Currency Regulation and the Effective Identification of Monetary Policy Shocks in China——Based on Sign Restriction SVAR Model
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Abstract In order to effectively identify monetary policy shocks, this paper adopts the high-frequency monthly data between 2001 and 2017, and uses sign restriction SVAR model to set up a shock system of currency policy which includes both quantity and price variables. The empirical results show that the identification of currency policy shocks based on sign restriction SVAR can take in both variables of quantity and price-based monetary policy. Under the shocks of tight monetary policies, the productivity will decrease and inflation will be reduced effectively. When compared with traditional model, productivity reacts quicker to shocks but weaker in intensity. China should maintain the balance between quantity and price druing the transformation of monetary policies.
CHEN Chen. Currency Regulation and the Effective Identification of Monetary Policy Shocks in China——Based on Sign Restriction SVAR Model. Economic Survey, 2018, 35(6): 0143.
2018, Vol. 35 
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