The impacts of high-frequency US uncertainty shocks on China’s investment and bank loans: evidence from mixed-frequency VAR

Meng Yan and Zhen An

Applied Economics Letters, 2021, vol. 28, issue 1, 15-22

Abstract: This paper evaluates the effects of high-frequency US uncertainty shocks on China’s investment and bank loans through the mixed-frequency vector autoregression model. We find that time-stamped US uncertainty shocks generate partly heterogeneous impacts on China’s investment and bank loans. The responses of bank loans with different maturities and private-owned enterprise investment are consistent with the theoretical results and policy operations except for the pattern of state-owned enterprise investment in the face of uncertainty shocks. By further decomposing the state-owned enterprise investment, we reveal that the injection of government investment to state-owned enterprise biases the time-varying responses of state-owned enterprise investment to US uncertainty shocks. Compared to the single-frequency approach, the mixed frequency approach produces richer economic results and insights.

Date: 2021
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DOI: 10.1080/13504851.2020.1725232

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