The spillover effect of international monetary policy on China's financial market

The spillover effect of international monetary policy on China's financial market

This study analyzes the impact of global financial integration and monetary policies from the United States, European Union and Japan on China's financial markets post-pandemic. Using TVP-FAVAR (Time-Varying Parameter Factor Augmented Vector Autoregression) and TVP-VAR-DY (Time-Varying Paramete...

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Bibliographic Details
Main Authors: Cunyi Yang, Li Chen, Bin Mo
Format: Article
Language:English
Published: AIMS Press 2023-10-01
Series:Quantitative Finance and Economics
Subjects:
monetary policy
financial market stress index
tvp-favar
tvp-var-dy
Online Access:https://www.aimspress.com/article/doi/10.3934/QFE.2023026?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/QFE.2023026?viewType=HTML

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