Short-term real interest, expected inflation and unanticipated monetary policy shock — From the evidence of Shanghai Futures Exchange

摘要

According to the monetary policy operation of the People's Bank of China from 2007 January to 2010 June, the paper decomposed the monetary policy shock as anticipated and unanticipated components. By using Shanghai Futures Exchange (SHFE)'s daily trading data, variables such as short-term real interest rates and expected inflation are structured under 0 to 3 month, 3 to 6 month, 6 to 9 month and 9 to 12 month interval. The direction and degree of the impaction of monetary policy shock on the real interest rate and expected inflation was estimated by CEV analysis. The results showed that the real interest rate and monetary policies had negative correlation, but inflation and monetary policies are positive relative, especially 6 to 9 month and 9 to 12 month interval.