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金融研究  2024, Vol. 528 Issue (6): 40-59    
  本期目录 | 过刊浏览 | 高级检索 |
央行沟通与资产价格——识别“潜在”未预期货币政策信息
董青马, 张皓越, 马剑文, 尚玉皇
西南财经大学中国金融研究院,四川成都 611130
Central Bank Communication and Asset Prices —— A Method for Identifying Potential Information of Unexpected Monetary Policy
Dong Qingma, Zhang Haoyue, Ma Jianwen, Shang Yuhuang
Institute of Chinese Financial Studies, Southwestern University of Finance and Economics
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摘要 中央银行沟通披露的信息具有多元异构的复杂特征,传统测度方法难以有效测度央行沟通中未预期货币政策信息(简称未预期信息)。本文将未预期信息分为可量化未预期信息和潜在未预期信息,在传统事件研究基础上,引入一个潜在因子刻画潜在未预期信息,检验我国中央银行沟通对资产价格的影响。研究发现:(1)忽视潜在未预期信息,会低估央行预期管理沟通机制的有效性;(2)识别潜在未预期信息后,事件窗口中约96%以上的股票价格变动都由未预期信息所解释,说明充分识别央行沟通的未预期信息尤为重要;(3)央行发布的会议通报和政策报告都对股市有重要影响,但政策报告的影响更大;(4)就政策方向来看,央行沟通对股票市场的影响存在非对称性,宽松性未预期信息对股票价格有显著正向影响,而紧缩性未预期信息对股票价格有显著负向影响,且投资者对紧缩性未预期信息更敏感;(5)此外,央行沟通还显著影响了债券市场,且就沟通形式而言,口头沟通也能有效引导资产价格变动。
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董青马
张皓越
马剑文
尚玉皇
关键词:  中央银行沟通  未预期货币政策信息  资产价格  事件研究法  卡尔曼滤波    
Summary:  In order to accelerate the construction of a strong financial country and promote high-quality financial development, it is increasingly important to build a scientific and prudent monetary policy regulation system. In recent years, with the increasing demand for market expectation management and the maintenance of financial market stability, China has paid more and more attention to the monetary policy tools represented by central bank communication to manage market expectations. Therefore, it is of great significance to study the impact of central bank communication on asset prices in financial markets.
Though there is abundant research on the impact of central bank communication on the financial market, relatively few studies are based on the perspective of unexpected monetary policy information. According to the rational expectations hypothesis, only unanticipated monetary policy information can drive changes in asset prices in financial markets. Therefore, measuring unanticipated monetary policy information in central bank communication has become a key issue.
In fact, the information contained in central bank communication is particularly complex, showing multidimensional, multi-level, multi-structure and other characteristics. The traditional method of measuring unanticipated monetary policy information is to select a proxy indicator of monetary policy, and then to measure unanticipated monetary policy information, which is called quantifiable unanticipated monetary policy information (referred to as “quantifiable information”). However, the traditional method will inevitably be affected by factors such as subjectivity, representativeness, finiteness and model limitations of proxy indicators, resulting in the unexpected monetary policy information in central bank communication being only partially measured. In this paper, the unquantified part of the unanticipated monetary policy information is called potential unanticipated monetary policy information (referred to as “potential information”).
In addition, to investigate the impact of monetary policy information on asset price changes, it is also necessary to pay attention to the endogeneity of monetary policy and the financial market, which have a two-way influence. The study of high-frequency financial events can effectively avoid endogeneity and simultaneity problems. This paper manually collects communication events of the People's Bank of China. It then uses daily financial market data and the high-frequency event research method to analyze the impact of unexpected monetary policy information in the communication of the People's Bank of China on asset prices.
The main work and features of this paper are as follows: firstly, for the first time, dividing the unanticipated monetary policy information of the central bank communication into quantifiable information and potential information, using Treasury bond yield, shibor or M2 as proxy variables of monetary policy, and calculate quantifiable information based on Treasury bond futures, fixed float bonds and media survey data. Then, a potential factor is introduced into the state space model to identify the potential information, and Kalman filter method is used to achieve parameter estimation. Secondly, based on China's stock market, this paper examines the impact of quantifiable information and potential information in central bank communication on stock returns. In order to explain the difference between the latent factor model and the traditional event method, this paper compares the regression results of the two methods. Thirdly, this paper discusses the heterogeneous impacts of different types and different policy directions. On the one hand, the sample is divided into reports and meeting minutes for comparative study. On the other hand, the samples are divided into loose and tight information for comparative study. Finally, to verify the robustness of the event study method with potential factors and relevant conclusions, this paper examines the impact of central bank communication on the bond market, replaces the variable of quantifiable information, divides the different stages of the economic cycle and the verbal communication of the central bank.
The data used in this paper are mainly the return of the Shanghai Stock Composite Index and Shenzhen Stock Exchange component index, the forward yield of Treasury bond futures, the 3-month interest rate of Shanghai interbank offered rate, the 1-year maturity yield of policy financial bonds, the floating interest rate of policy financial bonds, M2 and the consistent forecast data of M2. The sample period is from January 2007 to December 2022, and the data comes from the Wind, the People's Bank of China and Baidu search.
The main research conclusions are as follows. First, quantifiable information measured by a single proxy indicator will underestimate the impact of unexpected monetary policy information in central bank communication on financial markets. Secondly, after introducing potential factors to measure potential unanticipated monetary policy information, more than 96% of stock price changes in the event window can be explained by unanticipated monetary policy information. Third, in terms of communication types, whether it is meeting minutes or reports, the expected management of central bank communication has a significant impact on the stock markets, but the impact of reports is greater. In terms of policy direction, central bank communication has an asymmetric impact on the stock market. Easing unanticipated monetary policy information has a significant positive impact on stock prices, while tightening unanticipated monetary policy information has a significant negative impact on stock prices, and investors are more sensitive to tightening information.
To sum up, in order to improve the modernization of the central bank's monetary policy regulation and strengthen expectation management, the central bank should build an unexpected monetary policy information index based on multi-dimensional monetary policy anchor indicators. Secondly, optimize communication methods and improve communication content to enhance communication effectiveness. Thirdly, differentiated regulation policies should be formulated for different economic cycles. Finally, optimize the intermediate variable of monetary policy and straighten out the transmission mechanism of the central bank's policy interest rate. In addition, future studies are still needed to explore whether the impact of central bank communication on asset prices in financial markets has non-linear characteristics, and how to fully mine text information with big data methods.
Keywords:  Central Bank Communication    Unexpected Monetary Policy    Asset Prices    Event Study Method    Kalman Filtering
JEL分类号:  E44   E52   E61  
基金资助: * 感谢国家社科基金一般项目(20BJY255)、国家社科基金重大项目(20&ZD081)和中央高校项目(JBKZD06005)的资助。感谢匿名审稿人的宝贵意见,文责自负。
通讯作者:  尚玉皇,经济学博士,教授,西南财经大学中国金融研究院,Email:syh@swufe.edu.cn.   
作者简介:  董青马,经济学博士,教授,西南财经大学中国金融研究院,E-mail:qmdong@swufe.edu.cn.
张皓越,博士研究生,西南财经大学中国金融研究院,E-mail:zhanghaoyue77@163.com.
马剑文,硕士研究生,西南财经大学中国金融研究院,E-mail:mjw_666@163.com.
引用本文:    
董青马, 张皓越, 马剑文, 尚玉皇. 央行沟通与资产价格——识别“潜在”未预期货币政策信息[J]. 金融研究, 2024, 528(6): 40-59.
Dong Qingma, Zhang Haoyue, Ma Jianwen, Shang Yuhuang. Central Bank Communication and Asset Prices —— A Method for Identifying Potential Information of Unexpected Monetary Policy. Journal of Financial Research, 2024, 528(6): 40-59.
链接本文:  
http://www.jryj.org.cn/CN/  或          http://www.jryj.org.cn/CN/Y2024/V528/I6/40
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