Research On The Spillover Effect Of European Central Bank's Negative Interest Rate Policy On Chinese Economy

In June 2014,the European Central Bank cut the overnight deposit rate to-0.1%for the first time,marking the official entry of the euro zone into the negative interest rate camp.Up to now,there are six central banks in the world implementing negative interest rate policies,which are Sweden,Denmark,Switzerland,Japan,Hungary and the European Central Bank.Negative interest rates policy,as a new unconventional monetary policy,has spread from small economies to large economies,and spread from European countries to Asia countries,which attracted much attention of scholars all over the world.Overviewing the predecessors' research,the research content in the field of negative interest rate mostly focuses on the transmission mechanism,goal and effectiveness of negative interest rate policy.The research objects in the field of monetary policy's spillover effect are almost quantitative easing policies.Few scholars explored the spillover effect of negative interest rate policy.Therefore the research innovation of this paper is to make up for the gap in these researches.This paper firstly combs the relevant theoretical basis of negative interest rate and monetary policy spillover effects,including the interest rate decision theory,Tobin Q theory,wealth effect theory which related to NIRP and Mundell-Fleming-Dornbusch model,the theory of international monetary policy coordination which related to spillover effect,and then draws lessons from mature research route and methods based on the process of implementing the monetary policy by the European Central Bank in different crisis backgrounds,using Time Varying Parameter Vector Autoregression model(TVP-VAR)into empirical analysis and finally put forward NIRP's appraise and related recommendations based on the empirical results.The empirical part of the article mainly includes three parts.The first part is the research on the spillover effect of ECB's negative interest rate policy on Chinese economy through spread-rate,exchange rate,international trade and asset price channels.The second part is a comparative study on the spillover effect of simultaneous implemented easing policy on Chinese economy through expected channel.The third part is the study of the spillover effect of ECB's NIRP on Singapore economy through the spread-exchange channel,which aims to test the affect of foreign exchange control over the transmission of monetary policy spillover effects.In this paper,the economic variables involved in the transmission channels of these five studies are used as variables in the TVP-VAR model,and five regression equations with time-varying parameters are established.By analyzing the impulse response graph,three conclusions are drawn:negative interest rate policy implemented by European Central Bank has spillover effect on Chinese economy and the most effective transmission channel is international trade channel;the quantitative easing policy implemented by ECB has spillover effects on China's economy through anticipation channel;foreign exchange control has a obstructive effect on the transmission of negative interest rate policy's spillover effects.The full text contains 28 figures,14 tables and 87 references.