A Comparative Empirical Study of Interest Rate Transmission in China —Based on Public Health Emergency Shock by VAR Model

DOI

10.2991/978-94-6463-992-6_20How to use a DOI?

Keywords

interest rate transmission; public health emergency shock; liquidity trap; comparative study

Abstract

This paper applies VAR model to analyze the interest rate pattern in China. Interest rate is the price of funds and a key variable in resource allocation. Reasonable price signals guide the intertemporal allocation of funds, which in turn affects the resource allocation of the real economy. China is in the stage of further expansion and improvement of interest rate liberalization reform, and the superimposed impact of the epidemic has posed challenges to the interest rate transmission mechanism. This also poses a challenge to the smoothness of the interest rate transmission mechanism. Therefore, this paper uses the short-term and long-term monthly interest rate data of the money market and bond market from 2014 to 2022 to empirically test the current situation of interest rate transmission in China in Stata. The main empirical research shows that after the epidemic, the transmission of short-term interest rates to long-term interest rates is more significant, and there is still a significant space for China’s conventional monetary policy. Compared with the unconventional monetary policy of the United States, China’s policy transmission from short-term interest rates to long-term and short-term interest rates is relatively smooth, and has not yet fallen into a “liquidity trap”. The comparative study of this paper hopes to give some empirical results for the further market-oriented reform of interest rates, and to put forward policy suggestions for the interest rate reform policy of the People’s Bank of China.

Copyright

© 2026 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Zuominyang Zhang
AU  - Ke Huang
AU  - Shisheng Qu
AU  - Yin Luo
PY  - 2026
DA  - 2026/02/20
TI  - A Comparative Empirical Study of Interest Rate Transmission in China —Based on Public Health Emergency Shock by VAR Model
BT  - Proceedings of the 2025 4th International Conference on Mathematical Statistics and Economic Analysis (MSEA 2025)
PB  - Atlantis Press
SP  - 195
EP  - 206
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-992-6_20
DO  - 10.2991/978-94-6463-992-6_20
ID  - Zhang2026
ER  -