央行货币政策报告文本信息、 宏观经济与股票市场  

Textual Information of Central Bank Monetary Policy Report,Macroeconomy and Stock Market Performance

作　　者：姜富伟 胡逸驰 黄楠 JIANG Fuwei;HU Yichi;HUANG Nan(School of Finance,Central University of Finance and Economics;School of Economics,Peking University;Harvest Fund Management Co.,Ltd)

机构地区：[1]中央财经大学金融学院,北京100089 [2]北京大学经济学院,北京100871 [3]嘉实基金管理有限公司,北京100005

出　　处：《金融研究》2021年第6期95-113,共19页Journal of Financial Research

基　　金：国家自然科学基金项目(72072193,71872195,71602198)的资助。

摘　　要：本文利用金融情感词典和文本分析技术,分析中国人民银行货币政策执行报告的文本情绪、文本相似度和文本可读性等多维文本信息,刻画央行货币政策执行报告的文本特征,探究货币政策报告的文本信息与宏观经济和股票市场的关系。实证研究发现,货币政策报告的文本情绪的改善会引起显著为正的股票市场价格反应,报告文本相似度的增加会引起股票市场波动性的显著降低,报告可读性对公布后股票市场的波动性影响不显著。货币政策报告文本情绪还与诸多宏观经济指标显著相关。进一步研究发现,引起股票市场显著反应的是报告文本情绪中反映货币政策指引的部分,而反映宏观经济历史状态的部分对股票市场的影响不显著。本文从文本大数据分析角度证明了我国央行沟通的有效性,对国内央行沟通相关研究形成了有益补充。Since the 1990 s, central bank communication has become a hot issue in macroeconomics and finance. Many scholars have conducted meaningful research on the issues such as the measurement of central bank communication, central bank communication and inflation expectations, and central bank communication and financial markets. Among them, the influence of central bank communication on financial markets and asset prices has received wide attention. A large number of empirical studies have shown that central bank communication has a significant impact on the stock market, the bond market and the foreign exchange market. As the People’s Bank of China(PBOC) has paid increasing attention to policy communication in recent years, many Chinese scholars have conducted research on the impact of PBOC’s communication on China’s financial markets. However, there are two major shortcomings in the existing studies. First, they only focus on monetary policy tendency of PBOC’s communication and ignore other information contained in the communication. Second, most scholars construct quantitative indicators by manual reading and scoring, making the results highly subjective.This paper uses text analysis techniques to analyze 71 Monetary Policy Implementation Reports(hereinafter referred to as "the reports") of PBOC, calculates the text sentiment(tone), the similarity and readability and other text indicators of the reports, and explores the relationship between these text indicators and the macro economy and the stock market. Based on the Chinese financial sentiment dictionary developed by Jiang et al.(2020), this paper uses the sentiment unit method to calculate the tone of the reports. In addition, this paper uses TF-IDF weighted cosine similarity to characterize the similarity of the reports, and uses average sentence length to characterize the readability of the reports. The paper then uses correlation analysis to examine the relationship between the tone of the reports and macroeconomic indicators such as economic growth,

关 键 词：文本情绪分析 中央银行沟通 股票市场 宏观经济 

分 类 号：F822.0[经济管理—财政学] F832.51F124