[go: up one dir, main page]

IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v46y2014i34p4190-4204.html
   My bibliography  Save this article

Empirical research on monetary policy, asset prices and inflation: an analysis based on provincial panel data in China

Author

Listed:
  • Shenglong Liu
  • Guifu Chen
  • Shigeyuki Hamori
Abstract
In this article, we investigate the dynamic correlations among monetary policy, asset prices and inflation and assess the regional effects of monetary policy in China for the period October 2007 to July 2013. We focus on the interdependencies among monetary policy and asset price fluctuations by using the Shanghai Interbank Offered Rate as the preferred variable for analysing monetary policy movement. In particular, we apply a vector autoregressive model in a panel setting, which allows researchers to examine variations over time or across individual regions. The empirical results presented herein indicate that monetary policy reacts actively to asset prices, although it is still shown to be ineffective. In addition, we find that asset prices display some regional differences in their response to an unexpected monetary policy shock.

Suggested Citation

  • Shenglong Liu & Guifu Chen & Shigeyuki Hamori, 2014. "Empirical research on monetary policy, asset prices and inflation: an analysis based on provincial panel data in China," Applied Economics, Taylor & Francis Journals, vol. 46(34), pages 4190-4204, December.
  • Handle: RePEc:taf:applec:v:46:y:2014:i:34:p:4190-4204
    DOI: 10.1080/00036846.2014.952892
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/00036846.2014.952892
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1080/00036846.2014.952892?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "Ensuring financial stability: Financial structure and the impact of monetary policy on asset prices," IMFS Working Paper Series 16, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    2. Frederic S. Mishkin, 1996. "The Channels of Monetary Transmission: Lessons for Monetary Policy," NBER Working Papers 5464, National Bureau of Economic Research, Inc.
    3. Ben S. Bernanke & Mark Gertler, 1999. "Monetary policy and asset price volatility," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 77-128.
    4. Katrin Assenmacher & Stefan Gerlach, 2008. "Financial Structure and the Impact of Monetary Policy on Asset Prices," Working Papers 2008-16, Swiss National Bank.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chi-Wei Su & Jiao-Jiao Fan & Hsu-Ling Chang & Xiao-Lin Li, 2016. "Is there Causal Relationship between Money Supply Growth and Inflation in China? Evidence from Quantity Theory of Money," Review of Development Economics, Wiley Blackwell, vol. 20(3), pages 702-719, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Asli Demirgüç-Kunt & Luis Servén, 2010. "Are All the Sacred Cows Dead? Implications of the Financial Crisis for Macro- and Financial Policies," The World Bank Research Observer, World Bank, vol. 25(1), pages 91-124, February.
    2. Christiane Baumeister & Eveline Durinck & Gert Peersman, 2008. "Liquidity, Inflation and Asset Prices in a Time-Varying Framework for the Euro Area," Discussion Papers 08/06, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    3. Yoon Je Cho, 2010. "The Role of State Intervention in the Financial Sector: Crisis Prevention, Containment, and Resolution," Working Papers id:3017, eSocialSciences.
    4. Ørjan Robstad, 2014. "House prices, credit and the effect of monetary policy in Norway: Evidence from Structural VAR Models," Working Paper 2014/05, Norges Bank.
    5. Yoon Je Cho, 2010. "The Role of State Intervention in the Financial Sector : Crisis Prevention, Containment, and Resolution," Finance Working Papers 23013, East Asian Bureau of Economic Research.
    6. Chen, Nan-Kuang & Cheng, Han-Liang & Mao, Ching-Sheng, 2012. "House price, mortgage premium, and business fluctuations," Economic Modelling, Elsevier, vol. 29(4), pages 1388-1398.
    7. Shujie Yao & Dan Luo & Lixia Loh, 2013. "On China's monetary policy and asset prices," Applied Financial Economics, Taylor & Francis Journals, vol. 23(5), pages 377-392, March.
    8. Yoon Je Cho, 2012. "The Role of State Intervention in the Financial Sector: Crisis Prevention, Containment and Resolution," Chapters, in: Masahiro Kawai & David G. Mayes & Peter Morgan (ed.), Implications of the Global Financial Crisis for Financial Reform and Regulation in Asia, chapter 9, Edward Elgar Publishing.
    9. ap Gwilym, Rhys, 2009. "The Monetary Policy Implications of Behavioral Asset Bubbles," Cardiff Economics Working Papers E2009/18, Cardiff University, Cardiff Business School, Economics Section.
    10. Rhys ap Gwilym, 2013. "The Monetary Policy Implications of Behavioral Asset Bubbles," Southern Economic Journal, Southern Economic Association, vol. 80(1), pages 252-270, July.
    11. Rhys ap Gwilym, 2013. "The Monetary Policy Implications of Behavioral Asset Bubbles," Southern Economic Journal, John Wiley & Sons, vol. 80(1), pages 252-270, July.
    12. Ørjan Robstad, 2018. "House prices, credit and the effect of monetary policy in Norway: evidence from structural VAR models," Empirical Economics, Springer, vol. 54(2), pages 461-483, March.
    13. Shujie Yao & Dan Luo & Lixia Loh, 2011. "On China’s Monetary Policy and Asset Prices," Discussion Papers 11/04, University of Nottingham, GEP.
    14. Anwar, Cep Jandi, 2021. "Heterogeneity Effect of Central Bank Independence on Asset Prices: Evidence from Selected Developing Countries," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 55(2), pages 65-80.
    15. repec:wly:soecon:v:80:1:y:2013:p:252-270 is not listed on IDEAS
    16. Douglas Sutherland & Peter Hoeller & Balázs Égert & Oliver Röhn, 2010. "Counter-cyclical Economic Policy," OECD Economics Department Working Papers 760, OECD Publishing.
    17. Hertrich Markus, 2019. "A Novel Housing Price Misalignment Indicator for Germany," German Economic Review, De Gruyter, vol. 20(4), pages 759-794, December.
    18. Roman Inderst & Manuel Klein, 2007. "Innovation, endogenous overinvestment, and incentive pay," RAND Journal of Economics, RAND Corporation, vol. 38(4), pages 881-904, December.
    19. Theodore Panagiotidis & Panagiotis Printzis, 2016. "On the macroeconomic determinants of the housing market in Greece: a VECM approach," International Economics and Economic Policy, Springer, vol. 13(3), pages 387-409, July.
    20. Markus K. Brunnermeier & Isabel Schnabel, 2014. "Bubbles and Central Banks: Historical Perspectives," Working Papers 1411, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, revised 31 Oct 2014.
    21. Inderst, Roman & Mueller, Holger M., 2008. "Bank capital structure and credit decisions," Journal of Financial Intermediation, Elsevier, vol. 17(3), pages 295-314, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:46:y:2014:i:34:p:4190-4204. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.