We develop a daily measure of Chinese monetary policy shocks based on variation in the weighted average cost of interbank borrowing, driven by both quantity-based and interest rate-based policy changes. Our measure addresses a central challenge in emerging markets: the lack of a reliable indicator of the monetary policy stance arising from multi-dimensional objectives and complex policy toolkits. The proposed measure shifts a wide spectrum of money and credit market interest rates on impact. In the equity market, Chinese stocks with greater monetary policy exposure earn negative risk premia, consistent with their role as hedges against central bank monetary policy tightening. Moreover, our measure reproduces the canonical monetary transmission to the real economy, whereby contractionary policy reduces aggregate output and prices while elevating financial risk, consistent with standard macro-finance theory. These economically coherent financial and real responses are not recovered using existing measures of Chinese monetary policy shocks.

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