| 央行沟通对于货币政策实际干预的预测能力研究 |
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| 引用本文： | 陈良源等. 央行沟通对于货币政策实际干预的预测能力研究[J]. 统计研究, 2021, 38(1): 38-50. DOI: 10.19343/j.cnki.11-1302/c.2021.01.004 |
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| 作者姓名： | 陈良源等 |
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| 摘 要： | 信息沟通有助于公众理解和预测货币政策的实际干预,进而提高货币政策有效性。研究中国人民银行的信息沟通对实际政策干预的预测能力需要解决沟通文本的测度问题,同时考虑实际政策干预多工具并用的复杂性。基于此,本文通过文本分析方法提取《货币政策执行报告》的信息,进而考察央行沟通对于货币政策实际干预的预测能力。研究表明,整体而言,市场对中国人民银行“听其言”有助于“观其行”。具体来看,央行沟通对于直接可控的基准利率和存款准备金率具有持续的预测能力,但对于市场利率的预测能力较差,对于M2增长率的预测甚至存在方向不一致的情况。
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| 关 键 词： | 央行沟通 货币政策 实际干预 |
A Study on the Predictive Ability of Central Bank Communication for the Monetary Policy Actual Intervention |
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| Chen Liangyuan et al. A Study on the Predictive Ability of Central Bank Communication for the Monetary Policy Actual Intervention[J]. Statistical Research, 2021, 38(1): 38-50. DOI: 10.19343/j.cnki.11-1302/c.2021.01.004 |
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| Authors: | Chen Liangyuan et al |
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| Abstract: | Information communication helps the public to understand and predict the actual intervention of monetary policy, thereby improving the effectiveness of monetary policy. To study the predictive ability of the People’ s Bank of China ( PBC) communication for actual policy interventions, we should consider the measurement of communication texts and complexity of multiple-tool interventions. This paper extracts the information of the Monetary Policy Report through text analysis, and then explore the predictive ability of PBC communication. The results show that listening to PBC’ s words is helpful to predict its actions. Specifically, the central bank communication has continuous predictive ability for the directly controllable benchmark interest rate and deposit reserve ratio, but it has poor predictive ability for market interest rate, and there is even inconsistency in the direction of M2 growth rate prediction. |
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| Keywords: | Central Bank Communication Monetary Policy Actual Intervention |
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