U.S. Monetary Policy Shocks,Macroeconomic Fluctuation and China's Monetary Policy Response
Since 2022,the Federal Reserve has embarked on a new cycle of interest rate hikes,garnering significant attention from both academic and practical spheres. However,this recent monetary policy shift differs markedly from previous ones. First,in the decade following the subprime crisis,external monetary policy shocks typically leaned towards easing. In contrast,the current policy is characterized by tightening measures. Second,the Chinese economy,currently in an early stage of recovery,remains fragile and more susceptible to external shocks. Understanding the systemic effects of U.S. monetary policy under these circumstances is crucial,as it will inform proactive policy responses and serve as a foundation for maintaining economic stability within a reasonable range.This paper begins by summarizing the macroeconomic and monetary policy changes observed following previous interest rate hikes. It then employs a time-varying Granger causality test to examine the evolving correlation between the U.S. federal funds rate and China's macroeconomic and monetary policy variables. Additionally,the quantile vector autoregressive (QVAR) model is used to analyze the spillover effects of the Federal Reserve's monetary policy on China's economy and policy variables across different stages of economic development.The research yields several key findings. First,the impact of the Federal Reserve's monetary policy changes on China's macroeconomic and policy variables exhibits clear time-varying characteristics,with noticeable transmission effects occurring during significant events,but minimal effects during normal periods. Second,while China's economic growth shows limited feedback to U.S. monetary policy changes,inflation and cross-border capital flows are more sensitive to interest rate hikes. Consequently,there is a need to be vigilant about the risks of deflation and capital flight arising from the Fed's policy actions.Third,in terms of policy response,China's monetary policy adjustments have evolved. Initially,adjustments were passive,aimed at mitigating large economic fluctuations. However,as China's economy has grown,policy responses have shifted towards more proactive,independent measures. Fourth,as China's economy is currently in recovery,the effects of interest rate hikes on macroeconomic and policy variables are relatively mild,allowing for a window of opportunity to implement self-directed macroeconomic controls and stabilize the recovery.Compared to previous studies,this paper makes two significant contributions. First,it utilizes a time-varying Granger causality test based on local causality inference to provide a comprehensive analysis of the real-time transmission of U.S. monetary policy effects on China's macroeconomic and policy variables. This represents an advancement over traditional linear causality approaches. Second,it applies the QVAR model to examine the spillover effects of U.S. monetary policy shocks on China's economy and monetary policy across different stages of economic development. This model enables the identification of the structural impacts of U.S. interest rate hikes at various points in the economic cycle,allowing for the formulation of targeted policy responses.In conclusion,the impact of Federal Reserve policy shocks on China's economy is contingent on the state of China's economy. This insight allows for the prediction of potential spillover effects and provides theoretical guidance for China's monetary policy responses.
monetary policy shocksthe Federal Reserve raises interest ratesmacroeconomic fluctuationinflationcrossborder capital flowmonetary policy response
万方数据
维普
