WHAT ARE SPILLOVER TRANSMISSION CHANNELS FROM CHINA’S MONETARY POLICY TO ASIA: BAYESIAN VECTOR AUTOREGRESSIVE APPROACH

T. T. Pham Trinh, P. A. Le Nhan, T. H. Vu Minh, L. L. Vo Dan, T. T. Bui My and T. H. Nguyen Vinh
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T. T. Pham Trinh: International Economics Faculty, Banking University of Hochiminh City, 36 Ton That Dam Street, District 1, Nguyen Thai Binh Ward, Hochiminh City, Vietnam
P. A. Le Nhan: International Economics Faculty, Banking University of Hochiminh City, 36 Ton That Dam Street, District 1, Nguyen Thai Binh Ward, Hochiminh City, Vietnam
T. H. Vu Minh: ��Department of Personnel Affairs, Banking University of Hochiminh City, 36 Ton That Dam Street, District 1, Nguyen Thai Binh Ward, Hochiminh City, Vietnam
L. L. Vo Dan: International Economics Faculty, Banking University of Hochiminh City, 36 Ton That Dam Street, District 1, Nguyen Thai Binh Ward, Hochiminh City, Vietnam
T. T. Bui My: ��Division of Economic Mathematics, Banking University of Hochiminh City, 36 Ton That Dam Street, District 1, Nguyen Thai Binh Ward, Hochiminh City, Vietnam
T. H. Nguyen Vinh: International Economics Faculty, Banking University of Hochiminh City, 36 Ton That Dam Street, District 1, Nguyen Thai Binh Ward, Hochiminh City, Vietnam

The Singapore Economic Review (SER), 2024, vol. 69, issue 02, 813-835

Abstract: This study employs Bayesian vector autoregressive method to investigate spillover effects from China’s monetary policy to Asian economies through the exchange rate, domestic demand, and financial channels. The domestic demand channel plays dominant role to the transmission of China’s monetary spillover. While the weak impact of the exchange rate channel could be explained by the positive correlated response of Asian currencies to renminbi shock, the limited influence of the financial channel is due to low financial development and high restrictions on capital flows of China. We suggest Asian authorities should reduce the export reliance on China and prepare macro-prudential instruments to minimize their economies’ vulnerability to foreign shocks.

Keywords: Asia; Bayesian vector autoregression; China; international monetary policy spillovers; transmission channels (search for similar items in EconPapers)
JEL-codes: C32 E52 F42 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1142/S0217590821410071

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