Research on the spillover effect of Japan's nominal negative interest rate policy on China's economy

This paper takes the spillover effect of Japan's nominal negative interest rate policy on China's economy as the research object. Using LT-TVP-VAR model, we find that Japan's nominal negative interest rate policy has a positive spillover effect on China's economy. Specifically, the nominal negative interest rate policy has a positive effect on China's interest rate, exchange rate and asset prices, while it has a negative effect on China's output growth, price changes and sino-Japanese trade balance. This paper further analyzes the transmission mechanism and finds that the spillover effect of Japan's nominal negative interest rate policy is mainly through income absorption effect and interest rate channel to affect China's output and prices.