央行沟通的叙事传导:情绪与主题的信息效应

Narrative Transmission of Central Bank Communication:Information Effect of Sentiments and Topics

本文通过构建混频DSGE模型,理论揭示央行叙事情绪与叙事“情绪-主题”的信息效应传导机制,并运用文本识别技术与机器学习方法,测度叙事情绪以及分类叙事主题,从而量化分析央行叙事情绪与叙事“情绪-主题”的信息效应,进一步,基于纵向、横向以及内部三方面的叙事情绪相似度,全面且深入地剖析央行沟通的叙事传导效果。研究发现,在书面单渠道以及书面、口头双渠道沟通下,央行叙事情绪均存在信息效应,能够改变私人部门对经济基本面的信念,以及调整私人部门对经济金融发展的预期。叙事情绪的信息效应存在与否及其传导效果,受到叙事渠道与叙事主题的影响,口头渠道沟通能够有效辅助书面渠道沟通,增强叙事情绪的信息效应传导机制。经济上行期主题相比经济下行期主题的叙事情绪更容易存在信息效应,但是,经济下行期主题一旦存在信息效应,传导效果更为明显。央行需保持前后纵向沟通以及不同渠道横向沟通的连贯性。相比口头渠道沟通,在利用书面渠道沟通文本内部的异常叙事信息时需要更加严谨、准确的措辞。

In the rapidly changing global economic and financial situation,the concept of monetary policy is undergoing significant changes.Central bank communication has become an important tool to effectively implement monetary policy and reshape the global economic and financial order.It has the mission to make up for the lack of effective traditional monetary policy.Given that central bank communication,as a unique manifestation of central bank narratives,can transmit beliefs and regulate private sector expectations,studying the narrative transmission mechanism of central bank communication on economy and finance is beneficial to the effective transmission of central bank communication.We consider the economic situation where money flows from the real to the virtual economy and the policy environment in which both quantitative and price-based monetary policy tools are applied.On the one hand,stock prices are introduced into the household liquidity budget constraint,and on the other hand,a hybrid monetary policy rule is set up to ensure that the theoretical model follows the macroeconomic reality in China.Meanwhile,by incorporating central bank narrative information into the theoretical model,we construct a DSGE model to reveal central bank narrative sentiment and narrative"sentiment-topic"transmission mechanism.We further measure the responses of economic and financial variables to narrative sentiment shocks and narrative"sentiment-topic"shocks,so as to quantify the information effect of central bank narrative.In the measurement of narrative information,text recognition techniques are used to measure the narrative sentiment of central bank communication.The machine learning method of LDA(Latent Dirichlet Allocation)model is chosen to classify narrative topics.In addition,we provide insight into the narrative transmission effects of central bank communication in terms of vertical,horizontal,and internal similarities.The study finds that the information effect of central bank narrative sentiment exists in both single-channel(written)and dual-channel(written-oral)communication,and can change the private sector's beliefs about economic fundamentals and adjust the public's expectations of economic and financial development.This effect is influenced by the narrative channel and topic.The communication from oral channel can effectively complement the written channel and enhance the transmission mechanism of the information effect of narrative sentiment.The upward topics are more likely to have an information effect than the downward topics of narrative sentiment.However,once economic downward topics have the information effect,the transmission effect of narrative sentiment is more obvious.Both vertically similar narrative sentiment messages before and after central bank announcement and horizontally similar narrative sentiment messages based on communication across channels are conducive to raising private-sector beliefs about positive economic developments and boosting expected output growth and stock price growth.All in all,central banks need to convey correct information on economic fundamentals to the private sector through authentic and reliable sentiment,so as to correct the private sector's expectations on economic fundamentals in time.In terms of the written channel,the central banks need to focus on the economic downturn topics,especially to enhance the frequency and depth of communication about new policies and events.In terms of oral channel communication,they need to strengthen its role in complementing to written channel communication,so as to enhance the information effect transmission mechanism of central bank narrative sentiment.In terms of similarity of narrative sentiment,the central banks need to maintain the coherence of backward and forward vertical communication and horizontal communication of different channels.At the same time,it's also important to maintain the consistency of upward and downward communication within the narrative text when communicating about the topics of"bond issuance","trade",and"bond trading",so as to avoid releasing unusual narrative sentiment.The use of written channels to communicate unusual narrative information within the text requires more rigorous and precise wording than oral communication.