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 nonlinea...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.展开更多
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 ...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.展开更多
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 di...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.展开更多
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...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.展开更多
The paper aims to analyze the monetary transmission model between the monetary policy and the labor market variable of unemployment.The results of the data show that,the external shocks have an important impact especi...The paper aims to analyze the monetary transmission model between the monetary policy and the labor market variable of unemployment.The results of the data show that,the external shocks have an important impact especially on the Romanian interest rates but also on the domestic production;however,the impact is not significant on unemployment,which proves the resilience of the domestic labor market.The central bank policy rate has a stabilizing effect on the unemployment rate in case of an increase in the euro area policy rate.展开更多
We investigate monetary policy effects on corporate investment adjustment,using a sample of China's A-share listed firms(2005–2012), under an asymmetic framework and from a monetary policy transmission channel pe...We investigate monetary policy effects on corporate investment adjustment,using a sample of China's A-share listed firms(2005–2012), under an asymmetic framework and from a monetary policy transmission channel perspective. We find that corporate investment adjustment is faster in expansionary than contractionary monetary policy periods. Monetary policy has a significant effect on adjustment speed through monetary and credit channels. An increase in the growth rate of money supply or credit accelerates adjustment.Both effects are significantly greater during tightening than expansionary periods. The monetary channel has significant asymmetry, whereas the credit channel has none. Leverage moderates the relationship between monetary policy and adjustment, with a greater effect in expansionary periods. This study enriches the corporate investment behavior literature and can help governments develop and optimize macro-control policies.展开更多
This paper uses monthly data to examine the autonomy and effectiveness of monetary policy in China under the de facto fixed exchange rate arrangement in place from 1998 to 2005. The results obtained from Granger causa...This paper uses monthly data to examine the autonomy and effectiveness of monetary policy in China under the de facto fixed exchange rate arrangement in place from 1998 to 2005. The results obtained from Granger causality tests in a vector autoregression framework indicate that: (i) China actually conducted independent monetary policy during the fixed exchange rate period; and (ii) market-oriented policy measures are impotent in influencing real output and prices. The framework of the investigation into the autonomy of monetary policy adapts to the Chinese economic condition that primary loan and deposit rates are set by the central bank. Based on the empirical results, the present paper provides alternative strategies to improve the effectiveness of monetary policy in China, including developing the financial system and solidifying microeconomic fundamentals instead of forcing the adaptation of a more flexible exchange rate regime.展开更多
This paper studies how monetary and regulatory policies manage peer to peer(P2P)interest rates.Based on selected representative monetary and regulatory policies,this paper finds that easy monetary policies reduce the ...This paper studies how monetary and regulatory policies manage peer to peer(P2P)interest rates.Based on selected representative monetary and regulatory policies,this paper finds that easy monetary policies reduce the demand for online loans,thus reducing the market s interest rates.Monetary policies may increase the supply of online loans through rational expectation channels or reduce the demand for online loans through bank risk-taking channels.Normative market-based regulatory policy enables the P2P market to return to rationality,eliminates high-risk investors and borrowers,and subsequently reduces market interest rates.Risk disposal-based regulatory policy reduces market supply to some extent,resulting in a small increase in interest rates.Both easy monetary policies and regulatory policies have a great impact on the normal platforms.The interest rate of high-risk platforms is less affected by the relevant policies,which is evidence that such platforms do not behave in accordance with the financial rules in general.Monetary policies mainly affect platforms with interest rates in a relatively normal range,while regulatory policies mainly focus on platforms with abnormal interest rates.展开更多
This study examined the effects of mobile money-a recent innovation in Uganda’s financial-sector landscape-on aggregate economic activity and other macroeconomic variables.We first estimated the long-run mobile-money...This study examined the effects of mobile money-a recent innovation in Uganda’s financial-sector landscape-on aggregate economic activity and other macroeconomic variables.We first estimated the long-run mobile-money demand function using vector error correction(VEC)techniques,distinguishing between balances and transfers/transactions.We then estimated the short-run effects of mobile money on selected macroeconomic variables using structural vector autoregressive(SVAR)methods.The results showed that mobile money had moderate positive effects on monetary aggregates,consumer price index,private-sector credit,and aggregate economic activity.Mobile money balances responded to changes in monetary policy instruments,signaling possible ameliorating effects for the conduct of monetary policy.Finally,the results showed that transactional motives related to mobile money had stronger macroeconomic effects than savings motives.展开更多
In present days,our instable financial markets,characterized by heavier growing monetary responsibilities,are delivering and enlarging ever growing central banks’functions.The financial stability applied standards ha...In present days,our instable financial markets,characterized by heavier growing monetary responsibilities,are delivering and enlarging ever growing central banks’functions.The financial stability applied standards have been creating contradictory results in the recent Great Recessions since the year 1987 up to the central banks model,after the 2008 last financial crisis,with major central banks as the FED and the CEB(Diamond,2007,pp.189-200)conflicting main operative areas,monetary and financial goals with unexpected results.We have been living a very difficult and dramatic period,which suggests a lot of reconsiderations about what the monetary policy means and may pursue and in which area,with respect to the financial system restrictions,in particular,during the post-second World War,based initially on the pseudo gold dollar parity,things were relatively stable and major financial crises were happening in emerging peripheral markets only.Financial stability was ever relevant,but it was not something to which governments devoted institutional attention.Based on what happened during the recent crisis,it is now of capital responsibility connecting monetary and economic financial stability jointly.Central banks,on the contrary,seem not able to pursue both functions relying on classical market tools.Up to now,the only obligation,imposed to a central bank as a private agent,has been taking care of monetary stability,to contain inflation rates over upper limits,assumed in entering definitely in the legal tender monetary,regime almost everywhere over the planet.Originally,for specific monetary policy purposes alone,between central banks and possible financial entities,there were no guidelines or structural determined controls,only institutional and statutory single bank’s operational clauses.There were no legal constraints such as formal loan to-value,or loan to cash-flows,or formal capital level limits,based on actual constraints.Free repurchase agreements and sales or purchases of securities(the most relevant tools of monetary policy guidelines),generally based on private financial covenants,were the sole most recurrent tactical interferences in adjusting the economic free activity.The assuming statutory thresholds were casual in the incorporating state,central banks used to monitor the activities of agents through economic incentives,rather than mandating and monitoring specific legal prescriptions.The evolving inconsistency of both activities has become even more manifest;two conditions should be fulfilled simultaneously:To avoid dilemmas in which a central bank might be called to make the autonomous independent management choice between monetary price stability,pursuing at same time,generally incompatible,financial stability,two different policies should be rarely jointly assigned to same bodies,especially central banks.As regards the first issue,the IMF nevertheless,with Brunnermeier and Sannikov(Brunnermeier&Sannikov,2012),has argued that price stability and financial stability are interlinked Short-term debt financing played an important role in the run-up to the financial crisis,as increases in leverage helped boost growth but also made the economy more susceptible to a downturn.Since the recession,private agents have reduced their debt level while many governments have increased borrowing.This deleveraging process appears to be holding back the recovery,and the Japanese experience suggests that such deleveraging can continue over an extended period”,unless in the long run we are all broken at state level,as history seems now to prove.It is true indeed,as reminded by Lamfalussy(Lamfalussy et al.,2010,pp.7-9),and now widely proved by facts,that prices and the growth-employment objectives,run into each other because it is seldom the case that the pursuit of one is consistent with the pursuit of the second in global economies.展开更多
文摘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.
文摘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.
文摘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.
基金Funding was provided by Anadolu University Scientific Research Project Commission(Grant number:1605E282).
文摘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.
文摘The paper aims to analyze the monetary transmission model between the monetary policy and the labor market variable of unemployment.The results of the data show that,the external shocks have an important impact especially on the Romanian interest rates but also on the domestic production;however,the impact is not significant on unemployment,which proves the resilience of the domestic labor market.The central bank policy rate has a stabilizing effect on the unemployment rate in case of an increase in the euro area policy rate.
基金supported by a Major Project Grant of the National Natural Science Foundation of China (No. 71232004)two General Projects Grant of the National Natural Science Foundation of China (No. 71172082 71372137)
文摘We investigate monetary policy effects on corporate investment adjustment,using a sample of China's A-share listed firms(2005–2012), under an asymmetic framework and from a monetary policy transmission channel perspective. We find that corporate investment adjustment is faster in expansionary than contractionary monetary policy periods. Monetary policy has a significant effect on adjustment speed through monetary and credit channels. An increase in the growth rate of money supply or credit accelerates adjustment.Both effects are significantly greater during tightening than expansionary periods. The monetary channel has significant asymmetry, whereas the credit channel has none. Leverage moderates the relationship between monetary policy and adjustment, with a greater effect in expansionary periods. This study enriches the corporate investment behavior literature and can help governments develop and optimize macro-control policies.
基金supported by Program for New Century Excellent Talents in University(NCET-08-0762)a research grant of the 211 University Advancement Project entitled "The Autonomy of Monetary Policy and the Flexibility of Exchange Rates" sponsored by the Education Ministry of China
文摘This paper uses monthly data to examine the autonomy and effectiveness of monetary policy in China under the de facto fixed exchange rate arrangement in place from 1998 to 2005. The results obtained from Granger causality tests in a vector autoregression framework indicate that: (i) China actually conducted independent monetary policy during the fixed exchange rate period; and (ii) market-oriented policy measures are impotent in influencing real output and prices. The framework of the investigation into the autonomy of monetary policy adapts to the Chinese economic condition that primary loan and deposit rates are set by the central bank. Based on the empirical results, the present paper provides alternative strategies to improve the effectiveness of monetary policy in China, including developing the financial system and solidifying microeconomic fundamentals instead of forcing the adaptation of a more flexible exchange rate regime.
基金This work was supported by the National Social Science Fund Major Project of China(No.18ZDA091),the National Natural Science Foundation of China(No.71673296),the China Postdoctoral Science Foundation and the Peking University Institute of Digital Finance Project.
文摘This paper studies how monetary and regulatory policies manage peer to peer(P2P)interest rates.Based on selected representative monetary and regulatory policies,this paper finds that easy monetary policies reduce the demand for online loans,thus reducing the market s interest rates.Monetary policies may increase the supply of online loans through rational expectation channels or reduce the demand for online loans through bank risk-taking channels.Normative market-based regulatory policy enables the P2P market to return to rationality,eliminates high-risk investors and borrowers,and subsequently reduces market interest rates.Risk disposal-based regulatory policy reduces market supply to some extent,resulting in a small increase in interest rates.Both easy monetary policies and regulatory policies have a great impact on the normal platforms.The interest rate of high-risk platforms is less affected by the relevant policies,which is evidence that such platforms do not behave in accordance with the financial rules in general.Monetary policies mainly affect platforms with interest rates in a relatively normal range,while regulatory policies mainly focus on platforms with abnormal interest rates.
文摘This study examined the effects of mobile money-a recent innovation in Uganda’s financial-sector landscape-on aggregate economic activity and other macroeconomic variables.We first estimated the long-run mobile-money demand function using vector error correction(VEC)techniques,distinguishing between balances and transfers/transactions.We then estimated the short-run effects of mobile money on selected macroeconomic variables using structural vector autoregressive(SVAR)methods.The results showed that mobile money had moderate positive effects on monetary aggregates,consumer price index,private-sector credit,and aggregate economic activity.Mobile money balances responded to changes in monetary policy instruments,signaling possible ameliorating effects for the conduct of monetary policy.Finally,the results showed that transactional motives related to mobile money had stronger macroeconomic effects than savings motives.
文摘In present days,our instable financial markets,characterized by heavier growing monetary responsibilities,are delivering and enlarging ever growing central banks’functions.The financial stability applied standards have been creating contradictory results in the recent Great Recessions since the year 1987 up to the central banks model,after the 2008 last financial crisis,with major central banks as the FED and the CEB(Diamond,2007,pp.189-200)conflicting main operative areas,monetary and financial goals with unexpected results.We have been living a very difficult and dramatic period,which suggests a lot of reconsiderations about what the monetary policy means and may pursue and in which area,with respect to the financial system restrictions,in particular,during the post-second World War,based initially on the pseudo gold dollar parity,things were relatively stable and major financial crises were happening in emerging peripheral markets only.Financial stability was ever relevant,but it was not something to which governments devoted institutional attention.Based on what happened during the recent crisis,it is now of capital responsibility connecting monetary and economic financial stability jointly.Central banks,on the contrary,seem not able to pursue both functions relying on classical market tools.Up to now,the only obligation,imposed to a central bank as a private agent,has been taking care of monetary stability,to contain inflation rates over upper limits,assumed in entering definitely in the legal tender monetary,regime almost everywhere over the planet.Originally,for specific monetary policy purposes alone,between central banks and possible financial entities,there were no guidelines or structural determined controls,only institutional and statutory single bank’s operational clauses.There were no legal constraints such as formal loan to-value,or loan to cash-flows,or formal capital level limits,based on actual constraints.Free repurchase agreements and sales or purchases of securities(the most relevant tools of monetary policy guidelines),generally based on private financial covenants,were the sole most recurrent tactical interferences in adjusting the economic free activity.The assuming statutory thresholds were casual in the incorporating state,central banks used to monitor the activities of agents through economic incentives,rather than mandating and monitoring specific legal prescriptions.The evolving inconsistency of both activities has become even more manifest;two conditions should be fulfilled simultaneously:To avoid dilemmas in which a central bank might be called to make the autonomous independent management choice between monetary price stability,pursuing at same time,generally incompatible,financial stability,two different policies should be rarely jointly assigned to same bodies,especially central banks.As regards the first issue,the IMF nevertheless,with Brunnermeier and Sannikov(Brunnermeier&Sannikov,2012),has argued that price stability and financial stability are interlinked Short-term debt financing played an important role in the run-up to the financial crisis,as increases in leverage helped boost growth but also made the economy more susceptible to a downturn.Since the recession,private agents have reduced their debt level while many governments have increased borrowing.This deleveraging process appears to be holding back the recovery,and the Japanese experience suggests that such deleveraging can continue over an extended period”,unless in the long run we are all broken at state level,as history seems now to prove.It is true indeed,as reminded by Lamfalussy(Lamfalussy et al.,2010,pp.7-9),and now widely proved by facts,that prices and the growth-employment objectives,run into each other because it is seldom the case that the pursuit of one is consistent with the pursuit of the second in global economies.