State-dependent pricing of monetary policy nonlinearities and inflation at risk for China

doi:10.1016/j.ribaf.2025.102761

	State-dependent pricing of monetary policy nonlinearities and inflation at risk for China
	Xiao, Qiang1 ; Cao, Honghong1 ; He, Yongda 2,3; Oxley, Les 3
	2025-03
发表期刊	RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
卷号	75
摘要	As global uncertainty rises and inflationary pressures increase, understanding the transmission mechanisms through which monetary policy affects the economy is crucial for formulating policies that promote economic growth and stabilize inflation. This study specifically focuses on the nonlinear effects of monetary policy on inflation and output. Grounded in state-dependent pricing theory, we employ a smoothed local projection method to analyze the nonlinear responses of macroeconomic variables to monetary policy shocks of different scales and in high and low inflation regimes. Additionally, quantile regression is utilized to measure inflation at risk. Our findings affirm the role of state-dependent pricing in China's monetary policy transmission mechanism. Notably, inflation responds more significantly to price-based monetary policy, whereas output exhibits a stronger reaction to quantity-based monetary policy, particularly in high inflation scenarios. The inflation forecast distribution conditioned on exchange rates indicates that rising inflation levels are associated with increased risks, with higher inflation volatility heightening the upside risks of inflation. This research deepens our understanding of the dynamic monetary policy transmission mechanism in China and provides valuable policy insights for effectively managing inflation and promoting economic growth.
关键词	Monetary policy State-dependent pricing Inflation at risk Smooth local projection
DOI	10.1016/j.ribaf.2025.102761
收录类别	SSCI
ISSN	0275-5319
语种	英语
WOS研究方向	Business & Economics
WOS类目	Business, Finance
WOS记录号	WOS:001399758700001
出版者	ELSEVIER
原始文献类型	Article
EISSN	1878-3384
引用统计	被引频次[WOS]：0 [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/38738
专题	统计与数据科学学院
通讯作者	Xiao, Qiang; He, Yongda
作者单位	1.Lanzhou Univ Finance & Econ, Sch Stat & Data Sci, Lanzhou 730020, Peoples R China; 2.Shanxi Univ Finance & Econ, Sch Stat, Taiyuan 030006, Peoples R China; 3.Univ Waikato, Sch Accounting Finance & Econ, Hamilton 3240, New Zealand
第一作者单位	统计与数据科学学院
通讯作者单位	统计与数据科学学院
推荐引用方式 GB/T 7714	Xiao, Qiang,Cao, Honghong,He, Yongda,et al. State-dependent pricing of monetary policy nonlinearities and inflation at risk for China[J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE,2025,75.
APA	Xiao, Qiang,Cao, Honghong,He, Yongda,&Oxley, Les.(2025).State-dependent pricing of monetary policy nonlinearities and inflation at risk for China.RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE,75.
MLA	Xiao, Qiang,et al."State-dependent pricing of monetary policy nonlinearities and inflation at risk for China".RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE 75(2025).