摘要
通过合理政策有效引导通货膨胀预期对当前中国经济具有重要现实意义。本文用自回归分布滞后模型和EGARCH模型捕捉央行沟通对通胀预期及其波动的影响。实证结果表明:央行沟通传递的货币政策信息被市场有效捕捉和解读,实现了通胀预期管理目的,增加沟通频率能有效降低通胀预期波动;但央行的"言行偏离"加剧了短期通胀预期波动,降低了央行沟通和货币政策操作的实际效果;通胀预期存在分布厚尾性和右偏斜,市场出现极端预期的概率较大,且更倾向于预期通胀上升,通胀预期波动的群聚特性表明其具有阶段性自我强化特征。研究结论为央行沟通的有效性提供了实证支撑,揭示出的通胀预期分布特征对提高央行预期管理措施的针对性具有参考价值。
This paper makes an empirical study on the effect of central bank communication on inflation expectation,and uses autoregressive distributed lag model and EGARCH model to capture the impact of central bank communication on inflation expectation and its fluctuation.The following is the conclusion of the article.First,the monetary policy information communicated by the central bank is effectively captured and interpreted by the market,which achieves the purpose of inflation expectation management,and improving the communication frequency can effectively reduce the fluctuation of inflation expectation.Second,the "inconsistency of words and actions" of the central bank aggravates the fluctuation of short-term inflation expectation,and reduces the actual effect of central bank communication and monetary policy operation.Third,inflation expectation has thick tail and right deviation,which shows that the probability of extreme expectation is higher,and the market is more inclined to expect inflation to rise.Finally,the clustering characteristics of inflation expectation volatility show that it has the characteristics of periodic self strengthening.The research conclusion provides empirical support for the effectiveness of central bank communication.The analysis of the distribution characteristics of inflation expectation revealed has reference value for improving the pertinence of central bank’s expectation management measures.
作者
张靖泽
沈根祥
Zhang Jingze;Shen Genxiang
出处
《财经科学》
CSSCI
北大核心
2021年第7期51-65,共15页
Finance & Economics
关键词
央行沟通
通胀预期
利率期限结构
预期管理
Central Bank Communication
Inflation Expectation
Term Structure of Interest Rate
Expectation Management
