Comparisons of different monetary policies in China with yield curve information
This work compares the effectiveness of quantity-based and price-based monetary policies in China using FAVAR. This essay is the pioneer to identify the 1-year lending rate and deposit rate as the policy rates, and includes yield curve information in the analysis. It is found that effects of tightening monetary policies in China follow largely the stylized facts of long run neutrality of money on real activities, a long term fall in inflation and a short term rise in interest rates.
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- Francis X. Diebold & Canlin Li, 2002.
"Forecasting the Term Structure of Government Bond Yields,"
Center for Financial Institutions Working Papers
02-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
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