Spillover Effects of China's Monetary Policy on RCEP Members:An Em-pirical Analysis Based on GVAR Model
By constructing a global vector autoregression(GVAR)model,the spillover effects of China's mon-etary policy on RCEP members'macroeconomic objectives were analyzed empirically from the perspective of China based on the monthly data from 2000 to 2019.The results show that China's monetary policy has sig-nificant spillover effects on RCEP members,but the spillover effects are heterogeneous.In response to real GDP,China's quantitative monetary policy has long-term positive spillover effects on most members,while the price based monetary policy has long-term negative spillover effects.In terms of the response to the infla-tion rate,the price based monetary policy only has long-term spillover effects on ASEAN,while the quantita-tive monetary policy has long-term spillover effects on South Korea and ASEAN,and ASEAN's long-term re-sponse is relatively active.Further analysis shows that international trade channels play the decisive role in China's monetary policy spillover,while exchange rate channels,interest rate channels and capital market channels play the supporting role.
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万方数据
