中国央行沟通指数的测度与谱分析

发布时间：2018-11-23 13:37

【摘要】：本文基于措辞提取方法,以《中国货币政策执行报告》为文本基础,对中国央行沟通指数进行测度。本文对货币政策状态的判断、关键措辞的提取、措辞权重的确定以及指数的计算等环节进行了详细的阐述,以达到全面性、稳健性以及可复制性的测度目标。测度方案的敏感性分析表明:增加国外经济形势的措辞描述,由于其与国内信息的差异性使得指数更为平滑;改变措辞类型的权重对测算结果影响不大;改变措辞类型的数量虽然不会改变指数所显示的货币政策倾向,但会明显改变其强度;改变个别时期的货币政策状态判断,对有效措辞类型的选取有一定影响,但对最终沟通指数的构建影响甚微。进一步对货币政策工具的谱分析显示,相比数量型和价格型两类实际干预工具,央行沟通的谱密度在各个频域的波峰分布较为均衡,体现出既强调快速反应,又重视政策长期连续性的特点。
[Abstract]:Based on the word-extraction method, this paper measures the communication index of the people's Bank of China (PBoC) on the basis of the report on the implementation of China's Monetary Policy. In this paper, the judgment of monetary policy state, the extraction of key words, the determination of word-weight and the calculation of index are discussed in detail, in order to achieve the measurement goal of comprehensiveness, robustness and replicability. The sensitivity analysis of the measurement scheme shows that increasing the description of foreign economic situation makes the index smoother because of its difference with domestic information, and changing the weight of wording type has little effect on the calculation results. While the number of changes in the type of wording does not change the monetary policy bias shown by the index, it will significantly change its intensity; Changing the judgment of monetary policy state in individual period has a certain influence on the choice of effective wording type, but has little effect on the construction of final communication index. Further spectral analysis of monetary policy tools shows that, compared with quantitative and price-based practical intervention tools, the spectrum density of central bank communication is more balanced in each frequency domain, reflecting the emphasis on rapid response. Also attaches importance to the policy long-term continuity characteristic.
【作者单位】：中山大学岭南学院;清华大学五道口金融学院;
【基金】：国家自然科学基金资助项目“央行沟通、传统货币政策与宏观经济稳定化”(71303264) 广东省自然科学基金资助项目“中央银行沟通的策略与宏观经济效应研究”(S2013040015332) 中央高校基本科研业务费专项资金资助“中国系统性与非系统性货币政策的时变特征与宏观经济效应”(10000-3161137)资助
【分类号】：F822.0

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