scholarly journals The Post-COVID-19 Economic Policy Uncertainty and the Effectiveness of Monetary Policy: Evidence From China

2021 ◽  
Vol 9 ◽  
Author(s):  
Yuegang Song ◽  
Yanling Yang ◽  
Jianzhong Yu ◽  
Zhichao Zhao
Keyword(s):  
Monetary Policy ◽  
Economic Policy ◽  
Central Bank ◽  
Threshold Effect ◽  
Policy Instrument ◽  
Output Gap ◽  
Policy Uncertainty ◽  
Time Varying ◽  
Vector Autoregressive ◽  
Economic Policy Uncertainty

The outbreak of the COVID-19 pandemic has caused an upsurge economic policy uncertainty (EPU). Study on the time-varying effect of EPU is of substantial implication for the central bank in implementation of monetary policy. To empirically investigate the time-varying effect of EPU, the paper considers the shock of the monetary policy implemented by China's central bank on different economic variables including interest rate, output gap, and inflationary gap using the latent threshold time-varying parameter vector autoregressive model (LT-TVP-VAR Model). Data period is chosen to be January 2015 through April 2021. Our findings show that (i) EPU has a significant threshold effect on the shock of quantitative monetary policy instrument and the shock of price-based monetary policy, and that the two types of policy are positively correlated; (ii) the price-based monetary policy instrument has a significant counter-cyclical effect on both output gap and inflationary gap; (iii) relative to the quantitative monetary policy instrument, the price-based monetary policy instrument has a more significant counter-cyclical effect on output gap; and (iv) a higher level of EPU is associated with a more significant monetary policy effect on output gap and inflationary gap.

scholarly journals Economic policy uncertainty, monetary policy, and housing price in China

2020 ◽  
Vol 23 (1) ◽  
pp. 235-252 ◽  
Author(s):  
Sen Wang ◽  
Yanni Zeng ◽  
Jiaying Yao ◽  
Hao Zhang
Keyword(s):  
Monetary Policy ◽  
Economic Policy ◽  
Housing Price ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty

Economic Policy Uncertainty, Monetary Policy Uncertainty, and Bank Earnings Opacity

2018 ◽  
Author(s):  
Justin Y. Jin ◽  
Kiridaran Kanagaretnam ◽  
Yi Liu ◽  
Gerald J. Lobo
Keyword(s):  
Monetary Policy ◽  
Economic Policy ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty

scholarly journals Does Economic Policy Uncertainty Affect Exchange Rate in China and Japan? Evidence from Threshold Cointegration with Asymmetric Adjustment

2022 ◽  
Vol 12 (1) ◽  
pp. 28-36
Author(s):  
Riadh El Abed ◽  
Zouheir Mighri ◽  
Abderrazek Ben Hamouda
Keyword(s):  
Economic Policy ◽  
Threshold Effect ◽  
Adjustment Process ◽  
Policy Uncertainty ◽  
Threshold Cointegration ◽  
Asymmetric Effect ◽  
Asymmetric Adjustment ◽  
Economic Policy Uncertainty ◽  
Nominal Exchange Rates ◽  
China And Japan

In this article, we estimate the links between nominal exchange rates (JPY/USD and CNY/USD) and economic policy uncertainty (EPU) in China and Japan by employing monthly data during the period span from January 1997 to September 2020. The threshold cointegration approach focus in TAR, M-TAR, C-TAR and C-MTAR is used. Results indicate the evidence of asymmetric effect in the adjustment process to equilibrium and the M-TAR is the best model to detect threshold effect for the (CNY/USD-CNYEPU) pair and the C-TAR is the best model to detect threshold effect for the (JPY/USD-JPYEPU) pair.  

scholarly journals Measuring Economic Policy Uncertainty*

2016 ◽  
Vol 131 (4) ◽  
pp. 1593-1636 ◽  
Author(s):  
Scott R. Baker ◽  
Nicholas Bloom ◽  
Steven J. Davis
Keyword(s):  
Economic Policy ◽  
Stock Price ◽  
Price Volatility ◽  
The United States ◽  
Policy Uncertainty ◽  
Firm Level ◽  
Vector Autoregressive ◽  
Economic Policy Uncertainty ◽  
Level Data ◽  
The 1960S

Abstract We develop a new index of economic policy uncertainty (EPU) based on newspaper coverage frequency. Several types of evidence—including human readings of 12,000 newspaper articles—indicate that our index proxies for movements in policy-related economic uncertainty. Our U.S. index spikes near tight presidential elections, Gulf Wars I and II, the 9/11 attacks, the failure of Lehman Brothers, the 2011 debt ceiling dispute, and other major battles over fiscal policy. Using firm-level data, we find that policy uncertainty is associated with greater stock price volatility and reduced investment and employment in policy-sensitive sectors like defense, health care, finance, and infrastructure construction. At the macro level, innovations in policy uncertainty foreshadow declines in investment, output, and employment in the United States and, in a panel vector autoregressive setting, for 12 major economies. Extending our U.S. index back to 1900, EPU rose dramatically in the 1930s (from late 1931) and has drifted upward since the 1960s.

scholarly journals Research on the Time-Varying Impact of Economic Policy Uncertainty on Crude Oil Price Fluctuation

2020 ◽  
Vol 12 (16) ◽  
pp. 6523 ◽  
Author(s):  
Yanhong Feng ◽  
Dilong Xu ◽  
Pierre Failler ◽  
Tinghui Li
Keyword(s):  
Economic Policy ◽  
Crude Oil ◽  
Price Volatility ◽  
Oil Price ◽  
Policy Uncertainty ◽  
Time Varying ◽  
Crude Oil Price ◽  
Price Fluctuation ◽  
Economic Policy Uncertainty ◽  
Oil Price Fluctuation

Due to multiple properties, the international crude oil price is influenced by various and complex interrelated factors from different determinants in different periods. However, the previous studies on crude oil price fluctuation with economic policy uncertainty (EPU) haven’t taken a wider range of volatility sources into their analysis frameworks. In this paper, the time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model is introduced in order to avoid important information loss, as well as capture the time-varying impact on crude oil price fluctuation by EPU. Furthermore, the differences on crude oil fluctuations from net-oil exporting and net-oil importing country’s EPU are also elaborated. Here are three findings as follows. First, the impacts of global EPU on the crude oil price volatility show time-varying characteristics both in time duration and time-points. Second, the instantaneous impacts of global EPU on the price volatility of crude oil are directly relevant to major events, and the impacts are different in event types as well. Third, the time-varying characteristics depicting the impacts of EPU in countries who are net-oil exporter and net-oil importer on price volatility of crude oil show heterogeneity in fluctuation range, fluctuation intensity, and stage.

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