Comparisons of different monetary policies in China with yield curve information

Iris Ai Jao Pang

MPRA Paper from University Library of Munich, Germany

Abstract: This work compares the effectiveness of quantity-based and price-based monetary policies in China using FAVAR. This essay is the pioneer to identify the 1-year lending rate and deposit rate as the policy rates, and includes yield curve information in the analysis. It is found that effects of tightening monetary policies in China follow largely the stylized facts of long run neutrality of money on real activities, a long term fall in inflation and a short term rise in interest rates.

Keywords: China; Monetary Policy; Factor Model; Factor Augmented VAR; FAVAR (search for similar items in EconPapers)
JEL-codes: C53 E52 E61 (search for similar items in EconPapers)
Date: 2010-05-10
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:32494

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