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The impacts of high-frequency US uncertainty shocks on China’s investment and bank loans: evidence from mixed-frequency VAR

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  • Meng Yan
  • Zhen An

Abstract

This paper evaluates the effects of high-frequency US uncertainty shocks on China’s investment and bank loans through the mixed-frequency vector autoregression model. We find that time-stamped US uncertainty shocks generate partly heterogeneous impacts on China’s investment and bank loans. The responses of bank loans with different maturities and private-owned enterprise investment are consistent with the theoretical results and policy operations except for the pattern of state-owned enterprise investment in the face of uncertainty shocks. By further decomposing the state-owned enterprise investment, we reveal that the injection of government investment to state-owned enterprise biases the time-varying responses of state-owned enterprise investment to US uncertainty shocks. Compared to the single-frequency approach, the mixed frequency approach produces richer economic results and insights.

Suggested Citation

  • Meng Yan & Zhen An, 2021. "The impacts of high-frequency US uncertainty shocks on China’s investment and bank loans: evidence from mixed-frequency VAR," Applied Economics Letters, Taylor & Francis Journals, vol. 28(1), pages 15-22, January.
    • Handle: RePEc:taf:apeclt:v:28:y:2021:i:1:p:15-22
    DOI: 10.1080/13504851.2020.1725232
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