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Silent News in China's Monetary Policy Announcements: Dual-Shock Identification with Ordered Heteroskedasticity

Author

Listed:
  • Mucai Lin

    (Huaqiao University)

  • Zhiwu Hong

  • Linlin Niu

Abstract

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.

Suggested Citation

  • Mucai Lin & Zhiwu Hong & Linlin Niu, 2026. "Silent News in China's Monetary Policy Announcements: Dual-Shock Identification with Ordered Heteroskedasticity," Working Papers 2026-02-01, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    • Handle: RePEc:wyi:wpaper:002615
    as

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    References listed on IDEAS

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    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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