Hot Money and Quantitative Easing: The Spillover Effects of U.S. Monetary Policy on the Chinese Economy

Ho, Steven Wei; Zhang, Ji; Zhou, Hao

doi:10.1111/jmcb.12501

Cited by 23 publications

(23 citation statements)

References 44 publications

(71 reference statements)

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“…The reversed effect of hot money shocks and the negative impact of positive price shocks on the national factor result from the monetary tightening induced by these shocks. Our last finding is also consistent with that of Ho et al (2018), who investigate the spillover effect of the U.S. monetary policy and find that hot money can be the valid channel through which U.S. monetary policy could affect Chinese real estate market.…”

Section: Introductionsupporting

confidence: 90%

“…Other studies also find this phenomenon. For instance,Ho et al (2018) find that the responses of the Chinese economy to U.S. monetary policy shocks and policy uncertainty shocks exhibit different dynamics in periods before and after the federal funds target rate hit the ZLB in the United States, which suggests the existence of structural changes both in the Chinese economy and in the transmission mechanism of U.S. monetary policy.…”

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confidence: 99%

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Monetary policy, hot money and housing price growth across Chinese cities

Huang

Jin

2021

Applied Economics

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We use a dynamic hierarchical factor model to identify the national, regional, and local factors of the city-level housing price growth in China from 2005 to 2015. During the zero-lower-bound (ZLB) episode in the U.S., local factors account for 78% of variations in the month-on-month city-level housing price growth. However, as the time horizon gets longer and longer, the national factor gets a larger and larger variance share. When the horizon is extended to half a year, the variance share of the national factor reaches 51%. This indicates that the city-level housing price growth in China is more of a national wide phenomenon in recent years. We then use a VAR model to investigate the driving forces of the national factor and find that monetary policy and hot money shocks can affect the national housing price growth significantly. A positive monetary policy shock has a significant negative impact on the national factor, which lasts for more than two years. A positive hot money shock does cause a significant increase in the national factor. However, this effect is transitory and gets reversed in half a year. Our analysis indicates that the reversed effect of hot money shocks and the negative impact of positive price shocks on the national factor result from the tightening of monetary policy triggered by these shocks.

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Section: Introductionsupporting

confidence: 90%

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confidence: 99%

Monetary policy, hot money and housing price growth across Chinese cities

Huang

Jin

2021

Applied Economics

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“…in the U.S.A. and economic policies in China. It is evident that exchange and interest rates of emerging economies are directly affected by the monetary policy of U.S.A. (Ho, Zhang, & Zhou, 2018). The uncertainty in interest rate (E.P.U.)…”

Section: Marketisation Impact Epu and Dividend Sustainabilitymentioning

confidence: 99%

Economic policy uncertainty and dividend sustainability: new insight from emerging equity market of China

Sarwar

Xiao

Husnain

2020

Economic Research-Ekonomska Istraživanja

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We examine the influence of Economic Policy Uncertainty (E.P.U.) on dividend sustainabilitydividend termination and dividend initiation decision. Using a sample of 1,375 firms over the time span 2000-2015, our main result reveals that during high E.P.U. past dividend payers are more likely to terminate and past nonpayers are less likely to initiate dividends. However, firms that rely more on internal finance (I.F.), generate high return on invested capital (R.O.I.C.) and state-owned enterprises (S.O.E.s) are less exposed to E.P.U. Therefore, negative (positive) effect of E.P.U. on firms' dividend initiation (termination) decision is mitigated by considering firms' heterogeneous characteristics. Results also show that firms having high asset growth, maturity, profitability, cash holdings and high firm value are more likely to initiate and less likely to terminate dividend during period of high E.P.U. In addition, effects of E.P.U. on dividend sustainability is higher for firms functioning in high marketised areas relative to low marketised groups. These findings are robust under different robustness check. Finding confirms that transparent and stable implementation of economic policies can improve sustainability of firm's dividend policy.

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“…Therefore, the monetary policy tools of the Fed shifted between "conventional" and "unconventional", they were restricted by the effectiveness of expectations of economic subjects on new policies, thereby significantly increasing the US monetary policy uncertainty (MPU) (Husted et al, 2020). Previous studies have shown that the US MPU generates a spillover effect on the economic activities and financial markets in China and other countries through exchange rates, interest rates, trade, capital flow, and other channels (Baker et al, 2016;Ho et al, 2018;Jiang et al, 2019a). With the continuously accelerated global financial integration progress and gradual opening of transaction channels such as "Shanghai-London Stock Connect" and "Shanghai-Hong Kong Stock Connect", the cross-border financial risk shock faced by China is increasingly aggravated.…”

Section: Introductionmentioning

confidence: 99%

Nonlinear Spillover Effect of Us Monetary Policy Uncertainty on China’s Systematic Financial Risks

Ouyang

Wei

Васа

2022

Journal of Business Economics and Management

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Monetary policy uncertainty (MPU) not only imposes a great impact on the systematic financial risks of a country but also generates a significant spillover effect on countries having close economic exchanges with the former under the background of global economic integration. With the daily return rates of 64 listed financial companies in China from February 2006 to September 2020 used as the samples, China’s systematic financial risks were measured in this research by using long-run marginal expected shortfall (LRMES). On this basis, an FAVAR model with time-varying parameters was constructed to empirically investigate the spillover effect of US MPU on China’s systematic financial risks and its main transmission channels. Results showed that within the sample period (February 2006 – September 2020), US MPU generated a significant positive spillover effect on China’s systematic financial risks, namely, China’s systematic financial risks would be aggravated if the level of US MPU was elevated. From different time intervals, the spillover level was particularly high during global financial crises and global COVID-19 pandemic, indicating that the spillover effect of MPU is nonlinear and closely related to global major sudden risk events. Through the further research, it is found that this effect is mainly transmitted through short-term capital flow, interest rate, and economic uncertainty-induced channels, among which the short-term capital flow is the most important.

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Hot Money and Quantitative Easing: The Spillover Effects of U.S. Monetary Policy on the Chinese Economy

Cited by 23 publications

References 44 publications

Monetary policy, hot money and housing price growth across Chinese cities

Monetary policy, hot money and housing price growth across Chinese cities

Economic policy uncertainty and dividend sustainability: new insight from emerging equity market of China

Nonlinear Spillover Effect of Us Monetary Policy Uncertainty on China’s Systematic Financial Risks

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