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What Are Spillover Transmission Channels From China’S Monetary Policy To Asia: Bayesian Vector Autoregressive Approach

Author

Listed:
  • T. T. PHAM TRINH

    (International Economics Faculty, Banking University of Hochiminh City, 36 Ton That Dam Street, District 1, Nguyen Thai Binh Ward, Hochiminh City, Vietnam)

  • P. A. LE NHAN

    (International Economics Faculty, Banking University of Hochiminh City, 36 Ton That Dam Street, District 1, Nguyen Thai Binh Ward, Hochiminh City, Vietnam)

  • T. H. VU MINH

    (��Department of Personnel Affairs, Banking University of Hochiminh City, 36 Ton That Dam Street, District 1, Nguyen Thai Binh Ward, Hochiminh City, Vietnam)

  • L. L. VO DAN

    (International Economics Faculty, Banking University of Hochiminh City, 36 Ton That Dam Street, District 1, Nguyen Thai Binh Ward, Hochiminh City, Vietnam)

  • T. T. BUI MY

    (��Division of Economic Mathematics, Banking University of Hochiminh City, 36 Ton That Dam Street, District 1, Nguyen Thai Binh Ward, Hochiminh City, Vietnam)

  • T. H. NGUYEN VINH

    (International Economics Faculty, Banking University of Hochiminh City, 36 Ton That Dam Street, District 1, Nguyen Thai Binh Ward, Hochiminh City, Vietnam)

Abstract

This study employs Bayesian vector autoregressive method to investigate spillover effects from China’s monetary policy to Asian economies through the exchange rate, domestic demand, and financial channels. The domestic demand channel plays dominant role to the transmission of China’s monetary spillover. While the weak impact of the exchange rate channel could be explained by the positive correlated response of Asian currencies to renminbi shock, the limited influence of the financial channel is due to low financial development and high restrictions on capital flows of China. We suggest Asian authorities should reduce the export reliance on China and prepare macro-prudential instruments to minimize their economies’ vulnerability to foreign shocks.

Suggested Citation

  • T. T. Pham Trinh & P. A. Le Nhan & T. H. Vu Minh & L. L. Vo Dan & T. T. Bui My & T. H. Nguyen Vinh, 2024. "What Are Spillover Transmission Channels From China’S Monetary Policy To Asia: Bayesian Vector Autoregressive Approach," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 69(02), pages 813-835, March.
    • Handle: RePEc:wsi:serxxx:v:69:y:2024:i:02:n:s0217590821410071
    DOI: 10.1142/S0217590821410071
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    Keywords

    Asia; Bayesian vector autoregression; China; international monetary policy spillovers; transmission channels;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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