Dynamic connectedness among monetary policy cycle, financial cycle and business cycle in China

Li, Xin; Yan, Jing; Wei, Xiaohui

doi:10.1016/j.eap.2021.01.014

Cited by 21 publications

(8 citation statements)

References 37 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…It illustrates that the financial cycle generates a rapid downward response after a financial event, while TCI, TED spread, and VIX continue to accumulate and deepen shocks over a while (see Mei et al, 2020;Adarov, 2022). It also proves that the USA plays a driving role in the diffusion of financial shocks, because the VIX index and TED spread are influenced by the USA stock market and monetary policies (see Li et al, 2021;Polat, 2022). Moreover, we find that the persistence of the global financial cycle is longer than the business cycle, which is consistent with the study of Borio (2014), Borio et al (2019), and Skare and Porada-Rochon (2020).…”

Section: Global Financial Cycle and Economymentioning

confidence: 90%

“…Adrian et al (2022) argued that financial conditions significantly affect growth-at-risk and that loose financial conditions have a causal relationship with future downside risk. More noteworthy is that the financial cycles are an essential reference for predicting the risk of economic recession and a prerequisite for dealing with economic fluctuations (see Borio et al, 2019;Li et al, 2021).…”

Section: Literature Reviewmentioning

confidence: 99%

“…The financial cycle has been one of the hot topics since the global financial crisis. Its volatility is often associated with fluctuations in credit, housing, bond, and equity markets (see Li et al, 2021;de Winter et al, 2022). On this basis, a large number of studies have obtained the durations and amplitudes of national/global financial cycles based on data from single or multiple financial submarkets as mentioned above.…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

The mean reversion/persistence of financial cycles: Empirical evidence for 24 countries worldwide

Zhang²,

Fan³

et al. 2023

View full text Add to dashboard Cite

Research background: The globalization trend has inevitably enhanced the connectivity of global financial markets, making the cyclicality of financial activities and the spread of market imbalances have received widespread attention, especially after the global financial crisis. Purpose of the article: To reduce the negative effects of the contagiousness of the financial cycles, it is necessary to study the persistence of financial cycles and carve out the total connectedness, spillover paths, and sources of risks on a global scale. In addition, understanding the relationship between the financial cycle and economic development is an important way to prevent financial crises. Methods: This paper adopts the nonlinear smoothing transition autoregressive (STAR) model to extract cyclical and phase characteristics of financial cycles based on 24 countries during 1971Q1?2015Q4, covering developed and developing countries, the Americas, Europe, and Asia regions. In addition, the frequency connectedness approach is used to measure the connectedness of financial cycles and the relationship between the global financial cycle and the global economy. Findings & value added: The analysis reveals that aggregate financial cycles persist for 13.3 years for smoothed and 8.7 years for unsmoothed on average. The national financial cycles are asynchronous and exhibit more prolonged expansions and faster contractions. The connectedness of financial cycles is highly correlated with systemic crises and contributes to the persistence and harmfulness of shocks. It is mainly driven by short-term components and exhibits more pronounced interconnectedness within regions than across regions. During the financial crisis, the global financial cycle movements precede and are longer than the business fluctuations. Based on the study, some policy implications are presented. This paper emphasizes the impact of systemic crises on the persistence of financial cycles and their connectedness, which contributes to refining research related to the coping mechanisms of financial crises.

show abstract

Section: Global Financial Cycle and Economymentioning

confidence: 90%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

The mean reversion/persistence of financial cycles: Empirical evidence for 24 countries worldwide

Zhang²,

Fan³

et al. 2023

View full text Add to dashboard Cite

show abstract

“…This methodology has proven to be useful in exploring network-based timevarying spillovers and has been employed by previous studies (see e.g. Dahir et al, 2019;Ji at al., 2019;Urom et al, 2020;Urom et al, 2021a;Bouri et al, 2021;Urom et al, 2021b;Li et al, 2021 ).…”

Section: Empirical Methodologymentioning

confidence: 99%

Dynamic integration and transmission channels among interest rates and oil price shocks

Urom

Guesmi

Abid

et al. 2023

The Quarterly Review of Economics and Finance

View full text Add to dashboard Cite

“…Economic shocks have a significant effect on both developed and developing countries. According to research conducted in China between 1998 and 2018, financial cycle shocks significantly impact the Chinese economic cycle and the formulation of monetary policy to be implemented (Li et al, 2021). In greater detail, Fidrmuc & Korhonen (2010) examines the effects of the global financial crisis in China and India.…”

Section: Introductionmentioning

confidence: 99%

The Effectiveness of Monetary Policy and the Effect of Global Economic Shock on Net Financial Accounts in Indonesia

Seftarita

Ferayanti

Suriani

2022

MIMBAR, Jurnal Sosial dan Pembangunan

View full text Add to dashboard Cite

The majority of recent research has looked at the effect of the crisis on capital flows. Using Indonesia as a case study, this study examines the efficacy of monetary policy and the impact of global economic shocks on the Net Financial Account, a component of the Balance of Payments, from 1989 to 2020. Dummy variables were used to assess global economic shocks for three crisis periods: the Asian financial crisis in 1998, the global financial crisis in 2008, and the Covid-19 pandemic, which has been ongoing since the end of 2019. The Autoregressive Distributed Lag (ARDL) model was used to examine the long-term and short-term relationships between variables. The findings of the calculation reveal that all variables, that is, monetary policy and global economic shocks, have a short-term and long-term relationship with the Net Financial Account. It is advised that the government and monetary authorities continue to improve economic fundamentals, including financial system stability.

show abstract

Dynamic connectedness among monetary policy cycle, financial cycle and business cycle in China

Cited by 21 publications

References 37 publications

The mean reversion/persistence of financial cycles: Empirical evidence for 24 countries worldwide

The mean reversion/persistence of financial cycles: Empirical evidence for 24 countries worldwide

Dynamic integration and transmission channels among interest rates and oil price shocks

The Effectiveness of Monetary Policy and the Effect of Global Economic Shock on Net Financial Accounts in Indonesia

Contact Info

Product

Resources

About