The spillover effect of international monetary policy on China's financial market

IF 3.2 Q1 BUSINESS, FINANCE Quantitative Finance and Economics Pub Date : 2023-01-01 DOI:10.3934/qfe.2023026
Cunyi Yang, Li Chen, Bin Mo
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引用次数: 2

Abstract

This study analyzes the impact of global financial integration and monetary policies from the United States, European Union and Japan on China's financial markets post-pandemic. Using TVP-FAVAR (Time-Varying Parameter Factor Augmented Vector Autoregression) and TVP-VAR-DY (Time-Varying Parameter Vector Autoregression DY) models, a Chinese financial market stress index was developed, showing that developed nations' monetary policies influence China's financial stress. The impact varies based on the economy's size and policy effectiveness. The spillovers occur mainly through accelerated short-term capital flows and foreign exchange reserve fluctuations. These effects have evolved over two decades, particularly noticeable during economic crises and the COVID-19 pandemic, highlighting the need for emerging economies, like China, to protect against international financial spillovers.

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国际货币政策对中国金融市场的溢出效应
& lt; abstract>本研究分析了全球金融一体化以及美国、欧盟和日本的货币政策对疫情后中国金融市场的影响。利用TVP-FAVAR(时变参数因子增广向量自回归)和TVP-VAR-DY(时变参数向量自回归)模型,构建了中国金融市场压力指数,揭示了发达国家货币政策对中国金融压力的影响。影响因经济规模和政策效果而异。溢出效应主要是通过短期资本流动加速和外汇储备波动来实现的。这些影响在过去二十年中不断演变,在经济危机和2019冠状病毒病大流行期间尤为明显,这凸显了中国等新兴经济体防范国际金融溢出效应的必要性。& lt; / abstract>
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来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
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