大陆成人直播

主讲人：贾盾，北京大学汇丰商学院

题目：A High-Frequency Measure of Chinese Monetary Policy Shocks

参与老师：余昌华、薛思帆

时间：2025年9月30日（周二）上午10:30-12:00（北京时间）

地点：245教室

摘要：

We develop a daily measure of Chinese monetary policy shocks from granular-level variation in the weighted average cost of interbank borrowing driven by both quantity- and interest rate-based policy changes. Our measure addresses the common issue in emerging markets of lacking a reliable proxy for monetary policy stance due to multi-dimensional objectives and complex toolkits. The measure successfully shifts a wide spectrum of interest rates in money and credit markets on impact. Both financial and non-financial stocks with higher monetary policy exposure earn negative risk premiums, consistent with these stocks providing a hedge against adverse economic shocks to which the central bank in China responds with expansionary policy. In a VAR framework, our measure shows that contractionary Chinese monetary policy significantly reduces aggregate output and prices while elevating financial risk, consistent with standard macro-finance theory but unattainable using alternative Chinese monetary policy measures.

主讲人介绍：

贾盾，北京大学汇丰商学院经济学助理教授，北京大学博士生导师。研究领域包括宏观金融、货币政策和中国金融市场，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、企业竞争和资产定价等领域的相关应用。为MBA项目讲授“管理经济学”课程，金融硕士项目讲授“中国经济导论”和“中国金融市场导论”课程，博士项目讲授“计算经济学”等课程。当前已于American Economic Review、Review of Finance、Journal of Economic and Dynamic Control、《金融研究》《世界经济》等国际国内顶级期刊发表论文多篇，主持并参与国家自然科学基金和教育部人文社科基金多项。