Open AccessTime-varying impact of U.S. financial conditions on China's inflation: a perspective of different types of events
Author(s) -
Yanhong Feng,
Shuanglian Chen,
Xuan Wang,
Yong Tan
Publication year - 2021
Publication title -
quantitative finance and economics
Language(s) - English
Resource type - Journals
ISSN - 2573-0134
DOI - 10.3934/qfe.2021027
Subject(s) - spillover effect , economics , china , volatility (finance) , financial market , index (typography) , inflation (cosmology) , monetary economics , vector autoregression , econometrics , finance , macroeconomics , geography , physics , world wide web , computer science , theoretical physics , archaeology
In recent years, the frequency adjustment of U.S. monetary policy has a dynamic and global impact on other countries' economy. Based on the financial conditions index (FCI), the paper employs the time-varying parameter vector autoregressive model with stochastic volatility (TVP-VAR-SV) and spillover index respectively to investigate the time-varying impact of U.S. financial conditions (UFCI) on China's inflation (CINF) and its impact mechanisms. Some results are achieved as follows: first, the impacts of UFCI on CINF vary greatly over time both in the dimension of action duration and time point. Second, the effects of UFCI on CINF directly relate to different types of major events, and they are heterogeneous in action duration, degree, direction as well as the trend and range of fluctuations. In addition, UFCI can work on CINF through trade flow and China's financial market, and the China's financial market plays a main conductive role, and its conductive effect changes over time.