Abstract: This study examines the dynamic effects of different types of monetary policy instruments onmacroeconomic downside risks using SV-TVP-VAR Model. That is, we expand the predictive information set to fit the distribution of China’s economic growth rate and then evaluate China’smacroeconomic downside risks directly by measuring the probability of economic downturns. Wefind that extreme crises make the economic growth distributions show low peaks and thick tails,and increase macroeconomic downside risks. Quantitative monetary policy can effectively mitigate macroeconomic downside risks in the short term. Price-based monetary policy plays a role incurbing excessive economic prosperity and reducing macroeconomic downside risks in the medium term, and its regulatory effect is more sustainable.

Keywords: Macroeconomic downside risk;Monetary policy;SV-TVP-VAR model