Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/233739
Authors: 
Funke, Michael
Tsang, Andrew
Year of Publication: 
2020
Citation: 
[Journal:] Economic Record [ISSN:] 1475-4932 [Volume:] [Issue:] Early View Articles
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: 
http://creativecommons.org/licenses/by-nc-nd/4.0/
Document Type: 
Article
Document Version: 
Published Version

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