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.
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