Title :
Evidences of the Asymmetric Effects from China´s Monetary Policy in the Period after the Financial Crisis
Author_Institution :
Sch. of Managment, Changchun Inst. of Technol., Changchun, China
Abstract :
This paper investigates whether there are asymmetric effects of monetary policy in China economy. We use logistic smooth transition vector auto regression (LSTVAR) model to focus on the nonlinearity of the whole system varying over the transition variables. The results of estimation and generalized impulse response function imply that the effects of output and inflation vary with the sign of monetary shocks, the size of monetary shocks, and the phase of the business cycle.
Keywords :
autoregressive processes; financial management; macroeconomics; Chinese economy; Chinese monetary policy; LSTVAR model; asymmetric effects; business cycle; financial crisis; generalized impulse response function; logistic smooth transition vector autoregression model; monetary shocks; transition variables; Aggregates; Economics; Electric shock; Equations; Linearity; Mathematical model; Switches; LSTVAR model; asymmetric effects; monetary policy;
Conference_Titel :
Business Computing and Global Informatization (BCGIN), 2011 International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4577-0788-9
Electronic_ISBN :
978-0-7695-4464-9
DOI :
10.1109/BCGIn.2011.76
