What measures Chinese monetary policy?

Rongrong Sun ()

Journal of International Money and Finance, 2015, vol. 59, issue C, 263-286

Abstract: This paper models the PBC's operating procedures in a two-stage vector autoregression framework. We decompose changes in policy variables into exogenous and endogenous components in order to find a “clean” monetary policy indicator whose changes are mainly policy induced. Our main findings are twofold. First, the PBC's operating procedures have evolved over time; since about 2006, they have developed to a relatively stable regime. Second, its operating procedures are neither pure interest rate targeting nor pure reserves targeting, but a mixture. A set of indicators all contain information about the policy stance. Finally, we construct a new composite indicator of the overall policy stance.

Keywords: Monetary policy; VAR; Operating procedures; Exogenous (endogenous) components (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (25)

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Related works:
Working Paper: What Measures Chinese Monetary Policy? (2015)
Working Paper: What Measures Chinese Monetary Policy? (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:59:y:2015:i:c:p:263-286

DOI: 10.1016/j.jimonfin.2015.07.009

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