Silent News in China's Monetary Policy Announcements: Dual-Shock Identification with Ordered Heteroskedasticity

Mucai Lin, Zhiwu Hong () and Linlin Niu ()
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Mucai Lin: Huaqiao University

No 2026-02-01, Working Papers from Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

Abstract: China's monetary policy employs a dual-target framework, where announcements explicitly adjust one target while silently signaling the other. Existing single-shock models ignore this embedded dual-shock structure. We propose identification via ordered heteroskedasticity: loud-news shocks exhibit higher variance than silent-news shocks. Applied to Chinese Treasury yields, our model outperforms single-shock specifications. Silent news---particularly price signals within quantity announcements---provides potent forward guidance that predicts future policy adjustments. Both news types trigger significant and persistent responses in yields and money-market rates. These findings highlight the role of silent news in central bank communication and deepen understanding of China's dual-target policy transmission.

Keywords: Monetary Policy Announcements; Silent News; Heteroskedasticity; Dual-Shock Identification (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 (search for similar items in EconPapers)
Pages: 55 pages
Date: 2026-02-01
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Persistent link: https://EconPapers.repec.org/RePEc:wyi:wpaper:002615

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