Central bank communication and macro information in analyst forecasts: Evidence from Chinese listed firms

IF 9.4 3区 管理学 Q1 BUSINESS, FINANCE Journal of International Financial Management & Accounting Pub Date : 2024-02-14 DOI:10.1111/jifm.12202
Dong Chen, Kun Liu, Lerong He
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Abstract

The paper examines how central bank communication affects the macro information in analyst forecasts. Using quarterly data of Chinese-listed firms from 2007 to 2018, we find that richer and more frequent central bank communication increases the macro information contained in analyst forecasts. This effect is realized through the employment of in-house economists by security firms. In addition, we document that the effect of central bank communication on macroeconomic information in analyst forecasts is more salient under a contractionary monetary policy regime, during a bear market, or when the economic policy is more uncertain. We also show that analyst forecasts are more sensitive to central bank communication when firms that they follow are state-owned enterprises, have larger leverage ratios, or are located in more developed regions. In addition, analyst forecasts are more susceptible to central bank communication when the communication is in an informal oral format, when the public has more trust in the credibility of the central bank communication, and when the central bank pays more attention to expectation management after 2010. Finally, we show that richer and more frequent central bank communication also improves the accuracy of analyst forecasts.

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分析师预测中的央行沟通和宏观信息:来自中国上市公司的证据
本文研究了央行沟通如何影响分析师预测中的宏观信息。利用2007年至2018年中国上市公司的季度数据,我们发现,更丰富、更频繁的央行沟通会增加分析师预测中包含的宏观信息。这一效应是通过证券公司聘用内部经济学家实现的。此外,我们还记录了央行沟通对分析师预测中宏观经济信息的影响,这种影响在紧缩性货币政策体制下、熊市期间或经济政策不确定性较高时更为突出。我们还发现,当分析师所跟踪的企业是国有企业、杠杆比率较大或位于较发达地区时,分析师的预测对央行沟通更为敏感。此外,当沟通采用非正式口头形式、公众更信任央行沟通的可信度以及央行在 2010 年后更重视预期管理时,分析师的预测更容易受到央行沟通的影响。最后,我们表明,更丰富、更频繁的央行沟通也会提高分析师预测的准确性。
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来源期刊
CiteScore
9.10
自引率
2.00%
发文量
23
期刊介绍: The Journal of International Financial Management & Accounting publishes original research dealing with international aspects of financial management and reporting, banking and financial services, auditing and taxation. Providing a forum for the interaction of ideas from both academics and practitioners, the JIFMA keeps you up-to-date with new developments and emerging trends.
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