Abstract
In an era of globalization, all economic entities are closely connected. Under such a trend we need to consider about more aspects than before. Because of the standard vector autoregression (VAR) model cannot meet our needs, this study applies a more comprehensive and systematic Global Vector Autoregressive (GVAR) model proposed by Pesaran, Schuermann and Weiner (hereafter PSW) in 2004 and uses quarterly data, from 1st quarter of 1981 to 1st quarter of 2013 to investigate monetary policy transmission mechanisms. Our results indicate credit channels in the transmission mechanisms of monetary policy do exist in Singapore, the UK, Japan, and the PRC; and GVAR models appear to be poorly suited for small countries acting as the origin of shock.
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