关键词: 预期引导, 政策冲击, 股市波动, 调控模式

Abstract: Controlling abnormal stock market volatility is critical to maintain financial stability and prevent financial risks. In the practice of monetary policy, expectation guidance and policy shocks have different actual effects and transmission mechanisms on stock market volatility. Existing literature has extensive discussions on the heterogeneous effects of expectation guidance and policy shocks on stock market volatility, but differs greatly. Based on the Monetary Policy Implementation Reports in different seasons and Monetary Policy Memorabilia of the People’s Bank of China from 2005 to 2019, the proxy variables representing the expectation guidance strength and actual operation frequency of monetary policy are constructed respectively. The impact of the above indicators on the volatility of major industry indexes in the A-share market during the same period is multi-diagnosed and systematically combed. The research shows the fallowing three results. First, expectation guidance and policy shocks have significant heterogeneity in their impact on stock market volatility. Expectation guidance helps stabilize market volatility, while frequent regulation will amplify stock market volatility. Second, the clarity of expectation guidance will restrict its smoothing effect on stock market volatility. The clearer the expression of monetary policy control willingness, the more helpful it is to smoothing stock market volatility; a " stern" expression with a more determined willingness can stabilize stock market volatility more significantly than a " moderate" expression with a relatively mild attitude. Third, the amplifying effect of actual operation frequency on stock market volatility is subject to specific control directions. The increasing frequency of loose control will only slightly amplify stock market volatility, while the tightening monetary control will greatly increase stock market volatility. Therefore, from the perspective of stabilizing abnormal stock market volatility and maintaining financial stability, strengthening the expectation guidance of monetary policy is more important than the frequent adjustment of discretionary decisions. In the process of expectation guidance, it is also necessary to increase the clarity and determination of the expression of regulatory willingness to limit the disturbance to the financial market.

Key words: Expectation Guidance, Policy Shock, Stock Market Volatility, Control Model