央行沟通、适应性学习和货币政策有效性

Central Bank Communication,Adaptive Learning and Monetary Policy Effectiveness

沟通已成为发达国家央行引导市场预期的主要方式,那么央行究竟是否应该进行沟通,央行沟通是否能够提高货币政策的有效性?为回答上述问题,本文在适应性学习框架下,构建了一个包含央行公共信息和公众私人信息的动态随机一般均衡模型,刻画了央行沟通影响公众学习和预期的传导机制。这不仅弥补了已有文献中对公众预期形成机制刻画的不足,而且从适应性学习角度为解释央行沟通提高货币政策有效性提供了一条新机制。研究发现,由于信息噪声和学习偏差的存在,公众预期会偏离理性预期。此时,央行通过提供准确度较高的公共信息不仅能够降低公众可获得信息的噪声,而且能够促进公众的学习过程,降低公众预期偏差。数值模拟结果表明,央行沟通能够加快适应性学习向理性预期均衡收敛的速度,降低福利损失,提高货币政策有效性。进一步的研究表明,央行沟通存在边界。当央行的公共信息不如私人信息准确时,央行沟通反而会增加福利损失。因此,对于目前仍不够重视沟通的中国央行而言,应在提高信息准确度的基础上重视并加强与市场的沟通,从而提高货币政策有效性。

Central banks communicate with the market about macroeconomic performance and monetary policy intentions to coordinate market expectations.While central banks in developed countries have placed a growing emphasis on communication and information disclosure,the Peoples Bank of China(PBC)does not pay enough attention to public communication.The Chinese economy is experiencing structural transformations in many areas,and there are calls for monetary policy to play a greater role.However,due to financial innovation,the effectiveness of quantitative monetary policy has decreased,while the pricebased monetary policy has not been well established.Could the PBC improve the effectiveness of monetary policy by communicating more to the public?Prior studies recognize the positive role of central bank communication,but few investigate the mechanism through which a central banks communication strategy impacts the effectiveness of monetary policy using DSGE models.This paper introduces adaptive learning,public information and private information into a standard DSGE model to study the impact of central bank communication on public learning and expectations coordination in a dynamic setting.We assume that individuals know the correct structure of the economy but do not know the exact parameters.Therefore,they adaptively learn from public and private information to update their parameter estimates and form expectations.Due to information noise and learning biases,the publics expectations deviate from rational expectations.We show that if the central banks public information is more accurate than private information,central bank communication can improve market expectations by reducing information and learning biases,accelerating the convergence toward the rational expectations equilibrium.This indicates that central bank communication can improve the effectiveness of monetary policy.Welfare analysis implies that the central bank can stabilize output and inflation through communication,reducing the gross social welfare loss.In our baseline calibration,central bank communication increases welfare by 15%relative to noncommunication.The more accurate the central banks information is,the less the welfare loss is and the more effective the monetary policy is.Moreover,when the central banks public information is more accurate than private information,the public increases the relative weight they place on public information.This reflects a greater coordination motive and will further enhance the effectiveness of monetary policy.If public information is less accurate than private information,then central bank communication may magnify the information noise and decrease social welfare.We contribute to the literature in two ways.First,we discover a new channel through which central bank communication affects the effectiveness of monetary policy.We decompose the publics expectation bias relative to rational expectations into an information bias and a learning bias.Central bank communication can reduce both biases by improving the precision of the information it discloses.Communication not only improves information quality,but also affects the publics learning process.The interaction between the publics adaptive learning and the central banks communication is important.The model we construct and the channel we identify shed new light on the theory of how central bank communication affects the effectiveness of monetary policy.Second,we prove that this effect is limited.Prior studies often assume that the central bank communicates information that is superior to private information.We investigate the case when the central bank communicates less accurate information than the public in a dynamic macroeconomic environment and find that central bank communication in such a case tends to hamper the publics learning process and decrease the effectiveness of monetary policy.Therefore,to make monetary policy more effective,it is important for the PBC to increase the precision of the information it discloses.