Research On The Impact Of Central Bank Communication On Bond Market

In recent years,the management of expectations has become an important means of macro-control,and the importance of central bank communication has increased accordingly.With the improvement of the transparency of China's monetary policy,the people's bank of China also continuously conveys it's monetary policy information through various forms of communication.This paper mainly studies the influence of central bank communication on the bond market,and analyzes whether the central bank can guide the objects of communication to form reasonable expectations and stabilize the bond market.Firstly,this paper introduces the ways,objects and contents of the central bank's communication,and analyzes the influence mechanism of the central bank's communication on the bond market.In empirical aspect,collected from China's bond market yield data,published by the people's bank of China monetary policy report,the people's bank of China monetary policy committee meeting held news conferences,former President of the interview and other relevant information,the period of central bank communication information for text analysis and assignment,through the establishment of EGARCH model analysis of central bank communication and overall impact on the bond market yields,as well as the analysis of central tendency of different communication ways and policy impact on bond yields.The results show that the communication of the central bank of China has a certain influence on the bond yield,and the influence is asymmetric,that is,the effect of the communication of the central bank with the intention of tightening is greater than that of the communication of the central bank with the intention of easing.The effect of oral communication is stronger than that of written communication.Finally,this paper hold the point that attention should be paid to the role of central bank communication in macro-control,and puts forward policy suggestions on strengthening central bank communication from three aspects: establishing a clear communication strategy,promoting the institutionalization of central bank communication,and optimizing and standardizing the public information transmission mechanism.