Abstract: Do Chinese monetary policy announcements matter? This study evaluates how relevant Chinese monetary policy announcements are to Chinese financial markets and the real side of the economy. Chinese monetary policy is identified by estimating a “target" factor measuring policy surprises and a “path" factor measuring future expectations of policy using price changes to Chinese financial derivatives on policy announcement dates. Local projection results show that 1) Chinese Treasury yields and interbank rates respond persistently, suggesting that policy transmission through an interest-rate channel exists; 2) Equities and exchange rates do not respond to policy announcements instantaneously, but with a lag; 3) Future expectations of Chinese monetary policy play a larger role than surprises, 4) Real variables show evidence of policy transmission, and 5) policy transmission may be sticky due to information frictions.

Abstract: Does Chinese monetary policy matter on a global stage? This study evaluates how Chinese monetary policy shocks are transmitted globally. We examine the role production linkages play in the global transmission of Chinese monetary policy shocks to global stock returns. Using a high-frequency measure of Chinese monetary policy shocks, we evaluate how Chinese monetary policy shocks propagate upstream and downstream through supply chains using a heterogeneous coefficient spatial autoregression (SAR) model. Three findings emerge. First, firms on both ends of the Chinese production network show negative country-industry level equity returns in response to a contractionary monetary policy shock. Second, approximately 70-78% of the observed equity responses to Chinese monetary policy shocks can be attributed to the network effect of firms being connected across global supply chains. Third, we attribute the observed heterogeneity in the equity responses across countries and industries to a country's degree of home-bias, which we demonstrate by simulating a standard small-open economy model with supply chain integration. We show that supply chains are a key channel for the global transmission of Chinese monetary policy.

Abstract: This study seeks to evaluate the effect of Chinese monetary policy shocks on credit creation through the shadow banking sector in Mainland China. Identification is achieved by constructing a measure of monetary policy surprises based on changes to the 1-Year Interest Rate Swaps on the 7-Day Repo Rate on monetary policy announcement dates. A two-stage local projection was then estimated, using the surprise measure as an instrument. The results give two key findings: 1) shadow credit expands in response to contractionary monetary policy, and 2) there is additional evidence of the transmission of monetary policy through the interest rate channel

Abstract: Drawing from the work of Christina and David Romer, we develop a narrative measure of the Indian monetary policy stance by examining policy announcements by the Reserve Bank of India. Rather than estimating a measure of the monetary policy stance, we leverage natural language processing techniques to identify and estimate monetary policy shocks for India.