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Beggar-Thy-Neighbor? The Spillover Effect of EMU Nominal Negative Interest Rate Policy on China’s Monetary Policy
Jiangxi University of Finance and Economics, Nanchang, China
East China Jiaotong University, Nanchang, China
- 1 Jiangxi University of Finance and Economics, Nanchang, China
- 2 East China Jiaotong University, Nanchang, China
Journal of Mathematical Finance·Volume 12 (2022)·Pages 702–721·Published 20 October 2022·DOI10.4236/jmf.2022.124037
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Abstract
We estimate international spillover effects of EMU nominal negative interest rate policy (NIRP) on China’s Monetary Policy. Using a LT-TVP-VAR we find that an expansionary EMU shock has short-term effects on Chinese financial basic variables and final targets. It leads to a Euro exchange rate depreciation, Chinese interest rate’ rise and decrease of Chinese output, while other variables’ responses are not stable. NIRP in the Euro zone has the negative spillover effects on Chinese monetary policy mainly because of expenditure switching effect of trade channel.
KeywordsEMU Nominal Negative Interest Rate PolicySpilloversChina’s Monetary PolicyTwo-Tier SystemLT-TVP-VAR
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