央行溝通政策有效嗎？

——一種計算語言學方法^[1]

白仲林 楊璐 繆言^[2]

摘要：本文利用計算語言學方法構建測度央行溝通的經濟狀態指數和前瞻指導綜合指數，并建立FAVAR模型研究央行溝通政策的宏觀經濟效應。研究發現：這兩個指數能即時地反映利率調整；央行增加對經濟“擴張”狀態的表述具有短期的產出效應；前瞻指導綜合指數沖擊對未來利率變化不具有顯著影響；緊縮性前瞻指導綜合指數沖擊也不具有減緩經濟增長的效應；經濟“擴張”的觀點具有顯著為從緊貨幣政策短期“降溫”的潛在效應。

關鍵詞：央行溝通 貨幣政策 LDA模型

中圖分類號：F830.3 文獻標識碼：A

Is the Central Bank Communication Efficient？

—A Computational Linguistics Approach

Bai Zhonglin Yang Lu Miao Yan

Abstract：In this paper，we measure the economic state index and forward guidance index from central bank's communication using tools from computational linguistics，then we employ these measures within FAVAR model to explore their macroeconomic effects.It is found that：These two indexes can capture the adjustment of interest rate instantly；An increase statement of “expansionary” economic state has a short-term output effect；The forward guidance index has no significant effect on future interest rate；Contractionary forward guidance index has no effect on slowing economic growth；Views of economic “expansion” have potential effect of significantly “cooling-down” a tight monetary policy in short run.

Keywords：Central Bank Communication Monetary Policy LDA Model