中国货币政策效果的区域非对称性研究——来自混合截面全局向量自回归模型的证据

Journal of Financial Research

2017, Vol. 450

Issue (12): 1-16 DOI:

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Regional Asymmetries in the Effects of Monetary Policy in China:Evidence from a Mixed Cross-section Global Vector Autoregression Model

HUANG Jialin, QIN Fengming

School of Economics, Shandong University

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Abstract This paper investigates the effects of monetary policy across different regions in China. An MCSGVAR model is estimated for the 30 provinces of China from 1996Q1 to 2015Q4. It advances research in this area by explicitly modeling the determination of monetary policy as a function of nationwide output growth and inflation, as well as by taking into account the spillover effects among regional economic activities. Also, it provides more precise results by constructing and employing a quarterly series of real GRP for each province, as well as by considering structural identification of monetary policy shocks. The results suggest similar time patterns of regional economic activities in response to monetary policy shocks, but pronounced asymmetries with regard to the degree. Also, there appears to be a regional pattern to the heterogeneity. In cumulative sense, the effect of monetary policy on real output is the most noticeable in the northeast and the middle Yellow River region, similar across the middle Yangtze River, the northern coast, the southwest and the eastern coast region, while relatively modest in the southern coast and the northwest region. These results underscore the importance of accounting for regional heterogeneity when formulating and assessing national monetary policy.

Key words： Monetary Policy Regional Economic Activity MCSGVAR Model

Received: 22 May 2017 Published: 02 April 2018

JEL分类号:	E52
	R11
	C32

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HUANG Jialin,QIN Fengming. Regional Asymmetries in the Effects of Monetary Policy in China:Evidence from a Mixed Cross-section Global Vector Autoregression Model[J]. Journal of Financial Research, 2017, 450(12): 1-16.

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http://www.jryj.org.cn/EN/ OR http://www.jryj.org.cn/EN/Y2017/V450/I12/1

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