政策沟通模糊性、投资者预期与资产价格:实验室检验  

Policy communication ambiguity,investor expectations and asset prices:Evidence from a laboratory experiment

作　　者：宗计川[1] 刘珍芝 李江艳 ZONG Ji-chuan;LIU Zhen-zhi;LI Jiang-yan(School of Finance,Dongbei University of Finance and Economics,Dalian 116025,China;School of Fintech,Dongbei University of Finance and Economics,Dalian 116025,China)

机构地区：[1]东北财经大学金融学院,大连116025 [2]东北财经大学金融科技学院,大连116025

出　　处：《管理科学学报》2025年第2期140-153,共14页Journal of Management Sciences in China

基　　金：中央高校基本业务费资助项目(2021WKFZZX014);国家自然科学基金资助项目(72173017);国家自然科学基金资助青年科学基金项目(72403034);教育部人文社会科学研究一般项目(23YJC790060)。

摘　　要：在政策沟通实践中,探索政策沟通信息模糊性对投资者预期和市场产生何种影响,具有明确的理论和现实意义.鉴于此,本文基于学习预测实验,通过将政策沟通信息区分为政策触发维度和调整幅度维度,对比检验了不同维度信息模糊性的差异化作用.实验结果表明:1)消除触发维度模糊性,可以明显提升资产价格稳定性;2)消除调整幅度维度模糊性,并不能提升甚至会降低资产价格稳定性.这与直觉并不一致,意味着在利率政策沟通中,并非模糊性越少越好,消除利率政策沟通触发维度模糊性并保留调整幅度维度的模糊性,稳定资产价格的政策效果最好.针对这一结果,本文从市场参与人预期形成策略角度进行机制分析,发现市场参与人在面对仅调整幅度存在模糊性的沟通时,倾向于更多使用稳定价格的适应性预期,较少选择驱动价格泡沫持续增加的强趋势跟踪策略或学习锚定调整策略,从个体行为角度为不同模糊性沟通信息下异质性市场表现找到了依据.In policy communication practice,exploring the impact of ambiguous policy communication on investor expectations and market stability is with significant theoretical and practical relevance.Using a learningto-forecast experiments,this paper distinguishes between two dimensions of policy communication information:the policy trigger dimension and the adjustment scale dimension and examines the impacts of ambiguous communication from either dimension.The experimental findings reveal that reducing ambiguity in the policy trigger dimension significantly enhances asset price stability,while reducing ambiguity in the adjustment magnitude dimension either fails to enhance or may even destabilize asset prices.This counterintuitive result suggests that the effects of ambiguous communication are dimension-specific;Thus,minimizing ambiguity in the policy trigger dimension while maintaining it in the adjustment magnitude dimension can effectively bolster the stabilizing impact of policy communication.Furthermore,we examine the mechanisms underlying these dynamics by analyzing market participants'expectation formation strategies.Results indicate that when ambiguity arises from the adjustment magnitude dimension,participants are more inclined to adopt adaptive expectation strategiesleading to greater price stability-while being less likely to employ trend-following strategy or learning,anchoring and adjusting strategy,which are associated with greater price instability.Our analysis contributes to the understanding of heterogeneous market responses to varying dimensions of policy communication ambiguity.

关 键 词：稳预期 利率政策沟通 资产价格 模糊性决策 学习预测实验 

分 类 号：F822.0[经济管理—财政学]