Article citationsMore>>

Potjagailo, G. (2016) Spillover Effects from Euro Zone Monetary Policy across the EU: A Factor-Augmented VAR Approach. Kiel Working Papers, No. 2033.
https://doi.org/10.1016/j.jimonfin.2017.01.003

has been cited by the following article:

• TITLE: Beggar-Thy-Neighbor? The Spillover Effect of EMU Nominal Negative Interest Rate Policy on China’s Monetary Policy

  AUTHORS: Lisha Zuo

  KEYWORDS: EMU Nominal Negative Interest Rate Policy, Spillovers, China’s Monetary Policy, Two-Tier System, LT-TVP-VAR

  JOURNAL NAME: Journal of Mathematical Finance, Vol.12 No.4, November 11, 2022

  ABSTRACT: We estimate international spillover effects of EMU nominal negative interest rate policy (NIRP) on China’s Monetary Policy. Using a LT-TVP-VAR we find that an expansionary EMU shock has short-term effects on Chinese financial basic variables and final targets. It leads to a Euro exchange rate depreciation, Chinese interest rate’ rise and decrease of Chinese output, while other variables’ responses are not stable. NIRP in the Euro zone has the negative spillover effects on Chinese monetary policy mainly because of expenditure switching effect of trade channel.