The Measurement Of Central Bank Communication And Its Macroeconomic Effects

In recent years,more importance is being attached to central bank communication by central Banks around the world.More transparent,predictable and better communication have also become a major trend in the development of China's monetary policy.In order to measure the central bank's communication accurately,this paper takes "The People's Bank of China's Monetary Policy Implementation Report" as the text information source and uses computational linguistics method to construct the economic state index and forward guidance index to measure the communication of China's central bank.Firstly,this paper extracts the sentences related to the economic status in the report through the LDA model,and obtains the economic status index by measuring the proportion of words concerning "expansion" and"contraction".Then it examines the forward-looking guidance information released in the last section of the report.The comprehensive index of forward guidance is constructed from the direction,quantity and certainty of forward guidance.Then,the paper discusses the expected guiding effect of central bank communication on the public and the market from the perspective of economics theory,and tests the effectiveness of the transmission mechanism of"communication-expectation-interest rate-output" through the quantitative economic model.In order to study the macroeconomic effects of the central bank's communication policy on a broader set of indicators,this paper established a FAVAR model,and included the measurement index of two aspects of the central bank's communication built above into the monetary policy instrumental variables.It is found that(1)the economic status index and forward guidance index can capture the changes of interest rate in real time.The positive impact of one unit of interest rate in the current period can lead to the negative response of the economic state index and the positive response of the forward guidance index,that is,the central bank's communication can immediately reflect the adjustment of interest rate,and convey the view of economic downturn and the proposition of tightening monetary policy.(2)If adding "expansionary" content to the expression of economic status,the output variable will increase in a short term,that is,GDP shows significant growth in the second period.Moreover,expansionary expression of the economy state can significantly cool tight monetary policy in the short term.(3)There is no significant response to the impact of interest rate changes on the comprehensive index of forward guidance under the communication of the central bank,that is,China's monetary policy shows time inconsistency.The forward guidance shock of austerity has no moderating effect on economic growth.In addition,the effect of the central bank's communication on the current economic status and the policy forward-looking guidance on the economic variables is in line with the expectation of theoretical analysis.