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Examining monetary policy reaction in the People’s Republic of China – a Markov switching policy index approach

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Egan_2016_ExaminingMonetary_JCEBS_AAM.pdf (771.7Kb)
Date
13/05/2016
Author
Egan, Paul Gerard
Leddin, Anthony J.
Keywords
Monetary policy
Exchange rate regime
Taylor rule
Markov switching
Structural breaks
HB Economic Theory
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Abstract
This paper estimates a monetary policy rule for the People’s Republic of China (PRC) using a standard OLS estimation and a Markov switching model. As the People’s Bank of China (PBOC) generally uses a battery of instruments in the conduct of its monetary policy, these models are estimated using a constructed monetary policy index (MPI) in place of the traditional interest rate. This allows for a better understanding of the role the PBOC has played in the PRC’s unprecedented economic growth and its relatively low inflation over the last twenty years. This paper will not only examine the unique characteristics of Chinese monetary policy but may also give a more general insight into the dynamics of monetary policy reactions in other emerging markets and economies in transition.
Citation
Egan , P G & Leddin , A J 2016 , ' Examining monetary policy reaction in the People’s Republic of China – a Markov switching policy index approach ' , Journal of Chinese Economic and Business Studies , vol. 14 , no. 2 , pp. 165-191 . https://doi.org/10.1080/14765284.2016.1173464
Publication
Journal of Chinese Economic and Business Studies
Status
Peer reviewed
DOI
https://doi.org/10.1080/14765284.2016.1173464
ISSN
1476-5292
Type
Journal article
Rights
© 2016, The Chinese Economic Association – UK. This work is made available online in accordance with the publisher’s policies. This is the author created, accepted version manuscript following peer review and may differ slightly from the final published version. The final published version of this work is available at www.tandfonline.com / https://dx.doi.org/10.1080/14765284.2016.1173464
Description
The authors are grateful for the financial support from the Irish Research Council (IRC) and The Paul Tansey Postgraduate Research Scholarship in Economics.
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  • University of St Andrews Research
URI
http://hdl.handle.net/10023/12076

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