中央银行前瞻性指引的政策语义与预期渠道研究  

The Research on Policy Semantics and Expectation Channels of the Central Bank's Forward Guidance

作　　者：聂丽 石凯[2] NIE Li;SHI Kai(Jilin University,Changchun 130012;Northeast Normal University,Changchun 130117,China)

机构地区：[1]吉林大学数量经济研究中心,吉林长春130012 [2]东北师范大学经济与管理学院,吉林长春130117

出　　处：《当代财经》2024年第11期70-83,共14页Contemporary Finance and Economics

基　　金：国家社会科学基金青年项目“货币政策前瞻性指引的作用机制与政策效果研究”(20CJL006)。

摘　　要：前瞻性指引是管理预期的创新型货币政策工具,明晰中央银行前瞻性指引的政策语义及其作用机制对于健全货币政策框架意义重大。借助文本分析技术,从政策倾向和经济前景两个维度测度中国货币政策前瞻性指引的政策语义,并通过宏观金融仿射期限结构模型分离利率预期和期限溢价,在此基础上,运用指数广义自回归条件异方差模型和时变格兰杰因果关系检验探究前瞻性指引的传导机制。研究发现,前瞻性指引更强调预期管理的降噪声功能,无法通过传递新信息影响利率预期;政策倾向型前瞻性指引可以更有效地发挥降噪声功能,而经济前景型前瞻性指引无法引导未来利率预期的走向。进一步分析发现,政策倾向型前瞻性指引语义相似度的提高会显著降低短期利率预期的波动,经济前景型前瞻性指引更可能通过期限溢价主导的不确定性渠道影响中长期利率。因此,建议中国人民银行稳步推进前瞻性沟通,完善以预期管理为基础的跨周期政策设计,构建有中国特色的预期管理制度框架。Forward guidance is an innovative monetary policy tool used to manage expectations.Clarifying the policy semantics and mechanism of the central bank's forward-looking guidance is of great significance for improving the monetary policy framework.This paper adopts the text analysis techniques to measure the policy semantics of China's monetary policy forward guidance from the two dimensions:policy orientation and economic prospects.It also separates interest rate expectations and term premiums through a macro financial affine term structure model.On such a basis,this study explores the transmission mechanism of the forward guidance using an exponential generalized autoregressive conditional heteroskedasticity model and a time-varying Granger causality test.The findings show that the forward guidance emphasizes more the noise reduction function of the expectation channel,but cannot affect the interest-rate expectations through transmitting new information.The policy-inclination forward guidance can more effectively fulfill the noise reduction function,whereas the economic-outlook forward guidance cannot guide the direction of future interest rate expectations.Further analysis reveals that an increase in the semantic similarity of policy-inclination forward guidance can significantly reduce the volatility of short-term interest rate expectations,and that economic-outlook forward guidance is more likely to influence the medium and long-term interest rates through uncertainty channels dominated by term premiums.Therefore,it is recommended that the People's Bank of China should steadily advance forward communication,refine the cross-cycle policy design based on expectation management,and construct an expectation management system framework with Chinese characteristics.

关 键 词：前瞻性指引 预期渠道 利率期限结构 期限溢价 

分 类 号：F822[经济管理—财政学]