Three channels of monetary policy international transmission: Identifying spillover effects from the US to China

Simple item page
buir.contributor.authorŞensoy, Ahmet
buir.contributor.orcidŞensoy, Ahmet|0000-0001-7967-5171
dc.citation.epage101670- 18en_US
dc.citation.spage101670- 1en_US
dc.citation.volumeNumber61en_US
dc.contributor.authorZhang, M.
dc.contributor.authorŞensoy, Ahmet
dc.contributor.authorCheng, F.
dc.contributor.authorZhao, X.
dc.date.accessioned2023-02-15T12:44:57Z
dc.date.available2023-02-15T12:44:57Z
dc.date.issued2022-05-02
dc.departmentDepartment of Managementen_US
dc.description.abstractWe identify and compare three channels through which the adjustment of US monetary policy spills over into China, including trade, exchange rate, and financial channels. A proxy vector autoregression model, with a high-frequency identification strategy, is applied to measure the causal effect of monetary policy shocks to the fundamentals of China’s economy. The analysis reveals that tightness in US monetary policy increases inflation in China by 0.2% and drives down output by 1%. We also find that the spillover effect from the US to China is immediate and significant through each of the three channels. Furthermore, the financial channel is significant in terms of its effect on interest rate expectations and long-term financing premia for Chinese companies. Our results support the notion of the financial channel as a key transmission mechanism for cross-country spillovers of monetary policy, which should be of much interest to participants in financial markets.en_US
dc.description.provenanceSubmitted by Ezgi Uğurlu (ezgi.ugurlu@bilkent.edu.tr) on 2023-02-15T12:44:57Z No. of bitstreams: 1 Three_channels_of_monetary_policy_international_transmission_Identifying_spillover_effects_from_the_US_to_China.pdf: 4315518 bytes, checksum: 1196459e41438a62d4949186d17253a7 (MD5)en
dc.description.provenanceMade available in DSpace on 2023-02-15T12:44:57Z (GMT). No. of bitstreams: 1 Three_channels_of_monetary_policy_international_transmission_Identifying_spillover_effects_from_the_US_to_China.pdf: 4315518 bytes, checksum: 1196459e41438a62d4949186d17253a7 (MD5) Previous issue date: 2022-05-02en
dc.embargo.release2025-05-02
dc.identifier.doi10.1016/j.ribaf.2022.101670en_US
dc.identifier.eissn1878-3384
dc.identifier.issn0275-5319
dc.identifier.urihttp://hdl.handle.net/11693/111359
dc.language.isoEnglishen_US
dc.publisherElsevier Inc.en_US
dc.relation.isversionofhttps://doi.org/10.1016/j.ribaf.2022.101670en_US
dc.source.titleResearch in International Business and Financeen_US
dc.subjectUS monetary policyen_US
dc.subjectChinaen_US
dc.subjectFinancial transmission channelen_US
dc.subjectSpilloversen_US
dc.subjectProxy VAR modelen_US
dc.titleThree channels of monetary policy international transmission: Identifying spillover effects from the US to Chinaen_US
dc.typeArticleen_US

Files

Original bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
Three_channels_of_monetary_policy_international_transmission_Identifying_spillover_effects_from_the_US_to_China.pdf
Size:
4.12 MB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.69 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Scholarly Publications - Management