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An Empirical Study of the Asset Price Channel of Monetary Policy Transmission in China

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  • Hui Zhang
  • Hao Huang

Abstract

By testing the impact of monetary policy on the bond market and the impact of the bond market on the real macro economy using different empirical methods, this article examines the performance of the bond price transmission mechanism in China’s monetary policy. Empirical studies show that monetary policy has power over bond yield fluctuations, while the bond market has a relatively limited impact on the real macro economy. Short-term bond yields have relatively significant transmission effects on some output variables, such as consumption, investment, and the consumer price index, while the influence of long-term bonds is not significant.

Suggested Citation

  • Hui Zhang & Hao Huang, 2017. "An Empirical Study of the Asset Price Channel of Monetary Policy Transmission in China," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(6), pages 1278-1288, June.
    • Handle: RePEc:mes:emfitr:v:53:y:2017:i:6:p:1278-1288
    DOI: 10.1080/1540496X.2016.1230493
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    Cited by:

    1. Yang-Chao Wang & Jui-Jung Tsai & Lanxin Lu, 2019. "The impact of Chinese monetary policy on co-movements between money and capital markets," Applied Economics, Taylor & Francis Journals, vol. 51(45), pages 4939-4955, September.
    2. Zulquar Nain & Bandi Kamaiah, 2020. "Uncertainty and Effectiveness of Monetary Policy: A Bayesian Markov Switching-VAR Analysis," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(special i), pages 237-265.

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