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Macroeconomics and Finance Forum No.28

2024-06-07 10:50:47

Topic:A High-frequency Measure of chinese Monetary Policy shocks

Lecturer: Dun Jia

Dun Jia, Assistant professor of Peking University HSBC Business School, doctoral supervisor of Peking University, PhD in Economics from University of Maryland. His research interests include macroeconomics, monetary economics, macrofinance, and the Chinese economy. His current research focuses on the micro foundations of quantitative macro models and the application of market structure and incomplete information to monetary policy transmission and macrofinance. His paper appears in the American Economic Journal Review、Review of Finance、Journal of Economic Dynamics and Control ,Financial Studies and World Economy, etc.He has hosted a National Natural Science Foundation and participated in several research projects of The State Council, China Development Bank and Agricultural Development Bank of China.


We construct and provide a high-frequency measure of price based Chinese monetary policy shocks, which passed a series of validation tests exploiting the crosssectional returns of financial stocks, outperforming other existing quantity or price - based measures. Our methodology isolates the common component of interbank interest rate variations driven by unexpectedly announced monetary policy changes. We find the pricebased monetary policy surprises in China significantly shift the asset prices of stocks, government and corporate bonds, and affect the cost of financing for the real economy across industries. Addressing the complex institutional background and the frequent changes in central bank's policy toolkit, our shock construction procedure is parsimonious enough to be adaptable for measuring monetary policy shocks in other emerging markets.

Time: May 24 ,2024 9:00-10:30

Venue: B321,ZhixinBuilding,Central Campus