Hot Money and Quantitative Easing: The Spillover Effects of U.S. Monetary Policy on the Chinese Economy
用因子增强向量自回归模型估计美国货币政策和经济政策不确定性意外变化对中国房地产、股票和贷款市场的影响，发现美国政策利率下降导致中国住房投资显著增加，可能原因是热钱大量流入。
Abstract We develop a factor‐augmented vector autoregression (FA‐VAR) model to estimate the effects that unanticipated changes in U.S. monetary policy and economic policy uncertainty have on the Chinese housing, equity, and loan markets. We find the decline in the U.S. policy rate since the Great Recession has led to a significant increase in Chinese housing investment. One possible reason for this effect is the substantial increase in the inflow of “hot money” into China. The responses of Chinese variables to U.S. shocks at the zero lower bound are different from those responses in normal times.