經濟學系講座: A High-Frequency Measure of Chinese Monetary Policy Shocks

講者:賈盾教授/北京大學匯豐商學院助理教授

日期: 17/9/2025 (三)

時間: 14:00-15:15

語言: 英語

地點: E21B-G002

內容: We develop a daily measure of Chinese monetary policy shocks from granular-level variation in the weighted average cost of interbank borrowing driven by both quantity- and interest rate-based policy changes. Our measure addresses the common issue in emerging markets of lacking a reliable proxy for monetary policy stance due to multi-dimensional objectives and complex toolkits. The measure successfully shifts a wide spectrum of interest rates in money and credit markets on impact. Both financial and non-financial stocks with higher monetary policy exposure earn negative risk premiums, consistent with these stocks providing a hedge against adverse economic shocks to which the central bank in China responds with expansionary policy. In a VAR framework, our measure shows that contractionary Chinese monetary policy significantly reduces aggregate output and prices while elevating financial risk, consistent with standard macro-finance theory but unattainable using alternative Chinese monetary policy measures.