Abstract
With the rapid development and continuous advancement
of economic globalization, the links between countries around the world have
become increasingly tight. Among them, the United States, as the world's
largest economy, its monetary policy is bound to cause significant spillover
effects on other economies around the world. By constructing a Threshold SVAR
model with monthly data from 1996 to 2019, this paper empirically investigates
the spillover effects of US monetary policy on China's economy during different
U.S policy regimes. The transmission mechanism of such effects has been examed
through different channels including policy channel, trade channel, asset value
channel and information channel. The estimated threshold values of the Fed Fund
rates/Shadow rates are between 0.905-0.990, which coincides with the
unconventional policy period of U.S monetary policy. Also, the responses of
different channels to U.S. monetary shocks in the lower regime(unconventional
time) are different from those responses in the upper regime(conventional
time).
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