A Narrative Indicator of Monetary Conditions in China

Rongrong Sun

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, we apply the narrative approach, studying the PBC's historical records, to infer policy-makers' intentions and thereby build a time series of monetary policy indicator. We show that our narrative policy indicator is informative about economic activity. Changes in it reflect the PBC's responses to its perceptions of economic conditions. It is a good indicator of monetary policy actions. Finally, we show that compared to monetary aggregates, changes in interest rates and the required reserve ratio are more associated with changes in monetary policy, as measured by our narrative indicator, but only to a limited degree. None of them alone can be a good proxy of policy indicator.

Keywords: the narrative-based policy indicator; quantitative policy measures; VAR; predictive power (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-cba, nep-cna, nep-mac, nep-mon and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Related works:
Journal Article: A Narrative indicator of Monetary Conditions in China (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:64166

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