分析央行沟通对货币市场指标的影响

IF 0.6 Q4 BUSINESS
Diana Petrova, P. Trunin
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引用次数: 0

摘要

货币政策新闻稿在央行的沟通政策中发挥着重要作用。这些新闻稿解释了关键的利率决策,并为央行货币政策的未来方向提供了信号。信息信号可以影响金融市场参与者的预期,并提高货币政策的可预测性和有效性。没有足够的研究论文专门用于俄罗斯银行新闻稿的文本分析和信息信号的评估。因此,本文考察了货币政策信息信号对货币市场利率、期限和信用利差的影响。首先,我们估计潜在的狄利克雷分配来确定信息信号的主题。其次,我们使用情绪分析来构建关于放松或收紧货币政策的信号。第三,使用指数GARCH模型评估了未来货币政策信号对货币市场指标的影响。实证研究表明,未来货币政策宽松的信号与货币市场利率和期限利差的降低以及信贷利差的增加有关。事实证明,这一结果抵制了对新闻稿文本进行矢量化的各种方式。本文是俄罗斯总统国民经济与公共管理学院国家任务研究的一部分。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Analysis of the impact of central bank communications on money market indicators
Press releases on monetary policy play an important role in the communication policy of the central bank. These press releases explain key rate decisions and provide signals about the future direction of the central bank’s monetary policy. Information signals can influence the expectations of financial market participants and increase the predictability and effectiveness of monetary policy. There are not enough research papers dedicated to the text analysis of the Bank of Russia press releases and the assessment of information signals. Hence, this article examines the impact of information signals about monetary policy on the money market rate, term and credit spreads. First, we estimate latent Dirichlet allocation to determine the topics of information signals. Second, we use sentiment analysis to construct signals about easing or tightening of the monetary policy. Third, the impact of signals about the future monetary policy on the money market indicators is assessed using the exponential GARCH model. Empirical research has shown that signals of future monetary policy easing are associated with lower money market rates and term spreads, and an increase in the credit spread. The result proved to be resistant to various ways of vectorizing the text of press releases. The article was prepared as a part of the state assignment research of Russian Presidential Academy of National Economy and Public Administration.
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