Research On The Impact Of Central Bank Communication On Financial Market And Macro Economy

After the 2008 international financial crisis,the global financial system and the real economy suffered a huge impact,asset prices fell sharply,banks failed one after another,and a large number of workers lost their jobs.The nominal policy interest rate of developed countries even broke through the zero lower limit of interest rate.Developing countries,including China,are faced with a series of problems,including intensified financial risks,severely damaged market confidence,insufficient effective demand and economic slowdown.Traditional monetary policies have been unable to meet the needs of economic development,and the central bank has been forced to implement unconventional monetary policies such as quantitative easing and forward-looking guidance to guide market expectations.The signal function of monetary policy is further strengthened,which transfers the information about monetary policy to economic entities and influences their future expectations.As an important means of unconventional monetary policy,central bank communication has been continuously expanded and deepened in this process,and its role as a new monetary policy tool has become increasingly prominent.At the same time,as a barometer of economic activities,financial market can quickly and effectively guide the capital flowing and improve the efficiency of capital allocation,which also provides a good condition for indirect financial regulation and control.It is of great significance to study the influence of central bank communication on the financial market and clarify the transmission mechanism in order to give full play to the role of central bank communication in guiding expectations and regulating the economy.This paper mainly studies the communication effect of the central bank after the financial crisis based on the basic form of written communication.First of all,this paper explains the definition of central bank communication.Then,this paper analyzes the transmission channels of the central bank's communication on the financial market from the theoretical aspect,and finds that there are mainly two ways including the signal channel and the coordination channel.Signal channel is mainly used to form the reasonable market expectations,while the coordination channel mainly focuses on the coordination and unification of heterogeneous expectations.By issuing policy signals,the central bank guides market expectations,changes its behaviors,and thereby affecting the yield of financial markets.Due to the differencesin the product structure,product type and development status of different markets,their response to central bank communication are also different.Based on the authoritative written communication document monetary policy implementation report,this paper extracted key words to construct communication index in order to quantify the communication content,communication direction and test its impact on the financial market.Then,analysis the impacts of central bank communication on stock market,bond market and foreign exchange market after the release of monetary policy implementation report respectively by using event analysis method.As for the index selection,stock market selects CSI300,bond market selects China Bond New Composite Index,and foreign exchange market selects the us dollar and RMB central parity rate.The empirical results show that when there is a signal of loose monetary policy,the stock price rises,the exchange rate falls and the bond market yields decrease.However,when there is a signal of tightening monetary policy,the stock price declines,the exchange rate rises and the bond market yields increase.The effect of central bank communication on the stock market is relatively significant,but not on the bond market.Because of the existence of jet lag,the reflect of foreign exchange market exists a lag.From the perspective of communication direction,the effect of tightening monetary policy is more significant than that of loose monetary policy.In the aspect of macroeconomics,this paper examines the impact of central bank communication on investment,exports,consumption and output.It is found that the communication between the central bank can promote the macroeconomic in all theses four aspects,but the duration is relatively short.In the future,central bank communication will have an increasingly prominent impact on the financial market and the macroeconomics.It is of great significance to give full play to the guiding role of central bank communication by enriching the communication channels of central bank,expanding the content of central bank communication and improving the transparency and accuracy of central bank communication.