央行预期引导可以降低银行系统性金融风险吗?——基于市场解读偏离的视角  

Can Expectation Guidance by a Central Bank Reduce Banks'Systemic Financial Risk?A Perspective Based on Deviations in Market Interpretations

作　　者：王辉[1,2,3] 朱家雲 胡诣聪 WANG Hui;ZHU Jiayun;HU Yicong(School of Finance,Central University of Finance and Economics;Postdoctoral Research Center,Industrial and Commercial Bank of China;Bank of Beijing)

机构地区：[1]中央财经大学金融学院,北京102206 [2]中国工商银行博士后科研工作站,北京100140 [3]北京银行股份有限公司,北京100033

出　　处：《金融研究》2023年第9期1-19,共19页Journal of Financial Research

基　　金：教育部哲学社会科学研究重大课题攻关项目(22JZD011);国家自然科学基金面上项目(71771224,72273165);国家社会科学基金重大项目(20&ZD101)的资助。

摘　　要：预期引导在央行货币政策框架中占有重要地位。本文基于《货币政策执行报告》及市场解读报告,构建货币政策执行报告文本情绪指数、市场解读情绪指数和央行预期情绪市场接收程度指数,结合商业银行的资产负债表数据,从市场解读偏离的视角研究预期引导对银行系统性金融风险的影响机制。结果表明:(1)央行预期引导政策的效果与宏观经济金融环境密切相关,重大经济金融事件或中央政策对央行预期情绪市场接收程度指数影响明显;(2)货币政策执行报告文本情绪指数、市场解读情绪指数和央行预期情绪市场接收程度指数均可有效降低银行系统性金融风险,降低效果依次减弱,且降低效果在经济政策不确定性程度较大时会被削弱。市场解读的差异会降低预期引导的效果;(3)央行预期情绪市场接收程度上升,能减少银行信贷业务和同业业务冲击,进而降低银行系统性金融风险,且前瞻性文本的影响大于回顾性文本。Expectation guidance plays an important role in the monetary policy framework.Pessimistic expectations can exacerbate economic fluctuations and financial risks,making macroeconomic regulation and control challenging.Effective tools for guiding market expectations are essential to prevent systemic financial risks,and the entire process of expectation management should consider market feedback mechanisms.Several key questions require further exploration.First,can central bank expectation guidance policies effectively reduce systemic financial risk?Second,can deviations in the market's interpretation of central bank expectation guidance policies affect financial stability?Third,what specific mechanisms underlie the impact of deviations in market interpretations on the systemic financial risk of banks?To answer these questions,this paper constructs a text sentiment index for the period from 2001 to 2021;specifically,based on China's monetary policy reports and corresponding market reports,this paper constructs a market sentiment index that reflects the central bank's expected sentiment.This index serves to assess changes in the effectiveness of central bank expectation guidance policies over time.In addition,systemic risk indicators are derived from the balance sheet data of 420 commercial banks for the period from 2007 to 2020.Empirical tests are conducted to evaluate whether central bank expectation guidance policies reduce systemic risk,with a focus on channels such as bank credit and interbank activities.Potential endogeneity issues are addressed using dynamic panel models,and robustness tests are conducted by varying the measurement indices,text types,selected texts,and factors such as bank ownership,listing status,and macroeconomic fluctuations.The empirical findings are as follows.First,central bank expectation guidance policies are closely related to the macroeconomic environment.Second,the emotional interpretation of monetary policy reports,the market sentiment index,and the index reflecting the market recep

关 键 词：货币政策执行报告 预期引导政策 系统性金融风险 市场解读偏离 去一法 

分 类 号：F832.3[经济管理—金融学] F830.42