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Jiarui – The Spillover Effects of U.S. Monetary Policies on China’s Stock Market

 

The Spillover Effects of U.S. Monetary Policies on China’s Stock Market (2024)

Undergraduate: Liu Jiarui


Faculty Advisor: Roark Christopher
Department: Economics

This study examines the global spillover effects of conventional and unconventional monetary policies of the U.S. Fed on the Chinese stock market. We apply the structural vector autoregressive (SVAR) model to monthly data from Jan 1998 to March 2023, using monetary policy instruments, stock indexes, and macroeconomic variables to study the impulse response of stock indexes to monetary policy shocks. In addition, we will study the impact of the implementation of U.S. monetary policy on China's stock market in different periods through different transmission channels. The most important part is that we will examine and analyze whether there are important structural breaks in the relationship between stock returns and monetary policy changes.