High-Frequency Monetary Shocks for China

Updated on: December 2023

Contents

1. china_mpshocks.csv
   • High-frequency monetary policy shocks for China constructed in Monetary Poicy Transmission and Policy Coordination in China by Sonali Das and Wenting Song, China Economic Review, Volume 82, December 2023, 102032.
   • Sample: 2006-2020

Variable descriptions

• For details on shock construction, refer to the main text of the paper.

• The csv file contains the following variables:

  Variable	Description	Type
  date	Date of monetary shocks	datetime
  datetime	Time of monetary event announcements	dateimte
  shock_1y	Monetary shocks constructed using 1-year IRS on the 7-day repo	float
  shock_5y	Monetary shocks constructed using 5-year IRS on the 7-day repo	float
  isMain	Indicator variable for the main measure of shocks (baseline)	boolean
  isBroad	Indicator variable for the broad measure of shocks	boolean

• The file also provides details the type of monetary policy event that underlies a certain shock.

• For the main measure of monetary shocks, monetary policy events include changes to the PBC's main policy instruments:

  Variable	Description	Type
  isdRRR	The underlying monetary event is changes to the reserve requirement ratio (RRR)	boolean
  isdRevrepo	The underlying monetary event is changes to PBC's 7-day reverse repor rate	boolean
  isdLDR	The underlying monetary event is changes to benchmark deposit and lending rates	boolean
  isdMLF	The underlying monetary event is changes to the rate on the PBC’s medium-term lending facility (MLF)	boolean

• For the broad measure of monetary shocks, monetary policy events additionally include:

  Variable	Description	Type
  isMPR	The underlying monetary event is quarter releases of monetary policy reports	boolean
  isFX	The underlying monetary event is foreign exhcange policy reforms	boolean
  isTMLF	The underlying monetary event is recent changes to the MLF	boolean