摘要
在复杂的国内外经济形势下,通过央行沟通引导预期对稳定经济变得越发关键。本文通过构建包含经济不确定性和央行沟通在内的理论模型,分析了央行沟通如何通过信息机制起作用,并探讨了经济不确定性可能产生的影响。理论模型分析表明,央行沟通通过信息机制能够降低市场波动,但是经济不确定性会对央行沟通的信息机制产生削弱作用。本文以中国人民银行发布的《中国货币政策执行报告》为沟通样本进行了实证分析,回归结果表明中国人民银行的沟通能够通过信息机制降低金融市场波动,但经济不确定性会抵消上述影响。在此基础上,本文将基准模型拓展到汇率市场,探讨了人民币汇率改革对信息机制的影响,并通过“8·11”汇改进一步在实证层面证实了央行沟通能够通过信息机制发挥作用。本文是对央行沟通理论机制研究的重要补充,不仅从经济不确定性视角为已有研究的分歧提供了一种解释,而且对改善央行沟通的政策效果、提高央行沟通引导预期的能力具有重要意义。
In the complex economic environment,managing expectations through central bank communication has become more and more crucial to stabilizing the economy,but China still needs to solve two puzzles regarding expectation management of monetary policy.The first puzzle is the contradiction between theory and reality:while most previous studies have found central bank communication effective,"weaker expectations"still exist in the real economy.Is it because central bank communication is ineffective,or is it due to other factors?The second puzzle is the contradiction between theory and empirical evidence:the main mechanisms studied in theory are difficult to explain the results of empirical research on the similarity of central bank communication texts based on textual analysis.This paper employs a dynamic model to investigate the impact of central bank communication on market volatility and the offsetting effects of economic uncertainty through the information mechanism.It also seeks to explain the puzzles of expectation management in China from the perspective of uncertainty.Text similarity,which reflects the difference between current and past texts,is an important indicator for measuring the information content and studying the information mechanism in the context of central bank communication.Under the information mechanism,a decrease in the similarity of central bank communication texts results in a decline in market volatility.This occurs when the decreased similarity is attributed to the dissemination of new information by the central bank,which is subsequently utilized by the public to inform their decision-making processes.The provision of new information can coordinate market expectations,and thus a decrease in similarity will reduce market volatility.However,as rising uncertainty increases market volatility while decreasing the similarity of central bank communication texts,the uncertainty factor dominates the effect of the information mechanism.This implies that if the relationship between the similarity of central bank communication texts and market volatility is used to assess the information mechanism of central bank communication without considering uncertainty,it will result in a misleading interpretation of the information mechanism.The results of our benchmark regressions and robustness tests indicate that the PBOC's communication affects the operation of the bond market,stock market and exchange rate market through the information mechanism.Furthermore,the RMB exchange rate reform in 2015 was employed to test the information mechanism in the transmission of central bank communication.The contributions of this paper are three-fold.First,this paper argues and identifies the information mechanism of central bank communication based on theoretical and empirical research.The study adds to theoretical research on central bank communication,and moreover is important for improving the effectiveness of central bank communication policy.Second,this paper proposes and analyzes the offsetting effect of the uncertainty factor on the information mechanism,which can be used to resolve the two puzzles that exist in the studies of expectation management,and reveals that the two puzzles are mainly caused by the neglect of the effect of uncertainty factor.Third,this paper provides a dynamic theoretical framework forthetextual studyof central bank communication.
作者
郭豫媚
郭俊杰
GUO Yumei;GUO Junjie(Central University of Finance and Economics,102206)
出处
《财贸经济》
CSSCI
北大核心
2024年第6期88-104,共17页
Finance & Trade Economics
基金
国家自然科学基金面上项目“中国货币政策预期管理效果的定量评估:模型仿真与指标体系构建”(72273159)
国家自然科学基金青年项目“中国财政政策空间对财政政策有效性的影响:实证分析与模型仿真”(72103216)
中央高校基本科研业务费专项资金
中央财经大学科研创新团队支持计划。
关键词
央行沟通
信息机制
文本相似度
不确定性
Central Bank Communication
Information Mechanism
Text Similarity
Uncertainty
作者简介
郭豫媚,中央财经大学金融学院副教授、博士,102206;通讯作者:郭俊杰,中央财经大学金融学院副教授、博士,102206,电子邮箱:junjguo@cufe.edu.cn。
