央行沟通语义的金融市场响应

Financial Market Response to the Central Bank Communication Semantics

清晰透明的央行沟通有助于降低金融市场不确定性,提升沟通效力。本文运用自然语言处理方法构建央行沟通政策语气和语义相似度指标,并作为央行货币政策沟通和金融稳定沟通的测度,然后实证研究2010—2019年央行沟通语义对股票、外汇和债券市场的影响。研究结果表明,央行沟通政策语气对利率、股票和外汇市场水平值的影响存在异质性,其中对利率市场为正向积极影响,而对股票和外汇市场的影响不显著。非中性的政策语气通过制造“声音”而增加市场波动,央行沟通语义相似性的提高便于市场理解货币政策意图和动向,并且主要通过信息机制和经济不确定性机制发挥作用。政策语气的信息机制可增强央行调控外汇市场的效力,而语义相似度的信息机制可发挥更大的熨平市场波动作用;相对于传递信息引导价格变化,央行更关注金融稳定。在利率和汇率定价机制市场化改革后,央行较少进行市场干预,政策沟通对外汇市场波动的抑制作用最大,其次是债券市场,而股票市场受影响相对较小。央行沟通语气变化通过利率传导和金融市场联动将发挥更大的作用。

Effective central bank communication helps to reduce market volatility. In this paper, natural language processing method is used to construct the central bank communication tone and similarity index, and the effects of central bank communication on stock, bond and exchange rate from 2010 to 2019 are analyzed empirically. The results show that the tone of central bank communication positively affects the bond market while does not affect the stock and foreign exchange markets. Non-neutral policy tone increases the market volatility through making “voices”. The increase in the similarity in communication tone of the central bank helps the market understand the intention and trend of monetary policy. The information mechanism of policy tone can increase the efficiency of the central bank to control the foreign exchange market. And the information mechanism with semantic similarity helps to reduce market volatility. Compared with guiding price changes through transferring information, the central market pays more attention to financial stability. After the marketization reform on the pricing mechanism of interest and exchange rates, the central market seldom intervened the market. The policy communication has the most regulatory effect on the volatility of exchange market, followed by the bond market, and the least is the stock market. Combined with the interest rate transmission and the linkages within the financial market, the tone of communication will play a more important role.