Research Article
The Impact of US Economy Policy Uncertainty on the Chinese Monetary Policy Effectiveness: Evidence from Quantile Regression Analysis
@INPROCEEDINGS{10.4108/eai.18-11-2022.2326830, author={Yueli Tang and Jing Yang}, title={The Impact of US Economy Policy Uncertainty on the Chinese Monetary Policy Effectiveness: Evidence from Quantile Regression Analysis}, proceedings={Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China}, publisher={EAI}, proceedings_a={ICEMME}, year={2023}, month={2}, keywords={component; chinese monetary policy efficiency; us epu; asymmetric effect; quantile regression}, doi={10.4108/eai.18-11-2022.2326830} }- Yueli Tang
Jing Yang
Year: 2023
The Impact of US Economy Policy Uncertainty on the Chinese Monetary Policy Effectiveness: Evidence from Quantile Regression Analysis
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2326830
Abstract
In order to cope with the impact of US economic policy uncertainty (EPU) on the Chinese macroeconomy, the paper studies the impact from the US EPU on the Chinese monetary policy efficiency. By constructing the quantile regression model, the paper analyzes that the impact of US EPU on the efficiency of the Chinese monetary policy based on interest rate and money supply operation across quantiles. It is found that when consumer price index (CPI), industrial production index (IP) and international trade surplus (ITD) are booming or depressed, the effect of Chinese monetary policy is asymmetrically affected by US EPU, and the degree of impact is not consistent across quantile levels.
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