中国央行沟通稳定外汇市场的效果研究——基于语义相似度的分析

A Study on the Effectiveness of PBOC’s Communication in Stabilizing the Foreign Exchange Market:An Analysis Based on Semantic Similarity

中国的央行沟通不仅用于引导货币政策预期和宏观经济预期,还发挥着稳定汇率的作用。然而,相比于央行沟通影响利率和股价的研究,针对汇率的研究仍然较少。本文使用EGARCH模型研究了中国人民银行货币政策执行报告语义相似度对汇率波动的影响,试图检验央行沟通在稳定汇率方面的成效。本文实证研究表明,央行沟通语义相似度的提高会加剧汇率波动。这是因为,央行沟通语义相似度越高,央行释放的新信息就越少,从而会阻碍预期引导、加剧市场分歧,最终引起市场波动。分主题的文本语义相似度研究得到了类似的结论。进一步地,本文还发现了央行沟通语义相似度对汇率稳定的影响存在非线性特征,即当期或上一期语义相似度越高,语义相似度的提高对汇率波动的影响会越大。异质性分析表明,央行沟通语义相似度对汇率的影响在汇率升贬值以及近期是否实施过货币政策操作的情况下均表现出显著的异质性。最后,本文对如何完善和实践央行沟通提出了政策建议。

The People’s Bank of China’s communications are not only used to guide monetary policy expectations and macroeconomic expectations,but also play a role in stabilizing the exchange rate.However,the existing literature on central bank communication has focused more on interest rates and stock markets and less on exchange rates.This paper investigates the impact of semantic similarity of PBOC’s monetary policy implementation report on the foreign exchange market using the EGARCH model and tries to answer whether central bank communication can be a new tool for monetary policy in China.It is found that an increase in semantic similarity of central bank communication exacerbates exchange rate volatility.This is because the higher the semantic similarity of central bank communication,the less new information is released by the central bank,which will hinder expectation guidance,intensify market disagreement,and ultimately cause market volatility.A sub-topic study of textual semantic similarity yields similar findings.Further,the paper also finds nonlinear and heterogeneous effects of semantic similarity of central bank communication.The higher the semantic similarity in the current or previous period,the greater the impact of increased semantic similarity on exchange rate volatility.Heterogeneity analysis shows that the impact of semantic similarity of central bank communication on exchange rates shows significant heterogeneity both in terms of exchange rate appreciation and depreciation and whether monetary policy has changed recently.Finally,the paper provides policy recommendations on how to improve and practice central bank communication.