Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/233739 
Year of Publication: 
2021
Citation: 
[Journal:] Economic Record [ISSN:] 1475-4932 [Volume:] 97 [Issue:] 316 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2021 [Pages:] 100-122
Publisher: 
Wiley, Hoboken, NJ
Abstract: 
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.
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
Document Version: 
Published Version

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