| 预期引导、政策冲击与股市波动——基于文本分析法的异质性诊断 |
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| 引用本文： | 王 韧 刘于萍. 预期引导、政策冲击与股市波动——基于文本分析法的异质性诊断[J]. 统计研究, 2021, 38(12): 118-130. DOI: 10.19343/j.cnki.11-1302/c.2021.12.009 |
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| 作者姓名： | 王 韧 刘于萍 |
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| 摘 要： | 防范股票市场异常波动是维护金融稳定和防控金融风险的关键一环。货币政策实践中,预期引导与政策冲击对股市波动的实际影响和传导机制迥然不同。现有文献对两者之于股票市场波动 的异质性影响多有讨论,但分歧明显。基于2005年到2019年中国人民银行各季度《货币政策执行报告》和《货币政策大事记》,本文分别构建表征货币政策预期引导强度和实际操作频度的代理变量,对上述指标之于同期A股市场主要行业指数的波动性影响做了多维诊断和系统梳理。研究发现,第一,预期引导效应和政策冲击效应对于股票市场波动性的影响存在显著异质性特征,预期引导有助于平抑市场波动,而频繁调控则会放大股市波动。第二,预期引导的明确性会制约其对股市波动的平缓作用,货币调控意愿的表达越明确,越有助于平抑股票市场波动;而更坚决的“严厉型”表述比态度相对温和的“温和型”表述能够更显著地平抑股票市场波动。第三,实际操作频度对股市波动的放大作用受制于具体调控方向,宽松型调控的频率上升仅会小幅放大股市波动,而紧缩型货币调控则会大幅抬升股市波动性。由此,从平抑股市异常波动、维持金融稳定的角度出发,强化货币政策的预期引导比相机抉择的频繁调控更为重要;在预期引导过程中,应当增强调控意愿表达的明确性和坚决性,以限制其对金融市场运行带来的扰动。
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| 关 键 词： | 预期引导 政策冲击 股市波动 调控模式 |
Expectation Guidance,Policy Shocks and Volatility of Stock Market: Heterogeneous Impact Diagnosis Based on |
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| Wang Ren Liu Yuping. Expectation Guidance,Policy Shocks and Volatility of Stock Market: Heterogeneous Impact Diagnosis Based on[J]. Statistical Research, 2021, 38(12): 118-130. DOI: 10.19343/j.cnki.11-1302/c.2021.12.009 |
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| Authors: | Wang Ren Liu Yuping |
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| Abstract: | Controlling abnormal stock market volatility is critical to maintain financial stability and prevent financial risks. In the practice of monetary policy, expectation guidance and policy shocks have different actual effects and transmission mechanisms on stock market volatility. Existing literature has extensive discussions on the heterogeneous effects of expectation guidance and policy shocks on stock market volatility, but differs greatly. Based on the Monetary Policy Implementation Reports in different seasons and Monetary Policy Memorabilia of the People’s Bank of China from 2005 to 2019, the proxy variables representing the expectation guidance strength and actual operation frequency of monetary policy are constructed respectively. The impact of the above indicators on the volatility of major industry indexes in the A-share market during the same period is multi-diagnosed and systematically combed. The research shows the fallowing three results. First, expectation guidance and policy shocks have significant heterogeneity in their impact on stock market volatility. Expectation guidance helps stabilize market volatility, while frequent regulation will amplify stock market volatility. Second, the clarity of expectation guidance will restrict its smoothing effect on stock market volatility. The clearer the expression of monetary policy control willingness, the more helpful it is to smoothing stock market volatility; a stern expression with a more determined willingness can stabilize stock market volatility more significantly than a moderate expression with a relatively mild attitude. Third, the amplifying effect of actual operation frequency on stock market volatility is subject to specific control directions. The increasing frequency of loose control will only slightly amplify stock market volatility, while the tightening monetary control will greatly increase stock market volatility. Therefore, from the perspective of stabilizing abnormal stock market volatility and maintaining financial stability, strengthening the expectation guidance of monetary policy is more important than the frequent adjustment of discretionary decisions. In the process of expectation guidance, it is also necessary to increase the clarity and determination of the expression of regulatory willingness to limit the disturbance to the financial market. |
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| Keywords: | Expectation Guidance Policy Shock Stock Market Volatility Control Model |
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