Author(s)

Xinyi Xu

Corresponding Author

Xinyi Xu

Abstract

This paper extracts the key words of China Monetary Policy Report of the People's Bank of China (PBOC) from 2006 to 2020, and constructs a quantitative communication index. With the EGARCH model, it analyzes the influence of forward guidance on the price and volatility of Chinese stock yield. The results show that forward guidance has an impact on stock yield, and the direction of influence is in line with the monetary policy expectation.

Keywords

Forward guidance, Wording method, Stock yield, Egarch model