央行沟通、信息冲击与国债市场波动

Central bank communication,information shock and treasury market volatility

在利率市场化改革背景下,国债市场是货币政策利率传导机制的重要环节,国债收益率及其波动可能受到央行沟通的影响.相比书面沟通,口头沟通频率更高、时效性更强,为此本文利用中国人民银行2003年至2018年口头沟通实践,通过前沿的文本分析方法提取每次沟通事件的语调与复杂度,并构造相邻两次沟通的文本相似度,基于EGARCH模型全面考察国债市场对央行沟通的反应.本文的实证研究发现,从均值方程看,沟通语调对国债收益率的引导作用在金融危机后明显增强、在长期国债收益率中更为显著,表明中国央行沟通的信息渠道正逐步完善且符合利率体系特征;从方差方程看,明显的沟通语调变动以及稳定和易于理解的措辞习惯能有效降低市场波动,表明中国央行沟通的协同渠道较为顺畅,货币当局能够通过预期管理维持市场稳定.

Considering China interest rates liberalization reform,the treasury market is an important part of the monetary policy transmission mechanism,in which the treasury yield and fluctuations will be affected by central bank communication information shocks.Compared with formal written communication,oral communication takes place more frequently and more timely,therefore,this paper uses China’s central bank oral communication practices from 2003 to 2018 to construct quantitative indicators from multiple dimensions including tone and text complexity for each communication,as well as the textual similarity between current and last communication.Based on the EGARCH model,we comprehensively examine the impact of central bank communication on the yield of the treasury market.We find that communication has an impact on the treasury yield since 2008 financial crisis,and it is more significant for long-term treasury,indicating the information channel of central bank communication is improved gradually.Besides,significant shift in tones,stable and intelligible phraseology can effectively reduce market fluctuation,indicating the coordination channel of central bank communication performs well.That is,China’s central bank can effectively maintain financial market stability by expectation management.