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Impact of US monetary policy rate shock and other external shocks on the Hong Kong economy: A factor-augmented vector autoregression approach

机译：美国货币政策利率冲击和其他外部冲击对香港经济的影响：因子增强向量自回归方法

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摘要

This paper uses the factor-augmented vector autoregression framework to study the impact on the Hong Kong economy of the diverging monetary policies by the Fed, the European Central Bank (ECB) and the Bank of Japan as well as the slowdown of the Mainland economy. The empirical results show that shocks in US monetary policy rate mainly affect interest rate-sensitive sectors in Hong Kong and that monetary easing from the European Central Bank and the Bank of Japan somewhat offsets the impact of tightening of the Fed. The transmission of external shocks is through trade and capital markets. Real variables such as real GDP growth and the unemployment rate are more sensitive to the economic slowdown in Mainland China. It is estimated that the combined effect of the four external shocks will on average lower Hong Kong's quarterly GDP growth by 0.6 percentage points and quarterly inflation by 0.2 percentage points in the first four quarters. However, Hong Kong's financial stability, particularly with regard to loan quality, banks' capital and liquidity, is well maintained by macroprudential policies, suggesting that Hong Kong's financial system is resilient to external shocks.
机译：本文使用因子增强的向量自回归框架来研究美联储，欧洲中央银行和日本央行货币政策分歧对香港经济的影响以及内地经济的放缓。实证结果表明，美国货币政策利率的冲击主要影响香港的利率敏感部门，而欧洲央行和日本央行的货币宽松政策在一定程度上抵消了美联储紧缩政策的影响。外部冲击的传递是通过贸易和资本市场进行的。实际GDP增长和失业率等实际变量对中国大陆的经济放缓更为敏感。据估计，这四种外部冲击的综合影响将平均使香港在首四个季度的季度GDP增长下降0.6个百分点，使季度通货膨胀率下降0.2个百分点。但是，香港的金融稳定，特别是在贷款质量，银行资本和流动性方面的金融稳定，通过宏观审慎政策得以维持，这表明香港的金融体系可以抵御外部冲击。

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  • 来源
    《Pacific economic review》 |2020年第1期|3-20|共18页
  • 作者

    Chen Hongyi; Tsang Andrew;

  • 作者单位

    Hong Kong Monetary Author Hong Kong Inst Monetary Res 55-F Two Int Finance Ctr 8 Finance St Hong Kong Peoples R China;

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  • 正文语种 eng
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