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

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  • Aviral Kumar Tiwari
  • Yifei Cai
  • Tsangyao Chang

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.

Suggested Citation

  • Aviral Kumar Tiwari & Yifei Cai & Tsangyao Chang, 2019. "Monetary shocks to macroeconomic variables in China using time-vary VAR model," Applied Economics Letters, Taylor & Francis Journals, vol. 26(20), pages 1664-1669, November.
    • Handle: RePEc:taf:apeclt:v:26:y:2019:i:20:p:1664-1669
    DOI: 10.1080/13504851.2019.1591589
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    Cited by:

    1. Abdhut Deheri, 2021. "The Effects of Monetary Policy on Output and Inflation in India: A Time-varying Approach," Economics Bulletin, AccessEcon, vol. 41(3), pages 1603-1614.

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