591589

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

Aviral Kumar Tiwari, Yifei Cai, Tsangyao Chang

TUIBS Finance, Performance & Marketing

Research output: Contribution to journal › Article › peer-review

3 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 language	English
Pages (from-to)	1664-1669
Number of pages	6
Journal	Applied Economics Letters
Volume	26
Issue number	20
DOIs	https://doi.org/10.1080/13504851.2019.1591589
Publication status	Published - 28 Nov 2019

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© 2019, © 2019 Informa UK Limited, trading as Taylor & Francis Group.

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

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