DocumentCode :
2905659
Title :
How Does China´s Tight Monetary Policy Affect the Inflation: A Structural Dynamic Factor Model Approach
Author :
Ou, Bianling ; Wang, Mingxi ; Wang, Mingrong
Author_Institution :
Acad. of Math. & Syst. Sci., Beijing, China
fYear :
2011
fDate :
17-18 Oct. 2011
Firstpage :
614
Lastpage :
618
Abstract :
For the first time, this paper investigates the impact of China´s tight monetary policy on inflation based on 82 monthly macroeconomic and policy indicators from 2000:1 to 2011:3, using a structural dynamic factor model approach. China´s macroeconomic and policy indicators include interest rate, money supply, investment, consumption, industry output, foreign trade, prices and stock markets. Main findings are as follows: (1) Tight monetary policies will help China to tame inflation, 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 influence of tight monetary policy shock on prices lasts longer.
Keywords :
government policies; inflation (monetary); international trade; investment; macroeconomics; pricing; stock markets; China; consumption; deposit reserve ratio; foreign trade; industry output; inflation; interbank offered rate; interest rate; investment; macroeconomic; monetary policy; money supply; policy indicator; price level; prices; stock market; structural dynamic factor model approach; Business; Economic indicators; Electric shock; Estimation; Macroeconomics; Predictive models; Structural dynamic factor model; inflation; the price puzzle; tight monetary policy;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Business Intelligence and Financial Engineering (BIFE), 2011 Fourth International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4577-1541-9
Type :
conf
DOI :
10.1109/BIFE.2011.67
Filename :
6121216
Link To Document :
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