央行沟通、信息溢出与宏观经济运行/The dollar versus the euro as international reserve currencies

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。

Abstract: We begin by examining determinants of aggregate foreign exchange reserve holdings by central banks (size of issuing country’s economy and financial markets, ability of the currency to hold value, and inertia). But understanding the determination of reserve holdings probably requires going beyond the aggregate numbers, instead observing individual central bank behavior, including characteristics of the holding country (bilateral trade with the issuing country, bilateral currency peg, and proxies for bilateral exposure to sanctions), in addition to the characteristics of the reserve currency issuer. On a currency-by-currency basis, US dollar holdings are somewhat well explained by several issuer characteristics; but the other currencies are less successfully explained. It may be that the results from currency-by-currency estimation are impaired by insufficient sample size. This consideration offers a motivation for pooling the data across the major currencies and imposing the constraints that reserve holdings are determined in the same way for each currency. In this setting, most economic determinants enter with significance: economic size as measured by GDP, bilateral currency peg, and bilateral trade share. While one geopolitical factor (congruence in voting in the UN) is typically significant in the expected manner (with the exception of the US dollar), the other geopolitical factor (sanctions) does not enter with significance.