中央银行公告与资产价格反应——基于双因素模型的实证分析

Central Bank Communication and Asset Prices——An Empirical Analysis Based on Two-Factor Model

本文以中国人民银行的书面公告为研究对象,分析公告对股票和债券市场资产价格的即时影响以及预期引导效果,并检验单因素模型是否足以描述公告产生的利率冲击。分析发现,对于中国市场,单一变量——市场基准利率变动——不足以描述央行公告的利率冲击,而需要两个因素来实现。为此,本文使用主成分分析法,获得即时因素和预期因素,通过两个因素来分别分析市场对公告的即时反应和预期反应。通过研究双因素模型的估计结果,我们发现股票市场和债券市场对人民银行公告都有显著的即时反应,且反应方向与公告的利率目标调整方向一致,即公告具备正确引导市场价格即时变动的能力。但另一方面,尽管债券市场价格对公告有较长时间的显著反应,反应方向显示人们会预期货币政策朝市场原始预期的方向回归,即大部分公告不具备引导市场长期预期的能力,公告中不符合市场预期的信息对市场的影响被认为是暂时的。

This paper investigates the effect of Chinese central bank written communication on asset prices and on expectation guidance.It also tests whether these effects are adequately captured by a single factor—changes in the repo rate—and find that they are not.Instead,two factors are required.A structural interpretation of these two factors can be a 'current repo rate target' factor and a 'future path of policy' factor,which is achieved by principle component method.We measure the effects of these two factors on stock prices and bond yields,and find that both stock prices and bond yields react significantly and immediately to the central bank announcements in the way as the central bank expects it to be.On the other hand,although the communication does impose effect on asset prices in an extended period,it is unable to guide the market expectation as the central bank hopes.According to the estimates,people strongly believe that the asset prices would return to the level that they have previously expected,and therefore the surprise content in the central bank announcement is regarded as temporary policy.