Time-Varying Volatility, Precautionary Saving and Monetary Policy

2011 ◽  
Author(s):  
Michael Hatcher
Keyword(s):  
Monetary Policy ◽  
Precautionary Saving ◽  
Time Varying

Time‐Varying Response of Monetary Policy to Macroeconomic Conditions

1999 ◽  
Vol 65 (3) ◽  
pp. 584-593
Author(s):  
Chung‐Hua Shen ◽  
David R. Hakes ◽  
Kenneth Brown
Keyword(s):  
Monetary Policy ◽  
Time Varying ◽  
Macroeconomic Conditions

scholarly journals The Time-Varying Effects of Monetary Policy on House Prices in China: An Application of TVP-VAR Model with Stochastic Volatility

2018 ◽  
Vol 13 (4) ◽  
pp. 149 ◽  
Author(s):  
Weina Cai ◽  
Sen Wang
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
House Prices ◽  
Var Model ◽  
Time Varying ◽  
Credit Channel ◽  
Monetary Policy Shocks ◽  
Time Varying Parameter ◽  
Policy Shocks ◽  
Interest Rate Channel

The boom of housing market in China in recent years has attracted great concerns from all over the world. How monetary policy affects house prices in China becomes an essential topic. This paper studies the time-varying effects of monetary policy on house prices in China during 2005.7-2017.10, by using a time-varying parameter VAR model. This paper obtains three interesting results. First, there are time-varying features of the responses of house prices to monetary policy shocks half-year and 1-year ahead, no matter through interest rate channel or through credit channel. Second, interest rate channel and credit channel have been enhanced since financial crisis in 2008. Third, the responses of nominal house prices to monetary policy in China are mainly driven by the responses of real house prices, instead of inflation. Finally, this paper gives proper suggestions for each finding respectively to central bank in China.

The time varying effect of monetary policy on stock returns

2017 ◽  
Vol 160 ◽  
pp. 54-58 ◽  
Author(s):  
Dennis W. Jansen ◽  
Anastasia Zervou
Keyword(s):  
Monetary Policy ◽  
Stock Returns ◽  
Time Varying ◽  
Effect Of Monetary Policy
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