Will American Monetary Policy Have a Spillover Effect on China's Systemic Risk: Counterfactual Analysis and Causal Intermediary Effect

WEN Bo-hui; NIU Ying-jie

Volume 36 Issue 3

Jun. 2021

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Article Navigation > Journal of Guangdong University of Finance & Economics > 2021 > 36(3): 18-33

WEN Bo-hui, NIU Ying-jie. Will American Monetary Policy Have a Spillover Effect on China's Systemic Risk: Counterfactual Analysis and Causal Intermediary Effect[J]. Journal of Guangdong University of Finance & Economics, 2021, 36(3): 18-33.

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WEN Bo-hui, NIU Ying-jie. Will American Monetary Policy Have a Spillover Effect on China's Systemic Risk: Counterfactual Analysis and Causal Intermediary Effect[J]. Journal of Guangdong University of Finance & Economics, 2021, 36(3): 18-33.

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Will American Monetary Policy Have a Spillover Effect on China's Systemic Risk: Counterfactual Analysis and Causal Intermediary Effect

School of Finance, Tianjin University of Finance and Economics, Tianjin 300222, China

Received Date: 2021-02-03
Available Online: 2021-06-22
Publish Date: 2021-05-28

Abstract

Abstract

With the acceleration of global economic and financial integration, the prevention of systemic risk not only needs to consider the changes in the domestic economic environment, but also fully consider the spillover effect of external policies. Based on Data from December 2007 to December 2019 as research samples, systemic risk is measured with the combination of downward ΔCoES, counterfactual analysis and the causal intermediary effect model of risk-taking channel. The results show that the implementation of quantitative monetary policy in the United States will form a positive spillover to China's systemic risk, while the spillover effect of price monetary policy will be nonlinear; in dealing with the spillover effect of American monetary policy, the average effect of Chinese price-based monetary policy instruments is greater than that of quantitative-based monetary policy instruments; American monetary policy can cause spillover effect on Chinese systemic risk through bank and enterprise risk-taking channel, and the causal mediating effect rate of enterprise risk-taking is higher than that of bank risk-taking.In view of the spillover effect caused by American monetary policy, the Central Bank of China should strengthen coordination and communication with the Federal Reserve, pay more attention to the role of price-based monetary policy instruments in macroeconomic regulation and systemic risk prevention, strengthen macro-prudential supervision, actively construct a macro-prudential framework containing financial stability, and flexibly apply monetary policy instruments to give full play to domestic super-large-scale market advantages, unblock domestic large-scale cycles, and deal with the spillover effects of monetary policy in developed economies on China.
- monetary policy,
- systemic risk,
- financial risk,
- financial integration,
- spillover effect,
- American monetary policy,
- counterfactual analysis,
- causal mediating effect

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References(40)

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