央行沟通模糊性的测度及宏观经济效应研究

The Measurement and Macroeconomic Effects of Ambiguity in Central Bank Communication

现有研究肯定了央行沟通作为预期管理工具的积极作用,却忽视了央行沟通实践中普遍存在的模糊性特征,即央行会在同一沟通中同时释放具有多种政策倾向的信息。基于中国央行口头沟通实践,本文首先通过监督词典法测度每次沟通文本中不同政策倾向的概率分布,利用赫芬达尔多样性指数测度沟通模糊性,发现模糊性存在明显的时变性,且具有不同于新闻报道中的经济政策不确定性的独特信息。其次,混频SVAR模型的实证发现央行沟通模糊性使公众无法准确理解政策意图以及预测未来政策倾向,从而扩大公众预期分歧,降低实际产出的典型事实,为模糊性信息“误导效应”的理论机制提供了经验证据。当公众面临高模糊性时,他们会基于担心未来市场流动性紧缩的最差预期采取行动,带来产出和CPI下降的负面宏观经济效应。与此同时,平滑区制转移模型实证结果表明,较高的沟通模糊性会削弱货币政策的有效性。最后,本文补充了书面沟通文本以及来自欧洲央行模糊性沟通的经验证据,表明本文研究结论具有稳健性和一般性,为提高沟通效率并提升货币政策有效性提供了重要的实证支持。

As an important tool for expectation management,central bank communication plays a crucial role in shaping market expectations and improving the effectiveness of monetary policy.However,due to institutional and economic constraints,it may also release information on multiple policy stances,and fail to clearly convey information to the public.Therefore,an important question arises:how to measure the ambiguity of central bank communication and does ambiguous communication have a significant impact on public expectations and the effectiveness of monetary policy?Based on the practice of the People's Bank of China(PBOC),this paper first measures the probability distribution of different policy tendencies in each communication text through the supervised dictionary method,and uses the diversity index to measure the level of ambiguity.We find that the ambiguity index has unique information that differs from economic policy uncertainty measured by news.Secondly,the empirical study based on the mixed-frequency VAR model finds that ambiguity in communication makes it difficult for the public to accurately understand policy intentions and predict policy trends,thereby expanding the disagreement of public expectations and reducing the real output.This provides empirical evidence for the theoretical mechanism of the misguidance effect of ambiguous information.The more ambiguous central bank communication is,the people are more concerned about the worst-case scenario of market liquidity tightening,leading to negative macroeconomic effects.This paper also finds that ambiguous communication will weaken the effectiveness of monetary policy.Finally,empirical evidence from the European Central Bank's ambiguous communication is added,which shows that the conclusions arerobust and general.The marginal contribution of this paper is manifested in the following three aspects.First,we propose a measurement scheme for ambiguous communication of central banks,characterizing key aspects of the PBOC's communication practices.Second,we provide empirical evidence for the theoretical research on ambiguity.In empirical research,we find that the ambiguous communication increases expectation disagreement and leads to expectation bias,which in turn reduces real output and weakens the effectiveness of monetary policy.Third,we affirm that ambiguity in central bank communication is a key reason for increased disagreement in public expectation,offering a fresh perspective on the emergence of expectation disagreement.We also find that public expectation bias is mainly influenced by communication ambiguity rather than by uncertainty,which provides empirical evidence on how to improve the effectiveness of expectation management.