统计研究
統計研究
통계연구
Statistical Research
2015年
1期
52~58
,共null页
央行沟通 测度 措辞 谱分析
央行溝通 測度 措辭 譜分析
앙행구통 측도 조사 보분석
Central Bank Communication ; Measurement; Wording; Spectral Analysis
本文基于措辞提取方法,以《中国货币政策执行报告》为文本基础,对中国央行沟通指数进行测度。本文对货币政策状态的判断、关键措辞的提取、措辞权重的确定以及指数的计算等环节进行了详细的阐述,以达到全面性、稳健性以及可复制性的测度目标。测度方案的敏感性分析表明：增加国外经济形势的措辞描述,由于其与国内信息的差异性使得指数更为平滑;改变措辞类型的权重对测算结果影响不大;改变措辞类型的数量虽然不会改变指数所显示的货币政策倾向,但会明显改变其强度;改变个别时期的货币政策状态判断,对有效措辞类型的选取有一定影响,但对最终沟通指数的构建影响甚微。进一步对货币政策工具的谱分析显示,相比数量型和价格型两类实际干预工具,央行沟通的谱密度在各个频域的波峰分布较为均衡,体现出既强调快速反应,又重视政策长期连续性的特点。
本文基于措辭提取方法,以《中國貨幣政策執行報告》為文本基礎,對中國央行溝通指數進行測度。本文對貨幣政策狀態的判斷、關鍵措辭的提取、措辭權重的確定以及指數的計算等環節進行瞭詳細的闡述,以達到全麵性、穩健性以及可複製性的測度目標。測度方案的敏感性分析錶明：增加國外經濟形勢的措辭描述,由于其與國內信息的差異性使得指數更為平滑;改變措辭類型的權重對測算結果影響不大;改變措辭類型的數量雖然不會改變指數所顯示的貨幣政策傾嚮,但會明顯改變其彊度;改變箇彆時期的貨幣政策狀態判斷,對有效措辭類型的選取有一定影響,但對最終溝通指數的構建影響甚微。進一步對貨幣政策工具的譜分析顯示,相比數量型和價格型兩類實際榦預工具,央行溝通的譜密度在各箇頻域的波峰分佈較為均衡,體現齣既彊調快速反應,又重視政策長期連續性的特點。
본문기우조사제취방법,이《중국화폐정책집행보고》위문본기출,대중국앙행구통지수진행측도。본문대화폐정책상태적판단、관건조사적제취、조사권중적학정이급지수적계산등배절진행료상세적천술,이체도전면성、은건성이급가복제성적측도목표。측도방안적민감성분석표명：증가국외경제형세적조사묘술,유우기여국내신식적차이성사득지수경위평활;개변조사류형적권중대측산결과영향불대;개변조사류형적수량수연불회개변지수소현시적화폐정책경향,단회명현개변기강도;개변개별시기적화폐정책상태판단,대유효조사류형적선취유일정영향,단대최종구통지수적구건영향심미。진일보대화폐정책공구적보분석현시,상비수량형화개격형량류실제간예공구,앙행구통적보밀도재각개빈역적파봉분포교위균형,체현출기강조쾌속반응,우중시정책장기련속성적특점。
In this paper, we transform words from China Monetary Policy Report into quantitative indicators based on the decoding algorithm. We provide a detailed description of the judgment of the monetary policy phases, the identification of significant signal words, the determination of the weights of the signal words and the calculation of the indicator to make our algorithm comprehensive, robust and replicable. The sensitivity analysis shows that： （1） the indicator becomes smoother when we include the signal words describing the foreign economic situations; （2） changing the weights of the signal words doesn＇ t have much influence upon the final indicator; （3） changing the number of signal words will not change the direction of the monetary policy but will influence the intensity significantly; （4） changing the judgment of controversial monetary policy phases influences the chosen signal words but has little influence upon the final result. The further spectral analysis upon the monetary instruments shows that the spectral density of central bank communication is distributed more uniformly among different frequency domains compared with quantitative and pricing instruments, which reflects its characteristic of reacting fast and emphasizing the long-term continuity of policies.
