Recently, the co-authored paper Central Bank Communication, Information Spillovers and Macroeconomic Performance: A Narrative Shock Perspective by Lecturer Fan Xinyue from the Department of Econometrics, School of Economics, Shanghai University of Finance and Economics, has been formally published in Economic Research Journal, the top Class A authoritative economics journal in China.
Abstract
Precise implementation and effective transmission of monetary policy constitute a critical underpinning for advancing high-quality economic development and sound macroeconomic regulation, and have emerged as a frontier research topic in macroeconomics in recent years. This paper integrates information-driven theory into the monetary policy framework. Using high-dimensional sparse modeling, it identifies narrative shocks from texts of central bank communications and news reports. Granger causality tests, high-dimensional TVP-VAR models and smooth regime-switching local projection methods are further adopted to investigate how information propagates from central bank communication to news media, economic agents and the real economy. The results show that narrative shocks generated by central bank communication are highly consistent with the monetary policy stance. At critical junctures of economic reform and policy implementation, the central bank can effectively transmit information on macroeconomic regulation, policy adjustments and economic conditions to news media. Moreover, news media play an essential role in this information diffusion process. When the spillover channel from central bank communication to news media is unobstructed, both interest-rate and quantity-based policy signals embedded in central bank communication can successfully manage expectations and stabilize the real economy. In contrast, the effectiveness of both types of regulation weakens substantially once this information spillover channel is disrupted. This study offers new perspectives and implementable methods for identifying narrative shocks and tracing their transmission mechanisms, and provides insights for upgrading and optimizing the macroeconomic regulation system.
About the Author
Fan Xinyue holds a PhD in Quantitative Economics and is a Shanghai Chenguang Scholar. She is currently a Lecturer at the School of Economics, Shanghai University of Finance and Economics. Her research interests include macroeconometrics, textual analysis, macroeconomic monitoring and forecasting, as well as big-data modeling methods and applications. In recent years, she has published multiple papers in leading journals including Economic Research Journal, The Journal of World Economy, Journal of Management Science in China, International Journal of Forecasting and Journal of Forecasting. She presides over the Shanghai Chenguang Program, the Shanghai Program for AI-Driven Research Paradigm Reform and Academic Advancement, and the Open Project of the Key Laboratory of Mathematical Economics of the Ministry of Education. As a core team member, she participates in major research projects including key base projects of the Ministry of Education for humanities and social sciences, major projects of the National Social Science Fund of China, General Projects of the National Natural Science Foundation of China, and key national statistical science research projects.
