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.
Financial NetworksCentral Bank Verbal Communication IndexDynamic LinkagesTVP-VAR
NETL
NSTL
万方数据
