Liquidity, Asset Price Volatility, and Monetary Policy Choices: Empirical Evidence from China

Table 4

Estimation parameters of the TVP-SV-VAR model.

Parameter	Mean	St.dev.	95% interval	CD statistics	Inefficiency
sb1	0.0226	0.0026	[0.0181, 0.0285]	0.202	8.48
sb2	0.0227	0.0025	[0.0183, 0.0283]	0.902	7.06
sa1	0.0596	0.0282	[0.0338, 0.1334]	0.838	32.85
sa2	0.0631	0.0165	[0.0381, 0.1015]	0.657	30.45
sh1	0.2776	0.0847	[0.1471, 0.4743]	0.029	52.62
sh2	0.7918	0.1823	[0.4833, 1.1864]	0.794	78.04