摘要
货币政策的精准实施和有效传导是推进经济高质量发展和科学宏观调控的重要保障,也是近年来宏观领域的前沿议题。本文将信息驱动理论与货币政策框架相结合,利用高维稀疏建模方法从央行沟通和新闻报道文本中识别出叙事性冲击,并进一步运用格兰杰因果检验、高维TVP-VAR模型和平滑区制转移局部投影方法研究央行沟通向新闻媒体、经济主体和实体经济的信息扩散过程。研究结果表明,央行沟通产生的叙事性冲击与其推行的货币政策立场高度一致,且在经济改革和政策实施的关键时点,央行能将宏观调控、政策变动与经济形势等信息有效地传导至新闻媒体。进一步地,新闻媒体在央行沟通的信息扩散过程中发挥着重要作用,当央行沟通向新闻媒体的信息溢出渠道通畅时,央行沟通中的利率调控与数量调控信息能有效地管理预期和调控实体经济,但当央行沟通向新闻媒体的信息溢出渠道受阻时,两类调控的成效都被明显削弱。本研究为叙事性冲击识别及其传导机制的研究提供了新的思路和可行方法,也为宏观调控体系的升级优化提供了借鉴。
In recent years,the Chinese government and its central bank have repeatedly emphasized maintaining a flexible,appropriate,targeted,and effective monetary policy to create a sound monetary and financial environment for the high-quality development of China’s economy.However,affected by major shocks and complex economic conditions,there are blockages in China’s monetary policy transmission mechanism,which reduce its effectiveness in stabilizing output and prices.Against this background,the People’s Bank of China has begun to attach importance to optimizing and innovating the monetary policy regulation framework.Meanwhile,central bank communication and various new monetary policy tools have also taken on the important task of unblocking the transmission mechanism and enhancing the accuracy and effectiveness of macroeconomic regulation.Although existing literature has confirmed the value of central bank communication in expectation management and real economy regulation,it deviates from the standard path and research paradigm in traditional monetary policy research.Consequently,it fails to provide systematic explanations regarding the effectiveness,transmission channels,and functional mechanism of central bank communication.Therefore,based on narrative theory,we use text data from central bank communication and news media to systematically analyze the information diffusion process of narrative monetary policy,that is,“central bank communicationnews media-economic agents’expectations-real economy”,and offer a feasible approach for the transition from the traditional monetary policy research framework to the narrative research framework.The contributions of this paper are threefold.Firstly,there is currently no research measuring China’s narrative shocks,making it impossible to study the information diffusion process and mechanism of central bank communication.To address this issue,we extract nine macro factors from high-dimensional macroeconomic data,incorporate them as covariates into the hurdle distributed multinomial regression(HDMR)model,and construct the narrative cognition of the central bank and news media in different dimensions,respectively.Based on this,we measure the narrative shocks of central bank communication regarding different macro fundamentals.Second,this paper uses cutting-edge methods to construct the information diffusion process of central bank communication and systematically discusses the mechanism of narrative shocks from two aspects:local analysis and overall characterization.Specifically,we examine the cognitive contagion chain of central bank communication to news media through Granger causality test,use the high-dimensional time-varying parameter vector autoregressive(TVP-VAR)model to characterize the information diffusion process,and finally investigate the mechanism of narrative monetary policy shocks on public expectations and the real economy under different degrees of the information spillover from central bank communication to news media by combining the smooth transition local projection(STLP)method.Third,by integrating the innovations in the two aforementioned aspects,that is,“measurement of narrative shocks”and“construction of the information diffusion process”,we propose a new research paradigm for analyzing the mechanism and effectiveness of monetary policy in the new era.It provides new perspectives for future studies related to policy shock identification,policy effectiveness evaluation,and central bank communication.The results of this paper show that the narrative monetary policy shocks generated by central bank communication are highly consistent with the monetary policy stance it pursues.Moreover,at key junctures of economic reform and policy implementation,the central bank can effectively transmit information to the news media.Meanwhile,the news media plays an important role in the information diffusion process.When the information spillover channel from central bank communication to the news media is unobstructed,both interest rate regulation and quantity regulation in central bank communication can effectively manage expectations and regulate the real economy;however,when this information spillover channel is blocked,the effectiveness of both types of regulation is significantly weakened.
作者
郑挺国
陈琳艳
范馨月
ZHENG Tingguo;CHEN Linyan;FAN Xinyue(Center for Macroeconomic Research,Xiamen University;Paula and Gregory Chow Institute for Studies in Economics,Xiamen University;School of Economics,Xiamen University;School of Economics,Shanghai University of Finance and Economics;Key Laboratory of Mathematical Economics(SUFE),Ministry of Education)
出处
《经济研究》
北大核心
2025年第8期27-49,共23页
Economic Research Journal
基金
国家社会科学基金重大项目(23&ZD074)的阶段性研究成果。
关键词
信息扩散
文本分析
宏观调控
叙事性冲击
Information Diffusion
Text Analysis
Macroeconomic Regulation
Narrative Shocks
