报告题目： A High-frequency Measure of Chinese Monetary Policy Shocks
汇报人： 贾盾 北京大学汇丰商学院助理教授
时间： 4.22 星期一（16:00-18:00）
地点： A1148
邀请人： 李伟
讲座系列： 经济
摘要
We construct and provide a high-frequency measure of price-based Chinese monetary policy shocks, which passed a series of validation tests exploiting the cross-sectional returns of financial stocks, outperforming other existing quantity or price-based measures. Our methodology isolates the common component of inter-bank interest rate variations driven by unexpectedly announced monetary policy changes. We find the price-based 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.
汇报人简介：北京大学汇丰商学院助理教授，北京大学博士生导师，马里兰大学经济学博士。研究领域包括宏观经济学、货币经济学、宏观金融和中国经济，当前研究工作关注量化宏观模型的微观基础以及市场结构和不完备信息于货币政策传导和宏观金融领域的相关应用。论文发表于American Economic Review、Review of Finance、Journal of Economic Dynamics and Control、《金融研究》和《世界经济》等国内外期刊，主持一项国家自然科学基金，参与国务院、国家开发银行及中国农业发展银行等机构多项研究课题。
