The direction and intensity of China’s monetary policy:dynamic factor modelling approach

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Erscheinungsjahr:
2021
Medientyp:
Text
Schlagworte:
  • Mixed Frequency Data
  • Dynamic Factor Model
  • Macroeconomic Forecasting
  • Monetary Policy
  • Economic Growth
  • Exports
  • Mixed Frequency Data
  • Dynamic Factor Model
  • Macroeconomic Forecasting
  • Monetary Policy
  • Economic Growth
  • Exports
Beschreibung:
  • The recent update of the People’s Bank of China’s monetary policy framework establishes a corridor system of interest rates. We employ a dynamic factor modelling approach to derive an indicator of China’s monetary policy stance. The approach is based on the notion that co-movements in several monetary policy instruments have a common element that can be captured by a single underlying, unobserved component. To clarify and interpret the derived index, we employ a baseline dynamic stochastic general equilibrium (DSGE) model that can be solved analytically and allows tracing of the expansionary and contractionary on-and-off phases of Chinese monetary policy.
  • The recent update of the People’s Bank of China’s monetary policy framework establishes a corridor system of interest rates. We employ a dynamic factor modelling approach to derive an indicator of China’s monetary policy stance. The approach is based on the notion that co-movements in several monetary policy instruments have a common element that can be captured by a single underlying, unobserved component. To clarify and interpret the derived index, we employ a baseline dynamic stochastic general equilibrium (DSGE) model that can be solved analytically and allows tracing of the expansionary and contractionary on-and-off phases of Chinese monetary policy.
Lizenz:
  • info:eu-repo/semantics/openAccess
Quellsystem:
Forschungsinformationssystem der UHH
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Quelldatensatz
oai:www.edit.fis.uni-hamburg.de:publications/e157fddf-db3b-4491-a1e8-2a49465c497d