央行货币政策报告文本信息、宏观经济与股票市场

本文利用金融情感词典和文本分析技术,分析中国人民银行货币政策执行报告的文本情绪、文本相似度和文本可读性等多维文本信息,刻画央行货币政策执行报告的文本特征,探究货币政策报告的文本信息与宏观经济和股票市场的关系。实证研究发现,货币政策报告的文本情绪的改善会引起显著为正的股票市场价格反应,报告文本相似度的增加会引起股票市场波动性的显著降低,报告可读性对公布后股票市场的波动性影响不显著。货币政策报告文本情绪还与诸多宏观经济指标显著相关。进一步研究发现,引起股票市场显著反应的是报告文本情绪中反映货币政策指引的部分,而反映宏观经济历史状态的部分对股票市场的影响不显著。本文从文本大数据分析角度证明了我国央行沟通的有效性,对国内央行沟通相关研究形成了有益补充。

Textual Information of Central Bank Monetary Policy Report,Macroeconomy and Stock Market Performance

Since the 1990s, central bank communication has become a hot issue in macroeconomics and finance. Many scholars have conducted meaningful research on the issues such as the measurement of central bank communication, central bank communication and inflation expectations, and central bank communication and financial markets. Among them, the influence of central bank communication on financial markets and asset prices has received wide attention. A large number of empirical studies have shown that central bank communication has a significant impact on the stock market, the bond market and the foreign exchange market. As the People's Bank of China (PBOC) has paid increasing attention to policy communication in recent years, many Chinese scholars have conducted research on the impact of PBOC’s communication on China's financial markets. However, there are two major shortcomings in the existing studies. First, they only focus on monetary policy tendency of PBOC’s communication and ignore other information contained in the communication. Second, most scholars construct quantitative indicators by manual reading and scoring, making the results highly subjective. This paper uses text analysis techniques to analyze 71 Monetary Policy Implementation Reports (hereinafter referred to as “the reports”) of PBOC, calculates the text sentiment (tone), the similarity and readability and other text indicators of the reports, and explores the relationship between these text indicators and the macro economy and the stock market. Based on the Chinese financial sentiment dictionary developed by Jiang et al. (2020), this paper uses the sentiment unit method to calculate the tone of the reports. In addition, this paper uses TF-IDF weighted cosine similarity to characterize the similarity of the reports, and uses average sentence length to characterize the readability of the reports. The paper then uses correlation analysis to examine the relationship between the tone of the reports and macroeconomic indicators such as economic growth, inflation, and interest rates. With reference to Ehrmann and Fratzscher (2009), Zhang and Hu (2014), this paper adds tone, similarity and readability to the EGARCH model to explore whether textual indicators of the reports affect stock market returns and the volatility on the trading day after the release. Furthermore, this paper decomposes the content of the reports into two parts: economic and financial fundamentals and central bank policy guidelines, calculates the tone of the two parts and examines their impacts on the stock market respectively. The empirical results show that the tone of the reports is significantly correlated with macroeconomic indicators such as economic growth, inflation, and employment levels, and higher value of tone indicates better economic situation. After controlling for variables such as economic growth and monetary policy, the tone of the report has a significant positive impact on stock market return after the report is released. The similarity of the report has a significantly negative impact on stock market volatility, whereas the readability of the report does not have a significant impact on stock market volatility. Further research shows that it is the part reflecting the central bank's policy guidelines rather than the part reflecting macroeconomic and financial fundamentals that has a significant impact on stock market returns. This paper fills a number of gaps in the field of central bank communication and text analysis. First, this paper is the first to use cutting-edge text analysis techniques to conduct a comprehensive analysis of the monetary policy reports of PBOC. Second, this paper fills the gap in quantitative analysis of the sentiment of central bank communication in China's academia. Third, this paper conducts an empirical study on the mechanism of PBOC’s communication affecting the stock market, and proves that the report's tone affects the stock market only through the policy guidance channel. The findings of this paper are of great significance to strengthening financial supervision and promoting macro-prudential management in China. The results show that PBOC communication can significantly affect the stock market, which fully affirms the effectiveness of PBOC’s communication. Through adequate communication with the market, PBOC can influence asset prices, thereby achieving the purpose of monetary policy regulation and maintaining financial stability. In addition, this paper points out that the part of PBOC’s reports that affects the market is the part that reflects central bank's predictions of the future economic situation and its policy guidance. Therefore, PBOC should use its authority and influence to manage market expectations more effectively through timely announcements and clear explanations of economic and financial situation predictions and monetary policy guidance.