央行口头沟通对金融市场网络的影响研究

A Study of the Impact of Central Bank Verbal Communication on Financial Market Networks

本文通过文本分析和有监督的词典生成方法量化央行口头沟通指数,并基于TVP-VAR模型构建金融网络,研究央行口头沟通对金融市场的影响。研究发现,在央行沟通指数的影响下,除大宗商品市场和债券市场外,货币市场对其他市场的溢出效应均表现为显著减弱;央行口头沟通对货币市场的总接收效应、总溢出效应及净溢出效应抑制最为明显。在股市震荡阶段,央行口头沟通对货币市场与股票市场间溢出效应的有效性被削弱,在2018~2023年期间,央行口头沟通能够有效抑制货币市场及大宗商品市场的总溢出效应。

In this paper,we quantify the central bank verbal communication index through text analysis and supervised dictionary generation methods,and construct a financial network based on the TVP-VAR model to study the impact of central bank verbal communication on the financial market.It is found that under the influence of the central bank communication index,the spillover effect of the money market on other markets,except for the commodity market and the bond market,shows a significant weakening.The verbal communication of the central bank suppresses the gross reception effect,gross spillover effect and net spillover effect of the money market most significantly.During the stock market shock phase,the effectiveness of the central bank's verbal communication on the spillover effect between the money market and the stock market is weakened,and the central bank's verbal communication is effective in suppressing the gross spillover effect in the money market and the commodity market during the period from 2018 to 2023.