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National Accounting Review

2020, Volume 2, Issue 2: 188-203. doi: 10.3934/NAR.2020011
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Research article

Statistical measurement of the impact of monetary policy on price levels

  • 1.
    School of Business, Hunan University of Science and Technology, Xiangtan, P. R. China
  • 2.
    College of Finance and Statistics, Hunan University, Changsha, P. R. China
  • Received: 20 April 2020 Accepted: 08 June 2020 Published: 09 June 2020

  • JEL Codes: E23, E52, O14

  • The channels of monetary policy transmission highly depend on industrial structure, and there are significant differences across industries. This paper studies the industrial effects of monetary policy in China using the Vector Autoregression (VAR) model. We explore the heterogeneity of the response three pillar industries and factor intensity industries to a monetary shock. In order to capture the transmission of monetary policy, decomposing monetary policy as anticipated and unanticipated is considered. Results show evidence of the industrial effects of aggregate monetary policy shock is almost not effective. And the effectiveness of monetary policy shocks is conducted in close association with expectations and factor intensity.

    Citation: Shengyin Ouyang, Ziqing Du, Meiling Cai. Statistical measurement of the impact of monetary policy on price levels[J]. National Accounting Review, 2020, 2(2): 188-203. doi: 10.3934/NAR.2020011

    Related Papers:

  • The channels of monetary policy transmission highly depend on industrial structure, and there are significant differences across industries. This paper studies the industrial effects of monetary policy in China using the Vector Autoregression (VAR) model. We explore the heterogeneity of the response three pillar industries and factor intensity industries to a monetary shock. In order to capture the transmission of monetary policy, decomposing monetary policy as anticipated and unanticipated is considered. Results show evidence of the industrial effects of aggregate monetary policy shock is almost not effective. And the effectiveness of monetary policy shocks is conducted in close association with expectations and factor intensity.


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