The Impact of the Monetary Policy During the COVID-19 in the Brazilian Banking Sector

The COVID-19 pandemic caused an outbreak on the global productive chains,transforming companies and society in general.Governments adopted anticyclical policies such as basic interest rates reduction as response.Brazil basic interest rate is denominated Selic.The application of these policies requires the protagonist of bank’s financial intermediation.This study aims to verify two events-under the perspective of the efficient markets’theory.The first is the communication of the first death by COVID-19-and the subsequent,Selic rate reduction to 2%p.a.-and its effects on bank’s shares prices.The hypotheses presented are:H1-The announcement of the first death by COVID-19 negatively impacts the banks’shares returns and H2-The announcement of the Selic interest rate-during the COVID-19-positively impacts the return of the banks’shares.We adopt event study methodology in a final sample of nine and 15 banks to Events 1 and 2 respectively.The results confirm H1 as well as the semi-strong informational efficiency market.H2 is not confirmed.Results confirm the non-effectiveness of the anticyclical policy of basic interest rate reduction.This contributes to the discussion about the impacts of COVID-19 and the efficacy of anticyclical policies.

China’s Monetary Policy Impacts on Money and Stock Markets

This study investigated the impact of China’s monetary policy on both the money market and stock markets,assuming that non-policy variables would not respond contemporaneously to changes in policy variables.Monetary policy adjustments are swiftly observed in money markets and gradually extend to the stock market.The study examined the effects of monetary policy shocks using three primary instruments:interest rate policy,reserve requirement ratio,and open market operations.Monthly data from 2007 to 2013 were analyzed using vector error correction(VEC)models.The findings suggest a likely presence of long-lasting and stable relationships among monetary policy,the money market,and stock markets.This research holds practical implications for Chinese policymakers,particularly in managing the challenges associated with fluctuation risks linked to high foreign exchange reserves,aiming to achieve autonomy in monetary policy and formulate effective monetary strategies to stimulate economic growth.

基于DSGE模型的科技信贷激励政策研究

通过构建基于全要素生产率厂商异质性的NK-DSGE(新凯恩斯—动态随机一般均衡)模型,模拟科技信贷激励政策的传导机制与政策效果,研究发现政策效果从大到小依次是常规货币政策、政府部门贴息、中央银行再贷款利率、中央银行定向降准、中央银行再贷款抵押率,与我国科技信贷激励政策的实践效果相吻合。进一步研究发现,政府贴息、再贷款利率的外生冲击波动幅度对政策效果影响弹性更大。建议地方政府应和银行加强联动,完善科技信贷风险补偿机制、贷款担保体系;另外,中国人民人行应加强常规货币政策实施精准性,并探索更加灵活的结构型货币政策机制。

金融冲击与货币政策的宏观经济效应——基于包含三类异质性家庭DSGE模型

考虑家庭金融市场参与和家庭负债情况差异,构建包含净值家庭、富有的糊口家庭、贫困的糊口家庭的三类异质性家庭和两类生产部门的动态随机一般均衡模型,考察了金融冲击和货币政策的宏观经济效应。家庭消费冲击反应分析的结果表明:第一,积极的金融冲击仅增加了净值家庭和贫困的糊口家庭的消费,富有的糊口家庭的消费反而在积极的金融冲击发生后表现出下降趋势;第二,扩张性货币政策引起各类家庭消费增加,但增加的幅度存在明显差异。在此基础上,比较了三类异质性家庭模型与传统的两类家庭模型冲击反应分析的结果:无论是积极的金融冲击还是扩张性货币政策冲击,传统的两类家庭模型中各宏观经济变量的冲击反应均明显大于构建的三类异质性家庭模型。波动性分析的结果指出,相比三类异质性家庭模型,传统的两类家庭模型中积极的金融冲击和扩张性货币政策冲击均会引起更大的宏观经济波动。福利分析的结果显示,传统的两类家庭模型中货币政策引致的社会福利损失明显大于三类异质性家庭模型。这意味着基于传统的两类家庭模型进行稳定化货币政策分析时可能导致政策用力过猛。

Empirical research on the international spillover effects of U.S. monetary policy and their impacts

Empirical research has shown that there were international spillover effects from the U.S. monetary policy to output level, net exports and price levels of each country, and the impact on prices in each country was of synchronous effect. The structural impulse response analysis showed that U.S. monetary policy could improve U.S. income and payment without damaging U.S. economic growth, but the shocks negatively affected the economic growth in the rest of the world. Hence, it's important to pay close attention to the moral risks of U.S. monetary policy to evade the global shocks caused by the "benefit-itself-at-the-expense-of-others" polices of the American government. Besides these findings, U.S. monetary policy shocks strongly affect China's trade surplus fluctuations. Based on this, we propose that the approaches of balancing China's current account could be explored efficiently from the perspective of monetary policy.

A global perspective on macroprudential policy interaction with systemic risk,real economic activity,and monetary intervention

The study empirically assesses how macroprudential policy interacts with systemic risk,industrial production,and monetary intervention on a global level from January 2006 to December 2018.We adopt the aggregate proxies of these variables,capturing their global effects,and use a novel econometric technique,namely,smooth local projections.The study finds that global macroprudential policy leads the monetary policy,exhibiting a countercyclical pattern concerning industrial production.The latter has an inverse bidirectional linkage with systemic risk.Thus,an ex-ante tight macroprudential policy can indirectly mitigate global systemic risk through its pro-growth effect on industrial production,although no convincing evidence exists for the direct impact of a macroprudential intervention on systemic risk.The study results endure several extensions and a robustness check,which builds on alternative measures of global systemic stress and real economic activity,thereby legitimizing the increased importance attached to the macroprudential policy since the 2007–2009 global financial crisis.

商业银行普惠金融如何助力共同富裕目标实现?——引入异质性企业和家庭的BGG-DSGE模型分析

经济增长和收入分配改善是共同富裕的应有之义,也是实现共同富裕的重要途径。商业银行普惠金融以中小微企业和农民等弱势群体为主要服务对象,是推进共同富裕的重要力量。本文在包含BGG金融加速器的DSGE模型中引入异质性企业和异质性家庭,从经济增长和收入分配角度分析商业银行普惠金融政策对共同富裕的动态一般均衡影响。校准参数后模拟发现,商业银行普惠金融政策会促进共同富裕。对比分析发现,宽松货币政策虽然会增加总产出,但会加剧收入不平等;同时,商业银行普惠金融政策和小企业技术进步的组合冲击更有利于实现共同富裕。

Monetary policy rules：Forward-looking and backward-looking in an overlapping generations model

In the framework of an overlapping generations model, forward-looking monetary policy roles and backward-looking monetary policy rules were investigated. It is shown that the monetary steady state is more likely to be indeterminate under an active forwardlooking rule than under the corresponding backward-looking rule. It is also shown that backward-looking roles can render the monetary steady state unstable.

Heterogeneous Responses of Chinese Cities' Housing Prices to Monetary Policies

This works examine the responses of housing prices to the monetary policies in various Chinese cities. Thirty-five large and medium sized Chinese cities are classified into six clusters applying the minimum variance clustering method according to the calculated correlation coefficients between the housing price indices of every two cities.Time difference correlation analysis is then employed to quantify the relations between the housing price indices of the six clusters and the monetary policies.It is suggested that the housing prices of various cities evolved at different paces and their responses to the monetary policies are heterogeneous,and local economic features are more important than geographic distances in determining the housing price trends.

Monetary Policy Needs to Keep up with the Times

Since the start of reform and opening in the late 1970s, China's monetary operation has undergone dramatic changes. The J-curve of Chinese monetary aggregate (total quantity growth) over the period between 1978 and 2005 illustrates the changes in total quantity growth, while the changes in monetary structure are shown by an X-curve, and are attributed to the increased ratio of money in circulation to savings (money serving as a store of value) from 6:4 to 4:6. Therefore, the key factor in maintaining supply-and -demand equilibrium in monetary supply has shifted from the supply side to the demand side. The monetary aggregate has influenced the decrease in commodity prices. However, composite prices including assets, reflect the equilibrium of monetary supply and demand. In the face of the changes in Chinese monetary operation, attention should be given to inflation pressure and highly concentrated financial risks in the banking system, and the regulation of monetary demand should be emphasized. The regulation of monetary aggregate and monetary structure are both of vital importance.

Non-Symmetry of China’s and US Monetary Policy Spillovers:Theoretical Modelling and Empirical Analysis

This study develops a structural vector autoregression(SVAR)framework to empirically examine the reciprocal transmission channels of monetary policies between China and the United States.The primary objective is to discern potential disparities in the spillover effects of monetary policies and ascertain any contrasting mechanisms underlying these effects across the two countries.Based on our research,it appears that there exists a certain level of non-symmetry in the spillover effects of monetary policy between the two countries.Moreover,this paper provides adequate analysis of disparities in the trade framework,capital control,and financial market operations of both countries in constructing a dynamic stochastic general equilibrium(DSGE)model that incorporates financial frictions for the examination of the theoretical rationale.The empirical findings indicate that China’s monetary policy creates a spillover effect primarily through trade.In China,following an increase in its interest rates,the domestic economic activity will experience a contraction,leading to a decline in both investment and output.Consequently,this will result in a decrease in China’s imports of investment goods from the United States,impacting the output of the US economy.In contrast,the US monetary policy exerts a spillover effect primarily through finance.An increase in interest rates by the United States is associated with a notable outflow of capital from China.This leads to a rise in the financing costs for Chinese firms,consequently diminishing their overall net worth.In light of the financial accelerator effect,corporate external financing risk premium will continue to increase,exacerbating the downward trajectory of China’s output.

Is pass‑through of the exchange rate to restaurant and hotel prices asymmetric in the US?Role of monetary policy uncertainty

This study examines the exchange rate pass-through to the United States(US)restaurant and hotel prices by incorporating the effect of monetary policy uncertainty over the period 2001:M12 to 2019:M01.Using the nonlinear autoregressive distributed lag(NARDL)model,empirical evidence indicates asymmetric pass-through of exchange rate and monetary policy uncertainty.Moreover,a stronger pass-through effect is observed during depreciation and a negative shock in monetary policy uncertainty,corroborating asymmetric pass-through predictions.Our results further show that a positive shock in energy prices leads to an increase in restaurant and hotel prices.Furthermore,asymmetric causality indicates that a positive shock in the exchange rate causes a positive shock to restaurant and hotel prices.We found feedback causal effects between positive and negative shocks in monetary policy uncertainty and positive and negative shocks in the exchange rate.Additionally,we detected a one-way asymmetric causality,flowing from a positive(negative)shock to a positive(negative)shock in energy prices.Therefore,these findings provide insights for policymakers to achieve low and stable prices in the US restaurant and hotel industry through sound monetary policy formulations.Highlights.The drivers of restaurant and hotel business in tourism destinations are examined.There is asymmetric pass-through of exchange rate and monetary policy uncertainty.A stronger pass-through is observed during appreciation and a negative shock to monetary policy uncertainty.There is asymmetric causality from positive shock in exchange rate to postive shock in restaurant and hotel prices.

China’s Institutional Strength,Monetary Policy Coordination and Fiscal Crowding-in Effect

As two main tools of macroeconomic policies,coordination and conflict between fiscal and monetary policies have been paid considerable attention by researchers.Under a structural vector autoregressive model that incorporates fiscal and monetary policies,this paper analyzes the monetary policy response to fiscal shocks.Our study finds that during the occurrence of a fiscal shock,the growth rate of broad money supply M2 substantially increased,indicating the adoption of an expansionary monetary policy by the monetary authority to fiscal policy expansion.Based on this empirical finding,this paper improves the dynamic stochastic general equilibrium model to investigate the fiscal policy effects under China’s monetary policy coordination.Our analysis shows that monetary policy coordination will significantly boost the economic stimulus effect of fiscal policy,generating a fiscal crowding-in effect.From the perspective of China’s institutional strength,this conclusion offers a theoretical explanation on the empirical fact of the fiscal crowdingin effect uncovered in the research literature,and offers a policy reference for making the proactive fiscal policy more efficient and effective.This paper suggests that China’s policymakers give full play to the country’s institutional strength by coordinating fiscal and monetary policies for high-quality economic development.

Spillovers of US unconventional monetary policy:quantitative easing,spreads,and international financial markets

This study investigates the international spillover effects of US unconventional monetary policy(UMP)-frequently called large-scale asset purchases or quantitative easing(QE)—on advanced and emerging market economies,using structural vector autoregressive models with high-frequency daily data.Blinder(Federal Reserve Bank of St.Louis Rev 92(6):465–479,2010)argued that the QE measures primarily aim to reduce US interest rate spreads,such as term and risk premiums.Considering this argument and recent empirical evidence,we use two spreads as indicators of US UMP:the mortgage and term spreads.Based on data from 20 emerging and 20 advanced countries,our empirical findings reveal that US unconventional monetary policies significantly affect financial conditions in emerging and advanced countries by altering the risktaking behavior of investors.This result suggests that the risk-taking channel plays an important role in transmitting the effects of these policies to the rest of the world.The extent of these effects depends on the type of QE measures.QE measures such as purchases of private sector securities that lower the US mortgage spread exert stronger and more significant spillover effects on international financial markets than those that reduce the US term spread.Furthermore,the estimated financial spillovers vary substantially across countries and between and within the emerging and advanced countries that we examine in this study.

Human Resources Development and Migration： New Potential Determinants for Monetary Policy

The main objective of the present paper is to determine the potential impact the qualitative and quantitative tendencies in the labor market on the decisions which influence the design of monetary policy worldwide. The analysis is focused on how human resources and phenomena associated with them could influence potential growth and, further on, how they can impact monetary policy decisions at national level for European countries outside the euro area and at ECB level for the euro zone countries. Moreover, the paper will envisage potential macroeconomic reactions （monetary decisions herewith included） to human resources dynamics. The economic variations are regarded through the perspective of growth potential shown by the Research ＆ Development sector and also through the effects of labor force migration. The analysis of statistical data aims at pointing out the different economic perspectives in the European Union, the United States, and Japan, also considering the disparities between EU member states. The analysis is completed by the use of the ranking method, the conclusions stating once more the crucial importance of the human factor in drawing monetary policy decisions

Transmission Mechanisms of Monetary Policy in Saudi Arabia： Evidence From SVAR Analysis

In this research, the authors evaluate different channels of the monetary policy transmission mechanisms in Saudi Arabia over the last 15 years with a baseline of structural vector autoregressive （SVAR） models. Contemporaneous coefficient in the structural model indicates that while Saudi Arabia pegs its currency to US dollar, monetary policy instrument reacts positively to unexpected changes in the monetary aggregate. In addition to the traditional interest rate channel, the authors have also found the effects of credit channel. Moreover, variance decomposition results show that past shocks of credit, nominal effective exchange rate （NEER）, federal funds rate （FFR） and treasury bill （TB） are found to be important for credit growth in shorter and longer horizons. The exchange rate channel has been less significant in comparison to other channels.

Monetary Policy and Profitability of Commercial Banks in Uganda

Background: Economic theory suggests that monetary policy through interest rates affects bank profitability. There is limited empirical evidence on the relationship between monetary policy and profitability of commercial banks in Uganda. Objective: This study seeks to examine the effect of monetary policy on the profitability of commercial banks in Uganda. Methodology: The study adopts a causal relationship research design. Data, covering 9 years from 2010-2018, was collected from all the registered commercial banks which were in operation over the study period. Various monetary policy variables are included in the empirical model as predictor variables. Return on Assets is used as a measure of bank profitability. A dynamic two-step System Generalized Method of Moments panel estimator is applied to estimate the empirical model. Findings: Estimates show that monetary policy in terms of its link to the lending rate has a significant causal effect on Return on Assets, suggesting that interest rate changes predict bank profitability of commercial banks in Uganda. Further, results show that a rise in core inflation has a significant negative causal effect on the banks’ profitability and that there is a significant lagged effect of Return on Assets. The 91-day treasury bill rate and money supply were insignificant in predicting bank profitability. Originality: Unlike previous related studies which have focused on major advanced economies and a limited number of studies which have considered only a few developing countries like Nigeria and Kenya, the current study provides empirical evidence on the link between monetary policy and commercial bank profitability in Uganda. Practical Implications: Policy makers in the financial sector may use the study results as a basis of implementation of appropriate monetary policy actions that enhance the profitability of Uganda’s commercial banks. For instance, the central bank should promote low and stable core inflation in order to enhance bank profitability, and should ensure that the monetary policy transmission to interest rates is efficient.

The Interactions among Housing Price, Inflation and Monetary Policy in China： Facts and Implications

As a transition economy, China has unique characteristics regarding housing price, inflation and monetary policies. In addition to supply and demand powers, China＇s housing price is affected by demographic structure, fiscal system and land supply system. Using China＇s statistics from 2005 to 2011, this paper found empirically that （1） liquidity has a significant impact on China＇s housing prices and inflation; （2） China＇s negative real interest rate has pushed up housing price; （3） price-related instrument of monetary policy can curb housing price and is more effective than control of money supply.

Structural Monetary Policy, Bank Credit and Bank Liquidity—An Empirical Analysis Based on VAR Model

After the outbreak of the international financial crisis,the People’s Bank of China,based on traditional monetary policy tools,launched a series of structural monetary policy tools such as standing lending facility(SLF),medium-term lending facility(MLF),and pledged supplementary lending(PSL)and targeted at liquidity via the commercial banking system.In order to test the credit transmission effect of structured monetary policy,this paper empirically analyzes the relationship between structured monetary policy,bank liquidity and bank credit based on the VAR model.The research shows that the implementation of structured monetary policy reduces the liquidity of commercial banks in the short term and increases in loans to small or micro enterprises and agriculture-related loans,these policies have produced significant short-term effects on credit transmission in steady of long-term effects.Thus,a series of supporting measures are needed to fully exert the effects of structural monetary policy.