This paper identifies five factors that can capture 95% of the variance across 39 US dollar exchange rates based on the principal component method. A time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model is used to analyze the determinants of movements in these exchange...

Analyzing monetary policy in China is not straightforward because the People's Bank of China (PBoC) implements policy by using more than one instrument. In this paper we use a Qual VAR, a conventional VAR system augmented with binary policy announcements, to extract a latent indicator of...

In this paper, we study the measurement and the consequences of monetary policy uncertainty in China. We propose a new measure of uncertainty about the monetary policy of the People’s Bank of China (PBOC). The uncertainty index is extracted from the reporting about the PBOC’s monetary policy...

​Persistent producer price deflation in China and other Asian economies has become a genuine concern for policymakers. In June 2016, China's producer prices were down 12.7 percent from their peak in 2011, following a 52-month stretch of consecutive negative producer price readings (March 2012...