How does Chinas Tight Monetary Policy Affect the In.ation: a Structural Dynamic Factor Model Approach
For the .rst time, this paper investigates the impact of China抯 tight monetary policy on in.ation based on 82 monthly macroeconomic and policy indicators from 2000:1 to 2011:3, using a structural dynamic factor model approach. China抯 macroeconomic and policy indicators include interest rate, money supply, investment, consumption, industry output, foreign trade, prices and stock markets. Main .ndings are as follows: (1) Tight monetary policies will help China to tame in.ation, and the price puzzle is solved by considering a large amount of macroeconomic variables; (2) The increase in interbank offered rate and deposit reserve ratio is more effective to reduce the prices level; (3) Relatively to consumption and industrial output, the in.uence of tight monetary policy shock on prices lasts longer.
Structural dynamic factor model tight monetary policy in.ation the price puzzle
Bianling Ou Mingxi Wang Mingrong Wang
Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China School of International Trade and EconomicsUniversity of International Business and Economics, Beiji School of Economics, Capital University of Business and Economics, Beijing 100070, China
国际会议
武汉
英文
614-618
2011-10-17（万方平台首次上网日期，不代表论文的发表时间）