Comparison of Monetary Policy Actions and Central Bank Communication on Tackling Asset Price Bubbles-Evidence from China's Stock Market

作者:Sun, O(Sun, Ou)^[1];Liu, ZX(Liu, Zhixin)^[1]  

We examine the different effects of monetary policy actions and central bank communication on China's stock market bubbles with a Time-varying Parameter SVAR model. We find that with negative responses of fundamental component and positive responses of bubble component of asset prices, contractionary monetary policy induces the observed stock prices to rise during periods of large bubbles. By contrast, central bank communication acts on the market through expectation guidance and has more significant effects on stock prices in the long run, which implies that central bank communication be used as an effective long-term instrument for the central bank's policymaking.

KeyWords Plus:VECTOR AUTOREGRESSIONS;IMPACT  

通讯作者地址:Sun, O (通讯作者)

Beihang Univ, Sch Econ & Management, Beijing, Peoples R China.

地址:

[ 1 ]Beihang Univ, Sch Econ & Management, Beijing, Peoples R China

电子邮件地址:sunou@buaa.edu.cn