 The impact of Chinese monetary policy on co-movements between money and capital marketsYang-Chao Wang, Jui-Jung Tsai and Lanxin Lu Applied Economics, 2019, vol. 51, issue 45, 4939-4955 Abstract: From 2010 to 2017, with interest rate liberalization and capital market development in China, the impact of monetary policies on China’s financial markets underwent continuous evolution. Using the DCC-GARCH model, this study investigates the transmission process of monetary policies from the money market to capital markets (stock and bond markets). The results show that in the early stage the instability of the money and stock markets and the downturn in the bond market are primarily caused by the block of monetary policy transmission and the paucity of fund sources in the capital markets. Subsequently, the outbreak of the 2013 money shortage and the 2015 stock market crash are also closely related to monetary policies. In the later periods, the money and stock markets maintain a low degree of correlation for a long time, reducing the impact of destabilizing factors on the stock market. By contrast, with the advancement of interest rate reform and the optimization of bond market structure, the bond market is highly relevant to the money market. The central bank regulates the bond market more effectively using both traditional and innovative monetary policy tools. Date: 2019 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:51:y:2019:i:45:p:4939-4955 Ordering information: This journal article can be ordered from DOI: 10.1080/00036846.2019.1606407 Access Statistics for this article Applied Economics is currently edited by Anita Phillips More articles in Applied Economics from Taylor & Francis Journals |
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