| 主讲人简介： | Wenbin Wu is an Associate Professor at the Fanhai International School of Finance at Fudan University and serves as the Academic Director for the part-time MBA program. His research interests primarily focus on monetary economics and international finance. His articles have been published in international academic journals such as the Journal of Monetary Economics, Review of Economic Dynamics, Journal of Money, Credit and Banking, and others. |
| 简介： | Measuring monetary policy surprises in emerging markets can be difficult due to the complex institutional structures and constantly evolving policy regimes. We outline a two-step estimation procedure and apply it to the context of China. Our approach isolates the common component of interest rate variations driven by monetary policy changes, which delivers a high-frequency measure of Chinese monetary policy shocks. We then identify their causal impacts on daily asset prices and find that monetary policy surprises in China significantly shift inter-bank interest rates, treasury rates, corporate bond yields, and equity prices, leading to substantial effects on macroeconomic aggregates. Our results are consistent with established theoretical predictions, and our methodology adapts to frequent policy changes in emerging markets. |