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央行信息披露下的市场预期是金融资产价格形成和变化的重要原因。本文利用措辞提取法合成我国央行信息披露指数,根据脉冲响应和方差分解分析央行信息披露对金融资产价格的影响。实证结论表明:短期内,央行信息披露可以降低金融资产价格波动;与传统货币政策工具相比,央行信息披露对金融资产价格的贡献率大于一年期贷款基准利率,小于法定存款准备金率。因此,央行应该不断提高信息披露的精准性和完善央行信息披露制度,注重培育社会公众的金融素养,降低金融资产价格波动。
Market expectation under the information disclosure of the central bank is an important reason for the formation and change of the price of financial assets. This paper uses the method of wording extraction to synthesize the information disclosure index of China’s central bank, and analyzes the impact of central bank’s information disclosure on the price of financial assets based on impulse response and variance decomposition. The empirical results show that in the short term, central bank information disclosure can reduce the price volatility of financial assets. Compared with the traditional monetary policy instruments, the contribution rate of central bank information disclosure to financial asset prices is greater than the one-year lending benchmark interest rate and less than the statutory deposit reserve ratio. Therefore, the central bank should continuously improve the accuracy of information disclosure and improve the central bank’s information disclosure system, focus on cultivating the financial literacy of the public and reducing the price volatility of financial assets.