中央银行沟通是否更有助于预测官方利率决定——来自《中国货币政策执行报告》的证据

Do Central Bank Communication Better Help Predict Official Interest Rate Decisions:Based on "The implementation report of Chinese monetary policy"

根据泰勒规则的有序概率模型,利用中央银行沟通指示器变量和宏观经济变量解释官方利率决定,预测2003—2009年官方利率决定。结果表明:(1)在样本期内,沟通指示器变量提高了官方利率决定的解释力;(2)经济增长的沟通指示器变量、预期的宏观经济变量以及当期的通货膨胀率对官方利率决定有显著影响;(3)在官方利率决定上升和不变时,沟通指示器变量模型的预测能力要好于宏观经济变量模型,但在官方利率下降时,却不能胜过宏观经济变量模型。

Using an ordered probit model of a Taylor rule,this paper explains official interest rate decisions on the basis of macroeconomic variables and communication indicators,and predicts official rate decisions between 2003 and 2009. This paper finds：（1） our communication indicators improve explanatory power in and out of sample.（2） Official interest rate decisions are significantly related to the indicator of economic growth,expected macroeconomic information and inflation.（3） The communication-based model performs models based on macroeconomic data in predicting change of official interest rate when official interest rate becomes higher or constant.