央行沟通政策有效吗？

——一种计算语言学方法^[1]

白仲林 杨璐 缪言^[2]

摘要：本文利用计算语言学方法构建测度央行沟通的经济状态指数和前瞻指导综合指数，并建立FAVAR模型研究央行沟通政策的宏观经济效应。研究发现：这两个指数能即时地反映利率调整；央行增加对经济“扩张”状态的表述具有短期的产出效应；前瞻指导综合指数冲击对未来利率变化不具有显著影响；紧缩性前瞻指导综合指数冲击也不具有减缓经济增长的效应；经济“扩张”的观点具有显著为从紧货币政策短期“降温”的潜在效应。

关键词：央行沟通 货币政策 LDA模型

中图分类号：F830.3 文献标识码：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