The Central Bank's "Words and Deeds" Deviation and the Long-Term Dynamic Correlation Between Financial Market Research:Based on the Mixed-Frequency DCC-MIDAS Model
This paper uses the natural language processing method to construct the deviation index of the central bank's policy operation to measure the degree of the deviation of the central bank's"words and deeds",and then studies the long-term dynamic correlation between financial market based on the mixed-frequency DCC-MIDAS model.The empirical results are as follows:the deviation of the central bank's policy operation index hurts the volatility of bond market yields,and its impact mainly comes from the unexpected mone-tary policy tightening.The stock market,and foreign exchange market return volatility have an asymmetric impact.For the correlation between financial markets,the deviation index of central bank policy operation has a significant negative impact on the long-term corre-lation between bond and foreign exchange market,especially the long-term correlation between national debt and foreign exchange mar-ket;for the long-term dynamic correlation of the stock-foreign exchange market,the deviation index of the central bank's policy opera-tion has a significant positive impact on it,which mainly comes from the positive"words and deeds"deviation of the central bank;the deviation index of central bank policy operation has no significant influence on the long-term correlation of the stock-bond market.
central bank communicationdeviation indexmarket relevanceDCC-MIDAS model
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