Essays on monetary policy and macroeconomic volatility in China.

Ch. 1. Factor-augmented VAR analysis of the monetary policy in China -- Ch. 2. The time-varying volatillity of Chinese macroeconomic fluctuations.Leung, Pak Ho.Thesis (M.Phil.)--Chinese University of Hong Kong, 2010.Includes bibliographical references.Abstracts in English and Chinese.COVER PAGE --- p.1ACKNOWLEDGEMENT --- p.2TABLE OF CONTENTS --- p.4LIST OF FIGURES AND TABLES --- p.6ABSTRACT OF CHAPTER I --- p.9Chapter 1. --- INTRODUCTION --- p.11Chapter 2. --- FEATURES OF POST-CRISIS CHINESE MONETARY POLICY --- p.13Chapter 2.1. --- LIBERALIZATION OF CHINA'S MONETARY POLICY IN RECENT YEARS --- p.14Chapter 2.2. --- MONETARY POLICY INSTRUMENTS AND TRANSMISSION MECHANISMS --- p.14Chapter 2.3. --- EXCHANGE RATE REFORM AND MONETARY POLICY --- p.17Chapter 2.4. --- EFFECTS OF MONETARY POLICY ON INDUSTRIAL PRODUCTION AND INFLATION --- p.18Chapter 3. --- METHODOLOGY --- p.20Chapter 4. --- DATA DESCRIPTION --- p.22Chapter 5. --- EMPIRICAL RESULTS --- p.23Chapter 5.1 . --- ESTIMATION OF FAVAR WITH REPO RATE AS INSTRUMENT --- p.24Chapter 5.2. --- ESTIMATION OF FAVAR WITH BENCHMARK RATE AS INSTRUMENT --- p.25Chapter 5.3. --- ESTIMATION OF FAVAR WITH MONETARY FACTOR AS INSTRUMENT --- p.26Chapter 5.4. --- ESTIMATION OF FAVAR WITH TOTAL LOAN AS INSTRUMENT --- p.27Chapter 5.5. --- ESTIMATION OF FAVAR WITH M2 AS INSTRUMENT --- p.28Chapter 5.6. --- POLICY DISCUSSION --- p.29Chapter 6. --- CONCLUSIO N --- p.31Chapter 7. --- REFERENCE S --- p.32Chapter 8. --- APPENDIX --- p.36ABSTRACT OF CHAPTER II --- p.60Chapter 1. --- INTRODUCTION --- p.62Chapter 2. --- OVERVIEW OF CHINESE ECONOMIC PERFORMANCE --- p.64Chapter 2.1. --- VOLATILITY OF THE CHINESE MACROECONOMY --- p.64Chapter 2.2. --- TESTS OF PARAMETER STABILITY --- p.66Chapter 2.2. --- HYPOTHESIS OF ECONOMIC MODERATION --- p.67Chapter 3. --- FREQUENCY DOMAIN ANALYSIS --- p.69Chapter 3.1 --- ESTIMATION FRAMEWORK --- p.70Chapter 3.2. --- ESTIMATION RESULTS --- p.72Chapter 4. --- VECTOR AUTOREGRESSION ANALYSIS --- p.75Chapter 4.1 --- ESTIMATION RESULTS --- p.70Chapter 5. --- CONCLUSION --- p.78Chapter 6. --- REFERENCES --- p.80Chapter 7. --- APPENDIX --- p.8