调预期、防风险:央行金融稳定沟通效果研究——基于文本分析的视角  

Guiding Expectations and Reducing Risks:The Effects of Financial Stability Communication in China——Evidence from Textual Analysis

作　　者：姜富伟 李梦如 孟令超[4] JIANG Fuwei;LI Mengru;MENG Lingchao(Xiamen University;Central University of Finance and Economics;University of International Business and Economics)

机构地区：[1]厦门大学经济学院 [2]厦门大学王亚南经济研究院 [3]中央财经大学金融学院 [4]对外经济贸易大学中国金融学院

出　　处：《经济学（季刊）》2024年第6期2025-2040,共16页China Economic Quarterly

基　　金：国家社会科学基金重大项目“三重压力下双支柱调控的政策效应评估与优化研究”(22&ZD063)的支持。

摘　　要：本文利用Word2Vec算法构建了一款金融稳定沟通词典,从而测度了央行金融稳定沟通的文本情绪。实证发现央行金融稳定沟通能够提高股票回报并降低波动,表明其能够引导市场预期并降低市场风险。央行金融稳定沟通可以通过信号渠道引导投资者预期,同时通过协同渠道降低投资者意见分歧。本文构建的金融稳定沟通词典填补了国内该领域研究的空白,同时本文结论对于央行如何使用金融稳定沟通调控预期和防范风险具有重要的理论和现实意义。We construct a financial stability communication dictionary using the Word2Vec algorithm, and extract sentiment from financial stability communication texts. Empirical results show that financial stability communications can guide expectations and reduce risks in the financial market. Furthermore, we find communications guide investor expectations through a signaling channel, and reduce investor disagreements through a coordination channel. The financial stability communication dictionary is more suitable for the context of financial stability communication, which fills the gap in the literature. Overall, our results highlight the theoretical and practical importance of the central bank's financial stability communications.

关 键 词：金融稳定 中央银行沟通 情感词典 

分 类 号：F832.31[经济管理—金融学]