央行沟通与资产价格——识别“潜在”未预期货币政策信息  

Central Bank Communication and Asset Prices——A Method for Identifying Potential Information of Unexpected Monetary Policy

作　　者：董青马[1] 张皓越 马剑文 尚玉皇[1] Dong Qingma;Zhang Haoyue;Ma Jianwen;Shang Yuhuang(Institute of Chinese Financial Studies,Southwestern University of Finance and Economics)

机构地区：[1]西南财经大学中国金融研究院,四川成都611130

出　　处：《金融研究》2024年第6期40-59,共20页Journal of Financial Research

基　　金：国家社科基金一般项目(20BJY255);国家社科基金重大项目(20&ZD081);中央高校项目(JBKZD06005)的资助。

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。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 impac

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 

分 类 号：F822.0[经济管理—财政学] F832