中央银行沟通的金融市场响应──基于股票市场的事件研究

本文使用事件研究法分析我国中央银行沟通行为对股票价格走势的影响。研究发现,影响确实存在且影响方向和力度与央行沟通方式以及股票市场背景有关。具体而言:(1)书面沟通影响显著,口头沟通则无明显作用;(2)宽松性政策信息沟通产生了正向影响,紧缩性信息沟通影响为负;(3)沟通事件的影响主要体现为一种短期作用,并伴随着即时效应、预知效应和滞后效应;(4)在熊市或牛市的不同市场背景下,央行沟通对股价的影响存在非对称性。结果表明,央行的沟通手段对金融市场有重要影响。

Financial Market Response to Central Bank Communication: Event Study on Stock Market

Central bank communication occurs when a monetary authority releases information about future policy to the public to change economic agents' policy expectations. These explanations of future policy can even affect the psychology and behavior of economic agents more than the actual operation of the policy itself (Hansen and McMahon, 2016), and central bank communication has become an important tool for implementing monetary policy (Blinder et al., 2008).
The literature on central bank communication research in China mainly uses the China Monetary Policy Report (hereafter referred to as the Report) as research material, neglecting the communication information in the minutes of the quarterly meeting of the Monetary Policy Committee (hereafter referred to as the Minutes), which is more timely and forward-looking. In addition, existing researches mainly use the GARCH model, which is more suitable for the analysis of high-frequency data, but the data from Minutes and Report are quarterly. To resolve these shortcomings, we use both the Minutes and Report to identify written central bank communication, and we use Internet search materials to identify oral central bank communication. The event study method is then used to analyze how central bank communication affects stock prices in a relatively short time window.
Our study produced the following conclusions based on theoretical analysis. First, different types of central bank communication have different impacts on stock prices. Written communication has a significant impact on stock prices, but oral communication has no obvious effect. The reason may be that written communication is more formal and authoritative than oral communication, and its frequency of publication is more regular, so it more strongly affects economic agents' expectations and actions.
Second, written communication has the following effects. (1) Loose information communication increases stock prices, and tight information communication decreases stock prices. (2) Written communication shows strong short-term effects, clearly demonstrating the sensitivity of the Chinese stock market to information.
Third, communication based on the Report has three types of effects on stock prices: immediate effect, predictive effect, and lag effect. However, communication based on the Minutes only shows a predictive effect. The reason for this difference is that information based on the Report is more unambiguous, and agents pay more attention to the Report.
Fourth, written communication has asymmetric effects on stock prices against different market backgrounds. (1) The magnitude of the positive role of loose information communication in a bear market is less than that of tight information communication's negative role, while the magnitude of the positive role of loose information communication in a bull market is greater than that of tight information communication's negative role. (2) The magnitude of the negative role of tight information communication on stock prices is greater than that in a bull market; the magnitude of the positive role of loose information communication in a bear market is less than that in a bull market in a short period of time, while the magnitude of the positive role of loose information communication in a bear market is greater than that in a bull market in a longer period of time.
The policy implications of this study are as follows. (1) Written communication is an effective method of guiding the behaviors of participants in the stock market. (2) The central bank should be aware of the different functions of the Report and Minutes, to ensure the flexible dissemination of information.