公众经济信息获取行为测度与货币政策有效性

摘要/Abstract

摘要：

公众预期会影响货币政策效果，而公众学习又在预期形成中起到了至关重要的作用。本文将网民群体针对某些特定关键词的互联网搜索量合成为公众信息获取指数，并研究该指数与货币政策效果之间的关系。论文首先在非对称信息宏观金融博弈的框架内提出三个研究命题，然后选择69个月度变量建立FAVAR模型测度货币政策效果，并利用滑窗技术描述政策效果随时间的变化规律，最后建立回归模型研究公众信息获取指数与政策效果之间的相关性。实证研究表明，公众信息获取指数与经济波动程度高度相关，而根据指数构成可知，经济数据在公众预期形成以及测度其理性程度时占有至关重要的地位。公众对宏观经济数据和政策动向的关注会使货币扩张对产出的刺激作用表现得更温和，并能显著降低通胀水平和通胀波动，理性预期假说近似成立。

关键词: 公众预期, 货币政策, 宏观金融博弈, 因子增广向量自回归模型(FAVAR)

Abstract:

Public expectation can significantly affect the effectiveness of monetary policy and in the process of expectation formation, public learning plays a crucial role. In view of this, this paper discusses the relationship between public's information acquisition behavior and the effectiveness of monetary policy through an information acquisition index. The index is constructed by using the Internet search volumes of some specific key words. Firstly, this paper proposes three assumptions based on macro financial game of asymmetric information. Then, a FAVAR model contained 69 monthly variables is estimated to evaluate the effectiveness of monetary policy. At the same time, sliding window technology is used to describe the temporal characters of the policy's effectiveness. Finally, the correlation between the effectiveness of monetary policy and the information acquisition index is tested. The empirical result shows that the index is highly correlated with macroeconomic fluctuations. Meanwhile, economic data play a crucial role in public expectation formation and in public rationality measurement. The public concern of macroeconomic data and policies may somewhat neutralize the stimulating effect of monetary expansion on output and remarkably reduce the level and volatility of inflation.

Key words: public expectation, monetary policy, macro financial game, factor-augment vector regressive model (FAVAR)

袁铭. 公众经济信息获取行为测度与货币政策有效性[J]. , 2017, 29(8): 13-22.

Yuan Ming. Measurement of the Behaviors of Public Information Acquisition and Its Relationship with the Effectiveness of Monetary Policy[J]. , 2017, 29(8): 13-22.

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