央行沟通能否有效应对突发事件“大考”--基于中国人民银行沟通事件的文本分析

Can Central Bank’s Communication Effectively Deal with Emergency?-Text Analysis based on Communication Event of People’s Bank of China

研究重大突发事件下央行沟通平抑股市波动的有效性及作用机制。研究三次突发事件下央行沟通的政策效应,结论表明2020年新冠疫情时期央行沟通平抑股市波动的政策效果最好,不同时期下的时变研究也表明央行沟通能在短期内稳定股市波动,但中长期效应并不明显甚至可能加剧市场波动;中介效应回归结果表明投资者情绪是央行沟通与股市波动之间的重要传导渠道;央行沟通、投资者情绪与股市波动之间存在动态时变关系,央行沟通能够有效调节投资者情绪,投资者情绪与股市波动之间呈现明显正向效应。

This paper studies the effectiveness and mechanism of central bank’s communication in stabilizing stock market volatility under major emergencies.Firstly,studying the policy effects of central bank communication under three emergencies,the results indicate that central bank’s communication had the best effect in suppressing stock market volatility during the COVID-19 period in 2020,time-varying studies in different periods also show that central bank’s;communication could stabilize stock market volatility in the short term,but the medium and long term effects are not obvious and might even aggravate market volatility.Secondly,the results of mediating effect regression show that investor sentiment is an important transmission channel between central bank’s communication and stock market fluctuations.Moreover,there is a dynamic time-varying relationship between central bank’s communication,investor sentiment and stock market volatility.Central bank’s communication could effectively regulate investor sentiment,and investor sentiment and stock market volatility are positively correlated.