What measures Chinese monetary policy?

TY - JOUR

T1 - What measures Chinese monetary policy?

AU - Sun, Rongrong

PY - 2015/12

Y1 - 2015/12

N2 - 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.

AB - 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.

U2 - 10.1016/j.jimonfin.2015.07.009

DO - 10.1016/j.jimonfin.2015.07.009

M3 - Article

SN - 0261-5606

VL - 59

SP - 263

EP - 286

JO - Journal of International Money and Finance

JF - Journal of International Money and Finance

ER -