Abstract：By further improving the NOEM model, we empirically estimate the two-country model under various capital market structures with quarterly data of China and U.S. We test moment match ability of the model and study the international transmission of inflation target shock in details. The paper reveals estimation of the model with noise exchange rate expectations is better than others. Relaxations of the symmetric structural parameters and introducing tradable goods pricing constraints significantly improve the model's moment match effect. Using variance decomposition we find inflation target shock is a key source of economic fluctuations of both countries. Further research with IRF analysis shows adjustment of inflation target benefits domestic economy but leads to obvious shrinking of trade partners' output and consumption, which is a typical beggar-thy-neighbor monetary policy. Welfare analysis proves that higher trade openness and more deviation from rational expectation of foreign exchange market result in larger welfare loss of inflation target shock.
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2018, Vol. 41 
