Internal Change Points and External Transmissions

Abstract

The multiple change points estimation internally identifies the monetary expansion or monetary contraction, the monetary policy interchange, the currency reform breaks, and the routine operational transitions on the multivariate dimensions of the China government bond yields. The external monetary transmissions are separating into the blocks with the conventional monetary policy and zero lower bound period. The recursively identified VAR models are respectively capture the daily interest rate co-movements spreading from the global trends to the destination country in the short run restrictions, the weekly fluctuation transitions from the systematic risks and uncertainty in the financial markets in the medium run, and the monthly compounding interaction mechanism from stock market, government bond market and international monetary transmission in the long run.