- Silent News in China's Monetary Policy Announcements: Dual-Shock Identification with Ordered Heteroskedasticity
- Mucai Lin, Zhiwu Hong, Linlin Niu
-
- 2615 20260201 () Views:400
- China's monetary policy employs a dual-target framework, where announcements explicitly adjust one target while silently signaling the other. Existing single-shock models ignore this embedded dual-shock structure. We propose identification via ordered heteroskedasticity: loud-news shocks exhibit higher variance than silent-news shocks. Applied to Chinese Treasury yields, our model outperforms single-shock specifications. Silent news---particularly price signals within quantity announcements---provides potent forward guidance that predicts future policy adjustments. Both news types trigger significant and persistent responses in yields and money-market rates. These findings highlight the role of silent news in central bank communication and deepen understanding of China's dual-target policy transmission.
- JEL-Codes: E43; E52; E58
- Keywords: Monetary Policy Announcements; Silent News; Heteroskedasticity; Dual-Shock Identification
Download full text Downloads:11