Empirical Study on Spillover Effects of American Conventional and Quantitative Easing Monetary Policy on China's Real Economy

Empirical Study on Spillover Effects of American Conventional and Quantitative Easing Monetary Policy on China's Real Economy


Author:Zhang Xiaoyu, Yu Yingyang  Journal:[Working Paper]  Date:2017(1)

Keywords conventional monetary policy;quantitative easing monetary policy;real economy;spillover effect

Abstract

This paper investigates the dynamic mechanism of American monetary policy,Chinese output and Chinese inflation. By constructing a smooth transition vector auto-regression model of year-on-year growth rate of GDP,year-on-year growth rate of CPI and Federal funds rate,it is found that the relationship of them is nonlinear, the Federal monetary policy has significant spillover effects on China's macro economy,the influence of the quantitative easing monetary policy on the output and inflation of China are smaller than that of the traditional monetary policy,and the impact of American monetary policy on Chinese inflation is greater than that on Chinese output

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