Examining monetary policy reaction in the People’s Republic of China – a Markov switching policy index approach
MetadataShow full item record
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.
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 . DOI: 10.1080/14765284.2016.1173464
Journal of Chinese Economic and Business Studies
© 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
DescriptionThe authors are grateful for the financial support from the Irish Research Council (IRC) and The Paul Tansey Postgraduate Research Scholarship in Economics.
Items in the St Andrews Research Repository are protected by copyright, with all rights reserved, unless otherwise indicated.