期刊文献+

中央银行沟通对利率变化的研究——基于我国的实证分析 被引量:2

下载PDF
导出
摘要 中央银行沟通已是全球普遍性现象,现已成为中央银行管理预期的重要工具。本文利用2006年10月至2012年9月中国人民银行的沟通数据,运用EGARCH实证研究中央银行沟通对利率变化的影响。研究发现,中央银行沟通对利率变化有一定影响,影响的方向与中央银行预期一致,但未能降低利率变化的波动率,口头沟通对利率变化的影响大于书面沟通,中央银行行长的沟通效果优于他人沟通。
出处 《发展研究》 2014年第2期26-29,共4页 Development Research
  • 相关文献

参考文献5

  • 1冀志斌,周先平.中央银行沟通可以作为货币政策工具吗——基于中国数据的分析[J].国际金融研究,2011(2):25-34. 被引量:77
  • 2Blinder A.S. Central Bank Communication and Monetary Policy A Survey of Theory and Evidence[J].{H}Journal of Economic Literature,2008.
  • 3Benjamin B. Central Bank Communication on Financial Stability,Working Paper[R].2011.
  • 4D.Rudebusch,C.Williams. Revealing the Secrets of the Temple:The Value of Publishing Central Bank Interest Rate Projections[R].Federal Reserve Bank of San Francisco Working Paper Series,No.2006-31,.
  • 5Ehrmann M,M.Fratzscher. Communication by Central Bank Committee Members:Different Strategies,Same Effectiveness[J].{H}Journal of Money Credit and Banking,2007,(2-3):509.

二级参考文献14

  • 1Andersson, M., H. Dillen and P Sellin. Monetary Policy Signaling and Movements in the Term Structure of Interest Rates[J]. Journal of Monetary Economics, 2006, 53 (8): 1815-55.
  • 2Bernanke, B. S. Fedspeak. Remarks at the Meetings of the American Economic Association[R]. San Diego, 2004.
  • 3Blinder, A. S., M. Ehrmann, M. Fratzscher, J. D. Haan and D. J. Jansen. Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence[J]. Journal of Economic Literature, 2008, 46 (6) : 910-945.
  • 4Brand C., D.-Buncic and J. Turunen. The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve[R]. ECB Working Paper, 2006, No. 657.
  • 5Connolly E. and M. Kohler. News and Interest Rate Expectations: A Study of Six Central Banks[R]. In The Future of Inflation Targeting, eds. by Kent C. and S. Guttman, 2004: 108-34.
  • 6Ehrmann M. and M. Fratzscher. Communication by Central Bank Committee Members: Different Strategies, Same Effectiveness?[J]. Journal of Money, Credit, and Banking, 2007, 39 (2-3): 509-41.
  • 7Eusepi, S. and B. Preston. Central Bank Communication and Expectations Stabilization[R]. NBER Working Paper, 2007, No. 13259.
  • 8Gurkaynak R.S., B. Sack and E.T. Swanson. Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements [J]. International Journal of Central Banking, 2005, 1 (1) : 55-93.
  • 9Guthrie G. and J. Wright. Open Mouth Operations[J]. Journal of Monetary Economics, 2000, 46 (2) : 489-516.
  • 10Jansen D. J. and J. D. Haan. Does ECB communication help in predicting its interest rate decisions?[R]. CESifo Working Paper, 2006 : 1804.

共引文献76

同被引文献31

  • 1张帆、瞿慧.《基于互联网信息的投资者关注的探究》,《中国管理科学》2011年第2期.
  • 2Brad, B.M. and Odean, T., All that glitters: The effect of attention and news on the buying behavior of in- dividual and institutional investors. Review Of Financial Studies, Vol.21, No.2,2008.
  • 3Compte, O. and Postlewaite, A., Confidence-en- hanced performance. American Economic Review, Vol.94, No.5,2004.
  • 4Egert, B. and Kocenda, E., The impact of macro news and central bank communication on emerging Eu- ropean forex markets. Economic Systems, Vol.38, No. 1, 2014.
  • 5Ehrmann, M. and Fratzseher, M., How should cen- tral banks communicate?. European Working Paper Series, No.557,2005.
  • 6Ehrmann, M. and Fratzscher, M., The timing of central bank communication. European Journal Of Political Economy, Vol.23, No. 1,2007.
  • 7Hayo, B., Kutan, A. and Neuenkirch, M., The ira- pact of U.S. central bank communication on European and pacific equity markets. Economics Letters, Vol. 108, No.2,2010.
  • 8Hirshleifer, D. and Teoh, S.H., Limited attention, information disclosure, and financial reporting. Journal Of Accounting And Economics, Vol.36, No. 10,2003.
  • 9Lamla, M.J. and Sturm, J., Interest rate expecta- tions in the media and central bank communication KOF Working Papers, No.334,2013.
  • 10Loh, R.K., Investor inattention and the underre- action to stock recommendations. Financial Manage- ment, Vol.39, No.3,2010.

二级引证文献12

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部