首页|美联储货币政策溢出、央行预期管理与中国资产价格

美联储货币政策溢出、央行预期管理与中国资产价格

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在全球流动性持续收紧和地缘政治冲突升级背景下,如何实现"以我为主,兼顾内外平衡"成为央行货币政策制定过程中的核心问题之一.本文构建适用于央行沟通的中文情感词典,运用文本分析方法从中、美央行沟通文本中提取情绪指标,检验了美联储货币政策冲击的市场影响和中国央行在防范外部冲击中的重要作用和机制.研究结果表明:除美联储传统货币政策冲击外,美联储沟通情绪也会显著影响中国A股市场,并集中体现为消极情绪的作用;中国央行沟通可以通过释放积极情绪,缓和美联储消极情绪带来的负向影响.此外,机制分析发现,积极的央行沟通情绪能通过信号渠道和协同渠道有效缓解投资者的负向预期、减少投资者分歧,进而促进市场稳定.本研究为防范发达经济体货币政策溢出效应提供了经验证据.
Fed Monetary Policy Spillovers,Central Bank Expectation Management and Chinese Asset Prices
Against the backdrop of persistent global liquidity constraints and escalating geopolitical conflicts,the People's Bank of China's(PBC's)approach of prioritising domestic issues by"balancing internal and external factors"has become a pivotal consideration in its monetary policymaking.This paper presents a compendium of central bank communications on monetary policy reports.It employs textual analysis to extract sentiment indicators from US and Chinese monetary policy reports,examines the impact of the Federal Open Market Committee's(FOMC's)monetary policy on China's capital market and highlights the critical role that PBC plays in preventing external monetary policy shocks.Empirical results indicate that:(1)in addition to the traditional Federal Reserve(Fed)monetary policy shocks,FOMC sentiment communications also significantly affect China's A-share market and concentrate on the role of dovish sentiment;(2)the PBC can effectively alleviate the adverse impacts of the Fed's pessimism by releasing positive sentiment reports;and(3)the mechanism analysis suggests that PBC's positive communication sentiment can effectively mitigate investors'negative expectations and reduce investors'disagreement through signalling and synergistic channels,thereby promoting market stability.In conclusion,the paper's findings provide empirical support for preventing monetary policy spillovers from developed economies.

central bank communicationsChinese asset pricesUS monetary policy spilloverstextual analysis

李斌、雷印如、王健

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武汉大学经济与管理学院 武汉大学金融研究中心 湖北省武汉市武昌区八一路299号 430072

央行沟通 资产价格 美国货币政策外溢 文本分析

国家自然科学基金面上项目国家自然科学基金面上项目国家社会科学基金重大项目

723711917197116420&ZD105

2024

世界经济
中国世界经济学会,中国社会科学院世界经济与政治研究所

世界经济

CSTPCDCSSCICHSSCD北大核心
影响因子:2.733
ISSN:1002-9621
年,卷(期):2024.47(1)
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