Research article

Statistical measurement of the impact of monetary policy on price levels

  • Received: 20 April 2020 Accepted: 08 June 2020 Published: 09 June 2020
  • JEL Codes: E23, E52, O14

  • The channels of monetary policy transmission highly depend on industrial structure, and there are significant differences across industries. This paper studies the industrial effects of monetary policy in China using the Vector Autoregression (VAR) model. We explore the heterogeneity of the response three pillar industries and factor intensity industries to a monetary shock. In order to capture the transmission of monetary policy, decomposing monetary policy as anticipated and unanticipated is considered. Results show evidence of the industrial effects of aggregate monetary policy shock is almost not effective. And the effectiveness of monetary policy shocks is conducted in close association with expectations and factor intensity.

    Citation: Shengyin Ouyang, Ziqing Du, Meiling Cai. Statistical measurement of the impact of monetary policy on price levels[J]. National Accounting Review, 2020, 2(2): 188-203. doi: 10.3934/NAR.2020011

    Related Papers:

  • The channels of monetary policy transmission highly depend on industrial structure, and there are significant differences across industries. This paper studies the industrial effects of monetary policy in China using the Vector Autoregression (VAR) model. We explore the heterogeneity of the response three pillar industries and factor intensity industries to a monetary shock. In order to capture the transmission of monetary policy, decomposing monetary policy as anticipated and unanticipated is considered. Results show evidence of the industrial effects of aggregate monetary policy shock is almost not effective. And the effectiveness of monetary policy shocks is conducted in close association with expectations and factor intensity.


    加载中


    [1] Anagnostou A, Papadamou S (2016) Regional asymmetries in monetary policy transmission: The case of the greek regions. Env Plan C-Polit 34: 795-815. doi: 10.1177/0263774X15614679
    [2] Atoyan R, Manning MJF, Rahman J (2013) Rebalancing: Evidence from current account adjustment in europe, International Monetary Fund.
    [3] Barth MJ, Ramey VA (2001) The cost channel of monetary transmission. NBER Macroecon Ann 16: 199-240. doi: 10.1086/654443
    [4] Bils M, Klenow PJ (2004) Some evidence on the importance of sticky prices. J Polit Econ 112: 947-985. doi: 10.1086/422559
    [5] Bouakez H, Cardia E, Ruge-Murcia FJ (2009) The transmission of monetary policy in a multisector economy. Int Econ Rev 50: 1243-1266. doi: 10.1111/j.1468-2354.2009.00567.x
    [6] Bruno V, Shin HS (2015) Capital flows and the risk-taking channel of monetary policy. J Monet Econ 71: 119-132. doi: 10.1016/j.jmoneco.2014.11.011
    [7] Carlino G, DeFina R (1998) The differential regional effects of monetary policy. Rev Econ Stat 80: 572-587. doi: 10.1162/003465398557843
    [8] Cebula RJ, Boylan R (2019) Uncertainty regarding the effectiveness of federal reserve monetary policies over time in the u.S.: An exploratory empirical assessment. Quant Finan Econ 3: 244-256.
    [9] Chen A, Groenewold N (2018) The regional effects of macroeconomic shocks in china. China Econ Rev 48: 139-154. doi: 10.1016/j.chieco.2015.12.003
    [10] Chen L, Du Z, Hu Z (2019) Impact of economic policy uncertainty on exchange rate volatility of china. Financ Res Lett.
    [11] Cimoli M, Lima GT, Porcile G (2016) The production structure, exchange rate preferences and the short-run-medium-run macrodynamics. Struct Change Econ Dyn 37: 13-26. doi: 10.1016/j.strueco.2015.11.006
    [12] Coibion O, Gorodnichenko Y, Kamdar R (2018) The formation of expectations, inflation, and the phillips curve. J Econ Lit 56: 1447-1491. doi: 10.1257/jel.20171300
    [13] Dedola L, Lippi F (2005) The monetary transmission mechanism: Evidence from the industries of five oecd countries. Eur Econ Rev 49: 1543-1569. doi: 10.1016/j.euroecorev.2003.11.006
    [14] Eichengreen B (2010) The breakup of the euro area Europe and the euro,University of Chicago Press, 11-51.
    [15] Feng K, Siu YL, Guan D, et al. (2012) Analyzing drivers of regional carbon dioxide emissions for china. J Ind Ecol 16: 600-611. doi: 10.1111/j.1530-9290.2012.00494.x
    [16] Frankel JA (2006) The effect of monetary policy on real commodity prices (No. w12713). Natl Bureau Econ Res, 291-333.
    [17] Georgiadis G (2015) Examining asymmetries in the transmission of monetary policy in the euro area: Evidence from a mixed cross-section global var model. Eur Econ Rev 75: 195-215. doi: 10.1016/j.euroecorev.2014.12.007
    [18] Gerali A, Neri S, Sessa L, et al. (2010) Credit and banking in a dsge model of the euro area. J Money Credit Bank 42: 107-141. doi: 10.1111/j.1538-4616.2010.00331.x
    [19] Ghossoub EA, Reed RR (2015) The size distribution of the banking sector and the effects of monetary policy. Eur Econ Rev 75: 156-176. doi: 10.1016/j.euroecorev.2015.01.002
    [20] Givens GE, Reed RR (2018) Monetary policy and investment dynamics: Evidence from disaggregate data. J Money Credit Bank 50: 1851-1878. doi: 10.1111/jmcb.12519
    [21] Hausman JK, Rhode PW, Wieland JF (2019) Recovery from the great depression: The farm channel in spring 1933. Am Econ Rev 109: 427-472. doi: 10.1257/aer.20170237
    [22] Hayo B, Uhlenbrock B (2000) Industry effects of monetary policy in germany, Norwell: Kluwer Academic Publishers.
    [23] He ZF, He LJ, Wen FH (2019) Risk compensation and market returns: The role of investor sentiment in the stock market. Emerg Mark Financ Trade 55: 704-718. doi: 10.1080/1540496X.2018.1460724
    [24] Huang Z, Liao G, Li Z (2019) Loaning scale and government subsidy for promoting green innovation. Technol Forecast Soc Change 144: 148-156. doi: 10.1016/j.techfore.2019.04.023
    [25] Jawadi F, Sousa RM, Traverso R (2017) On the macroeconomic and wealth effects of unconventional monetary policy. Macroecon Dyn 21: 1189-1204. doi: 10.1017/S1365100515000292
    [26] Jiménez G, Ongena S, Peydró JL, et al. (2014) Hazardous times for monetary policy: What do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking? Econometrica 82: 463-505. doi: 10.3982/ECTA10104
    [27] Kabundi A, Schaling E, Some M (2015) Monetary policy and heterogeneous inflation expectations in south africa. Econ Model 45: 109-117. doi: 10.1016/j.econmod.2014.11.002
    [28] Kaplan G, Moll B, Violante GL (2018) Monetary policy according to hank. Am Econ Rev 108: 697-743. doi: 10.1257/aer.20160042
    [29] Li Z, Dong H, Huang Z, et al. (2018) Asymmetric effects on risks of virtual financial assets (vfas) in different regimes: A case of bitcoin. Quan Finan Econ 2: 860-883. doi: 10.3934/QFE.2018.4.860
    [30] Li Z, Dong H, Huang Z, Failler P (2019) Impact of foreign direct investment on environmental performance. Sustainability 11: 3538. doi: 10.3390/su11133538
    [31] Li Z, Liao G, Albitar K (2019) Does corporate environmental responsibility engagement affect firm value? The mediating role of corporate innovation. Bus Strat Environ.
    [32] Li Z, Liao GK, Wang ZZ, et al. (2018) Green loan and subsidy for promoting clean production innovation. J Clean Prod 187: 421-431. doi: 10.1016/j.jclepro.2018.03.066
    [33] Li Z, Zhong J (2019) Impact of economic policy uncertainty shocks on china's financial conditions. Financ Res Lett, 101303.
    [34] Liu Y, Zhou Y, Wu W (2015) Assessing the impact of population, income and technology on energy consumption and industrial pollutant emissions in china. Appl Energy 155: 904-917. doi: 10.1016/j.apenergy.2015.06.051
    [35] Loo CM, Lastrapes WD (1998) Identifying the effects of money supply shocks on industry-level output. J Macroecon 20: 431-449. doi: 10.1016/S0164-0704(98)00067-6
    [36] Maddaloni A, Peydró JL (2011) Bank risk-taking, securitization, supervision, and low interest rates: Evidence from the euro-area and the us lending standards. Rev Financ Stud 24: 2121-2165. doi: 10.1093/rfs/hhr015
    [37] McKay A, Nakamura E, Steinsson J (2016) The power of forward guidance revisited. Am Econ Rev 106: 3133-3158. doi: 10.1257/aer.20150063
    [38] Mishra P, Montiel PJ, Spilimbergo A (2012) Monetary transmission in low-income countries: Effectiveness and policy implications. Imf Econ Rev 60: 270-302. doi: 10.1057/imfer.2012.7
    [39] Mumbi CP (2018) Banking structure and the bank lending channel of monetary policy transmission: Evidence from panel data methods. Quan Finan Econ 2: 497-524. doi: 10.3934/QFE.2018.2.497
    [40] Murray A, Skene K, Haynes K (2015) The circular economy: An interdisciplinary exploration of the concept and application in a global context. J Bus Ethics 140: 369-380.
    [41] Obstfeld M, Rogoff K (1995) Exchange rate dynamics redux. J Polit Econ 103: 624-660. doi: 10.1086/261997
    [42] Peersman G, Smets F (2005) The industry effects of monetary policy in the euro area. Econ J 115: 319-342. doi: 10.1111/j.1468-0297.2005.00991.x
    [43] Petersen L (2015) Do expectations and decisions respond to monetary policy? J Econ Stud 42: 972-1004. doi: 10.1108/JES-08-2015-0149
    [44] Poon TSC (2004) Beyond the global production networks: A case of further upgrading of taiwan's information technology industry. Int J Technol Globalisation 1: 130-144. doi: 10.1504/IJTG.2004.004555
    [45] Ren S, Yuan B, Ma X, et al. (2014) International trade, FDI (foreign direct investment) and embodied co2 emissions: A case study of chinas industrial sectors. China Econ Rev 28: 123-134. doi: 10.1016/j.chieco.2014.01.003
    [46] Sarkodie SA, Strezov V (2018) Empirical study of the environmental kuznets curve and environmental sustainability curve hypothesis for australia, china, ghana and USA. J Clean Prod 201: 98-110. doi: 10.1016/j.jclepro.2018.08.039
    [47] Smales LA, Lucey BM (2019) The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets. J Int Financ Mark Inst Money 60: 19-38. doi: 10.1016/j.intfin.2018.12.003
    [48] Svensson LE, Wijnbergen SV (1989) Excess capacity, monopolistic competition, and international transmission of monetary disturbances. Econ J 99: 785-805. doi: 10.2307/2233771
    [49] Tena JD, Tremayne A (2009) Modelling monetary transmission in uk manufacturing industry. Econ Model 26: 1053-1066. doi: 10.1016/j.econmod.2009.04.003
    [50] Turunen MJ, Harmsen MRT, Bayoumi MT (2011) Euro area export performance and competitiveness, International Monetary Fund.
    [51] Vespignani JL, Ratti RA (2016) Not all international monetary shocks are alike for the Japanese economy. Econ Model 52: 822-837. doi: 10.1016/j.econmod.2015.10.019
    [52] Wang Y (2002) Research on the upgrade of industrial structure under an opening-up situation. PhD Dissertations, Graduate School of Chinese Academy of Social Sciences.
    [53] Yin WJ, Jin FQ, Tian MY, et al. (2019) Measuring the systemic risk of china's banking sector: An application of differential debtrank. J Risk 22: 43-66.
  • Reader Comments
  • © 2020 the Author(s), licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0)
通讯作者: 陈斌, bchen63@163.com
  • 1. 

    沈阳化工大学材料科学与工程学院 沈阳 110142

  1. 本站搜索
  2. 百度学术搜索
  3. 万方数据库搜索
  4. CNKI搜索

Metrics

Article views(2564) PDF downloads(215) Cited by(2)

Article outline

Figures and Tables

Tables(7)

Other Articles By Authors

/

DownLoad:  Full-Size Img  PowerPoint
Return
Return

Catalog