International spillovers of U.S. monetary uncertainty and equity market volatility to China’s stock markets

Due to the global economy that is currently being increasingly integrated and liberalized, the cross-country transmission of U.S. monetary policy surprises has become a critical issue attracting scholarly attention. This research thus extends the existing literature by assessing the causal linkages among U.S. monetary policy uncertainty (USMPU), equity market volatility, and China’s stock price index over the period from January 1994 to August 2021. We apply Granger causality in quantile analysis to explore the relationships in each quantile of the distribution in a comprehensible manner. The results indicate that equity market volatility and China’s stock price dynamics play little role in affecting USMPU. We also find that only greater changes in both positive monetary policy uncertainty and stock prices lead to changes in equity market volatility. Furthermore, fluctuations in monetary policy uncertainty and equity market volatility in the United States Granger-cause China’s stock prices. Knowing such causality results could prevent market participants from adopting a one-size-fits-all strategy.     

Transmission mechanisms of conventional and unconventional monetary policies in open economies

This paper provides an empirical examination on the transmission mechanisms of conventional and unconventional monetary policies for two non-EMU countries, Switzerland and the United Kingdom, over the period 1990–2017. We investigate the role of stock prices and consumer expectations in the transmission of monetary policy. We propose two distinct structural VAR models. The model for the case of conventional monetary policy covers the pre-2009 period, while the model for the case of unconventional monetary policy covers the post-2009 period. The official bank policy rate and central bank’s reserve assets are used as instruments for conventional and unconventional monetary policy. The analysis reveals that the inclusion of a forward-looking informational variable of near-term development in economic activity and a financial variable such as the stock prices is of key importance for the monetary policy assessment. We provide evidence for the existence of a consumer confidence channel in the transmission of conventional monetary policy. Moreover, the long-term government bond yields, the exchange rate and stock prices have an important role in the transmission of unconventional monetary policy. Our findings indicate that conventional and unconventional monetary policies have short-run expansionary effects in both countries by increasing output, consumption, investment, stock prices and wages, while reducing unemployment.

     

THE ROLE OF COMMODITY PRICES IN MACROECONOMIC POLICY IN SOUTH AFRICA

This paper examines whether commodity prices can be used as signal for informing macroeconomic policy in South Africa using the new approach for testing Granger causality developed by Toda and Yamamoto (1995 ). Evidence of causality from average gold price to interest rate, money, exchange rate and the consumer price index was observed. Again, evidence of causality was observed from metals price index to interest rate, money and exchange rate. The results suggest there is merit in using South Africa's average gold price and the metals price index of the International Monetary Fund as informational variables in setting monetary policy.     

Do house prices play a role in unconventional monetary policy transmission in Japan?

This study comprehensively analyzes the role of house prices in the transmission mechanism of unconventional monetary policy (UMP) in Japan using structural vector autoregression models. The empirical results show that house prices are significantly affected by UMP shocks, and fluctuations in house prices considerably affect macroeconomic variables. With a set of robustness checks and extensions, the findings indicate that house prices provide important channels for UMP transmission.     

Pass-through Effects of Global Commodity Prices on China＇s Inflation： An Empirical Investigation

The present paper uses a two-step approach to estimate the pass-through effects of changes in international commodity prices and the RMB exchange rate on domestic consumer price inflation in China. We first estimate the pass-through effects of international commodity prices on producer prices and then estimate the pass-through effects of producer price inflation on consumer price inflation. We find that a l O-percent increase in international commodity prices would lead to China＇ s producer prices increasing by 1.2 percent 3 months later, which in turn would increase China＇ s domestic inflation by 0.24 percent over the same period. However, a 10-percent appreciation of the RMB exchange rate against the US dollar would help to reduce increases in producer prices by 4.4 percent over the following 3 months, which in turn would lead to a 0. 89-percent decline in consumer price inflation over the same period. Our findings suggest that appreciation of the RMB in an environment of rising global commodity prices and a weak US dollar could be an effective instrument to help contain inflation in China.     

Trade and Tax Reforms in a Cash‐in‐Advance Economy

We examine the effects of both tariff‐only and coordinated trade‐tax reforms on market access, government revenue, and welfare for a small monetary economy, under the assumption that a certain fraction of purchases of each good must be financed with cash held in advance. We show that if the cash requirement ratio in the exportable sector is greater than that in the importable, then, contrary to previous results, (i) a uniform radial reduction of tariffs has ambiguous effects on both welfare and market access, (ii) tariff and consumption tax reforms that leave consumer prices unchanged may be more efficient in improving market access and welfare than a reform that involves only tariffs, and (iii) export and production tax reforms that keep producer prices unchanged may be welfare deteriorating.     

Oil price shocks and producer prices in Taiwan: an application of non-linear error-correction models

This study estimated the short-term and long-term pass-through effects of oil prices on inflation in Taiwan from 1981M1-2011M5, employing the producer price general index and various basic sub-indices for evaluation. The empirical results show that oil prices have long-term and short-term pass-through effects on Taiwan’s producer price indices. Moreover, producer prices have significant non-linear error-correction relationships with the oil price, output and wages, suggesting asymmetric and time-variant properties of error correction. When the deviation of price in the equilibrium is greater, the error-correction adjustment will be faster. Our findings could therefore enable the monetary authorities and manufacturers to formulate a more effective policy from the oil price shocks.     

资产价格在货币政策传导中的作用

文章对资产价格在货币政策传导中的作用进行实证研究，结果表明，我国同时存在着从中央银行到资产价格的高效传导和从资产价格到实体经济的低效传导，资产价格的波动损害了货币政策的传导效率以及金融体系的稳定性。在这种情况下，我国中央银行不应把资产价格纳入货币政策的最终目标，而应适时和适度地对资产价格作出反应。     

Exchange Rate and Inflation Dynamics in a Resource Rich Setting: The Case of Zambia

This paper investigates the relationship between copper prices, the exchange rate and consumer price inflation in Zambia using a structural vector autoregression with quarterly data for 1995–2014 and a combination of sign and zero restrictions to identify relevant global and domestic shocks. The paper makes two contributions. First, it provides new measures of exchange rate pass through (ERPT), based on less restrictive assumptions than previous estimates, to show how changes in the value of the kwacha are reflected in changes in consumer prices (distinguishing food and non‐food inflation). Second, the ERPT is disaggregated to demonstrate that measured ERPT depends on the nature of the shock, with implications for policy responses. Although the price of copper is the most important driver of the exchange rate, the fluctuations it caused are associated with a low pass‐through of about 7% (consistent with a period of relatively low inflation). Exchange rate fluctuations caused by monetary shocks, in contrast, come with a pass‐through of up to 25% (and even more for food prices). A fast response by monetary authorities can mitigate the adverse effects of exchange rate shocks.     

House prices, money, credit, and the macroeconomy

This paper assesses the links between money, credit, house prices,and economic activity in industrialized countries over the lastthree decades. The analysis is based on a fixed-effects panelvector autoregression, estimated using quarterly data for 17industrialized countries spanning the period 1970–2006.The main results of the analysis are the following. (i) Thereis evidence of a significant multidirectional link between houseprices, monetary variables, and the macroeconomy. (ii) The linkbetween house prices and monetary variables is found to be strongerover a more recent sub-sample from 1985 to 2006. (iii) The effectsof shocks to money and credit are found to be stronger whenhouse prices are booming.     

The Money-prices Nexus for Malaysia: New Empirical Evidence from the Time-varying Cointegration and Causality Tests

Abstract

The main objective of this study is to empirically re-investigate the money-prices nexus for Malaysia through the Johansen multivariate cointegration and the modified Wald (MWALD) causality techniques. This study covered the monthly dataset from 1971:M1 to 2008:M11. The Johansen cointegration test suggests that the variables under investigation are co-move in the long run. Furthermore, the MWALD causality test shows a bidirectional causal relationship between money supply (M2) and aggregate prices, meaning that both the monetarist's and also the structuralists' views are vindicated in the Malaysian economy. However, the time-varying cointegration and causality tests indicate that the cointegrating and also the causal relationships are not stable over the analysis period. These results suggest that inflation in Malaysia is not purely a monetary phenomenon. Therefore, implementing a tighter monetary policy may not be an effective macro-economic instrument in managing the inflationary behaviour in the Malaysian economy.     

The International Transmission of Monetary Policy in a Dollar Pricing Model

This paper analyses the international transmission of monetary policy in the case where all export prices are set in US dollars. “Dollar pricing” implies that the international effects of US monetary shocks are different from those of European shocks because of an asymmetric exchange rate pass-through to import prices. A dollar pricing model can explain the observed asymmetry in the transmission of monetary policy: US monetary policy affects US output more than European monetary policy affects European output. I also show that the current account is an important channel through which monetary policy affects welfare. The paper concludes that under dollar pricing a monetary expansion is a beggar-thy-neighbour policy.     

Autonomy and Effectiveness of Chinese Monetary Policy under the De Facto Fixed Exchange Rate System

This paper uses monthly data to examine the autonomy and effectiveness of monetary policy in China under the de facto fixed exchange rate arrangement in place from 1998 to 2005. The results obtained from Granger causality tests in a vector autoregression framework indicate that： （i） China actually conducted independent monetary policy during the fixed exchange rate period; and （ii） market-oriented policy measures are impotent in influencing real output and prices. The framework of the investigation into the autonomy of monetary policy adapts to the Chinese economic condition that primary loan and deposit rates are set by the central bank. Based on the empirical results, the present paper provides alternative strategies to improve the effectiveness of monetary policy in China, including developing the financial system and solidifying microeconomic fundamentals instead of forcing the adaptation of a more flexible exchange rate regime.     

A STOCHASTIC ESTIMATION FRAMEWORK FOR COMPONENTS OF THE SOUTH AFRICAN CONSUMER PRICE INDEX

Under inflation targeting in South Africa, it is important to monitor and forecast changes in prices, not only for aggregate measures of the consumer price index, but also its underlying sub-components. Hypotheses about sectoral transmission of policy and shocks are often more specific than hypotheses about overall transmission. This study employs a stochastic framework to estimate richly specified equilibrium correction models, four-quarters-ahead, for the 10 sub-components of the first targeted measure of the consumer price index, CPIX. The stochastic trends are estimated by the Kalman filter, and interpreted as capturing structural breaks and institutional change, a frequent cause of forecast failure. The trends suggest the design of deterministic split trends for use in recursive forecasting models, towards more accurate overall inflation forecasting. This research also has practical use for monetary policy in allowing identification of sectoral sources of inflation.     

The Exchange Rate and the Monetary Transmission Mechanism in Germany

For the conduct of monetary policy under floating exchange rates it is important to understand the role of the exchange rate in the monetary transmission mechanism (MTM). The timing and the magnitude of the effects of a change in the exchange rate on output and inflation may be quite different from traditional interest rate channels, thereby affecting optimal policy. In this paper we examine the exchange rate channel in the MTM in Germany by estimating an identified VAR model. Two features of the results are highlighted. The effect of a policy shock on the exchange rate accelerates the pass-through of policy into prices and leads to a different response of the various components of GDP. We then show that these qualitative effects can be duplicated in a general equilibrium model for a semi-small open economy with sticky prices and wages that is calibrated to capture the main features of the German economy.     

A comparative analysis of monetary responses to global oil price changes: net oil producing vs. net oil consuming countries

In this paper, we examine monetary responses to global oil price changes across a panel of seven major net oil consuming countries and three major net oil producing countries using monthly data from January 1986 to August 2013. Employing a variety of linear and nonlinear causality tests, our main findings are as follows. First, oil price movements directly affect monetary aggregates in both net oil consuming and net oil producing countries. Second, nonlinear causality tests reveal strong causal influences from oil prices to monetary aggregates. Third, nonlinear parametric and nonparametric models reveal oil price changes account for significant changes in monetary aggregates in Denmark, Germany, the Netherlands, and the US among net oil consuming countries and in Canada and Mexico among net oil producing countries. Finally, monetary aggregates in these countries respond nonlinearly only to oil price increases.     

美国量化宽松政策对新兴经济体股票市场价格的影响

2008年金融危机后美国采取量化宽松货币政策造成大量流动性进入新兴经济体股票市场。通过建立面板VAR模型,运用脉冲响应函数和方差分解技术分析了美国货币供应M1、股票市场以及联邦基金利率透过汇率、利率和预期方式对新兴经济体股票市场价格指数产生的影响。结果表明,美国量化宽松货币政策对新兴经济体股票市场价格具有正向溢出效应,利率渠道影响效果显著。     

Macroeconomic impact of monetary policy shocks: Evidence from recent experience in Thailand

This paper investigates the monetary transmission mechanism in Thailand, employing a VAR approach. It is found that the Bank of Thailand has leverage over the real interest rate in the short run due to inflation inertia. It is also found that the Thai monetary transmission mechanism has important international dimensions. More specifically, monetary contraction has stronger negative effects on import demand in the short run even though import prices fall.     

Macroeconomic Variables and Stock Prices in Malaysia: An Empirical Analysis

The article investigates the dynamic interactions between seven macroeconomic variables and the stock prices for an emerging market, Malaysia, using cointegration and Granger causality tests. The results strongly suggest informational inefficiency in the Malaysian market. The bivariate analysis suggests cointegration between the stock prices and three macroeconomic variables – consumer prices, credit aggregates and official reserves. From bivariate error-correction models, we note the reactions of the stock prices to deviations from the long run equilibrium. These results are further strengthened when we extend the analysis to multivariate settings. We also note some evidence that the stock prices are Granger-caused by changes in the official reserves and exchange rates in the short run.     

货币政策与家庭金融资产异动的关联:1997～2009

我国货币政策在传导过程中存在明显的有效性缺失问题,家庭金融资产构成的差异与货币政策之间具有一定的效应关联。货币政策作用于按债务比与储蓄率组合划分的不同类型家庭会产生不同的效果,应在货币政策的选择中加以考量。建议完善社会保障和消费信贷制度,切实提高整体收入水平。