The Impact Of Unexpected Monetary Policy "Missing Information" On The Stock Returrns

As a new monetary policy tool,central bank communication can guide market expectations by issuing policy intentions,make financial market development and monetary policy tend to agree,and effectively play the policy value of monetary policy.China also pays more and more attention to the role of central bank communication in the expected management.By regularly issuing the "Monetary Policy Implementation Report",holding quarterly regular meetings,etc.,we can release the information of monetary policy intentions,improve the transparency of monetary authorities,and increase the predictability of monetary policy.At the same time,as an important component of the financial market,the stock market is one of the important ways for economic participants to participate in the market.It can more sensitively reflect the changes in the market economy,and its fluctuations will also have a significant impact on the overall macroeconomic.It is also one of the important considerations of the monetary authorities when making administrative decisions.The two factors affect each other.In the context of the changing global economic situation,it is significant and important to study the impact of central bank communication on the stock market and clarify the effectiveness of its policy to give full play to the policy guidance effect of central bank communication.This article first reviews the current research status of monetary policy and central bank communication on the stock market.From the research content,existing research shows that the "unexpected part" of monetary policy only has an impact on the market.However,in existing research,unexpected monetary policy is mainly based on unexpected monetary policy information with certain data representations and easy to obtain,namely "observable information",There is no analysis of unexpected information other than "observable information",and there is implicit and unobservable "missing information".From the perspective of research methods,there are endogeneity and simultaneity issues between central bank communication and the impact on the stock market.The existing literature uses VAR,SVAR,GARCH and other models for analysis,and although policy shock responses are obtained,it is difficult to solve the problems of simultaneity and endogeneity.The event study can better solve the endogeneity and synchronization problems,but it is found that the traditional event study(OLS,heteroscedasticity)will be affected by the data generation logic,that is,the research results will be affected by the unexpected monetary policy indicators constructed.Based on the existing research results and the daily high-frequency data of the stock market,this paper selects the Monetary Policy Implementation Report and its supplement,the Regular Meeting of the Monetary Policy Committee and the China Financial Stability Report as the communication research events of the central bank,and uses the event study to analyze the impact of unexpected monetary policy on stock returns.Firstly,define the concepts of unexpected monetary policy information,omitted information,and central bank communication,and determine that omitted information is implicit and unobservable "potential information",which includes unpredictable parts that are difficult to measure,such as economic participants’ interpretation of policy information and subjective reactions.Secondly,manually collect central bank communication events,use the methods of fixed and floating interest bonds and treasury bond futures to build "observable" unexpected monetary policy information.Then,empirical analysis is carried out.First,it is analyzed by the traditional methods of event study(OLS method and heteroscedasticity method).Then,a "potential factor" is introduced to describe the "missing information" in unexpected monetary policy information.By constructing a state space model,the parameter estimation is realized by using the Kalman filter method.The empirical results show that under the OLS analysis method,most parameters are not significant and the explanatory power of the model is relatively low;The heteroscedasticity analysis method does not have significant parameter estimation,and the reason is that it is not applicable to the frequency of domestic monetary policy issuance;By using Kalman filtering to identify the "latent factors" in the model,it was found that they are statistically significant,and increasing them can enhance the explanatory power of the model.Therefore,this article believes that there is potential unobservable "missing information" in unexpected monetary policy information that has a significant impact on stock returns.This article explores innovative approaches: firstly,unexpected monetary policy is a partial measure,which means there is potential unobservable "missing information" that has an impact on stock returns.Existing literature mostly focuses on analyzing "observable" unexpected monetary policy information,without further analyzing the impact of "potentially unobservable information" in unexpected monetary information on stock returns.The second is to expand the analysis scope of central bank communication on monetary policy.Most existing literature analyzes the impact of a single central bank communication event on stock returns.This article selects multiple central bank communication events for analysis to analyze the impact of such textual events on stock returns.Thirdly,the Kalman filtering method is introduced into the event study method.In order to better identify the potentially unobservable part of unexpected monetary policy information,this paper introduces the Kalman filter method,which can better identify "potentially unobservable information".It is an innovative attempt of the event study,and can effectively make up for the inadequacy of traditional methods.