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US monetary policy shocks and the Chinese economy: a GVAR approach

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  • Yujiang Bi
  • Sajid Anwar

Abstract

Using a global vector auto regressive (GVAR) methodology, this article examines the impact of US monetary policy shocks on China’s major macroeconomic indicators. Our analysis reveals that a positive shock to the US money supply growth rate initially increases China’s inflation rate but after some time this effect completely disappears. This shock also raises China’s short-term interest rate and the Chinese currency appreciates against the US dollar. A positive shock to the US short-term interest rate increases China’s short-term interest rate but the real output growth and inflation rates decline and the Chinese currency appreciates.

Suggested Citation

  • Yujiang Bi & Sajid Anwar, 2017. "US monetary policy shocks and the Chinese economy: a GVAR approach," Applied Economics Letters, Taylor & Francis Journals, vol. 24(8), pages 553-558, May.
    • Handle: RePEc:taf:apeclt:v:24:y:2017:i:8:p:553-558
    DOI: 10.1080/13504851.2016.1210761
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    Cited by:

    1. Piotr Kębłowski, 2021. "GVAR: A Case of Spurious Cross-Sectional Cointegration," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(2), pages 175-187, June.

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