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Monetary policy in China: A Factor Augmented VAR approach
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Monetary policy in China: A Factor Augmented VAR approach (2023)Monetary policy in China: A Factor Augmen…The Nexus of Monetary Policy and Shadow Banking in China (2018)The Nexus of Monetary Policy …HOW IMPORTANT ARE TERMS‐OF‐TRADE SHOCKS? (2017)HOW IMPORTANT ARE TERMS‐OF‐TR…The Effectiveness of Monetary Policy in China: Evidence from a Qual VAR (2016)The Effectiveness of Monetary…Monetary policy effectiveness in China: Evidence from a FAVAR model (2014)Monetary policy effectiveness…Interest Rates and Money in the Measurement of Monetary Policy (2014)Interest Rates and Money in t…Factor-augmented VAR analysis of the monetary policy in China (2013)Factor-augmented VAR analysis…The Barnett Critique After Three Decades: A New Keynesian Analysis (2012)The Barnett Critique After Th…Dual-Track Interest Rates and the Conduct of Monetary Policy in China (2011)Dual-Track Interest Rates and…A Habit‐Based Explanation of the Exchange Rate Risk Premium (2010)A Habit‐Based Explanation of …Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach* (2005)Measuring the Effects of Mone…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Effects of Mone…Forward and spot exchange rates (1984)Forward and spot exchange rat…The Optimal Level of Monetary Aggregation (1982)The Optimal Level of Monetary…Economic monetary aggregates an application of index number and aggregation theory (1980)Economic monetary aggregates …The user cost of money (1978)The user cost of moneyThe Making of Index-Numbers; A Study of their Varieties, Tests, and Reliability. (1923)The Making of Index-Numbers; …A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Discretion versus policy rules in practice (1993)Common Risk Factors in Currency Markets (2011)Carry Trades and Global Foreign Exchange Volatility (2012)International Liquidity and Exchange Rate Dynamics * (2015)Economics and Information Theory (1967)General competitive analysis (1971)Exact and superlative index numbers (1976)Dynamic Econometrics (1995)Monetary Theory and Policy (1999)Inflation and Welfare (2000)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Macroeconomics and Reality (1980)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Macroeconomic Shocks and Their Propagation (2016)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)The Quarterly Journal of Economics (2024)Real Business Cycles in a Small Open Economy (1991)Closing Small Open Economy Models (2002)Business cycles in emerging economies: the role of interest rates (2005)Commodity booms and busts in emerging economies (2017)How important are global geopolitical risks to emerging countries? (2018)Inflation and exchange rate pass-through (2020)The federal funds rate and the channels of monetary transmission (1989)Monetary Policy Shocks: What Have We Learned and to What End? (1998)Macroeconomic Forecasting Using Diffusion Indexes (2002)Reserve requirements and the bank lending channel in China (2016)Pushing on a String: State-Owned Enterprises and Monetary Policy Transmission in China (2018)Prospect Theory: An Analysis of Decision under Risk (1979)Entrusted loans: A close look at China's shadow banking system (2019)Local Crowding Out in China (2019)The financing of local government in China: Stimulus loan wanes and shadow banking waxes (2020)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets (2009)Macro Factors in Bond Risk Premia (2009)A new index of financial conditions (2014)Money and output viewed through a rolling window (1998)One currency, two markets: the renminbi's growing influence in Asia-Pacific (2015)Monetary policy, cash holding and corporate investment: Evidence from China (2017)
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References

  • 1984Forward and spot exchange rates2,167 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,986 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach*681 cited
  • 1980Economic monetary aggregates an application of index number and aggregation theory671 cited
  • 2018The Nexus of Monetary Policy and Shadow Banking in China568 cited
  • 2010A Habit‐Based Explanation of the Exchange Rate Risk Premium484 cited
  • 1978The user cost of money373 cited
  • 2017HOW IMPORTANT ARE TERMS‐OF‐TRADE SHOCKS?201 cited
  • 2014Monetary policy effectiveness in China: Evidence from a FAVAR model195 cited
  • 2011Dual-Track Interest Rates and the Conduct of Monetary Policy in China141 cited
  • 1923The Making of Index-Numbers; A Study of their Varieties, Tests, and Reliability.136 cited
  • 1982The Optimal Level of Monetary Aggregation135 cited
  • 2012The Barnett Critique After Three Decades: A New Keynesian Analysis131 cited
  • 2014Interest Rates and Money in the Measurement of Monetary Policy127 cited
  • 2016The Effectiveness of Monetary Policy in China: Evidence from a Qual VAR

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  • 2013Factor-augmented VAR analysis of the monetary policy in China103 cited
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