题目: From Talk to Walk to Stock: How Does Fiscal Communication Move Financial Markets in China?

主讲人：Yao Tang (Peking University, Guanghua School of Management)

摘要：We apply a retrieval-augmented generation (RAG)-enhanced large language model (LLM) to Chinese government policy documents and communications, constructing a novel high-frequency news-based indicator for China’s fiscal stance. The constructed fiscal stance series exhibits a strong correlation with concurrent changes in fiscal and quasi-fiscal measures, verifying the validity of the indicator. Using daily frequency local projections, we find that communications signaling fiscal expansion lead to three key financial market reactions: a decline in stock indices, a rise in yields on government bonds, local government financing vehicle (LGFV) bonds, and real estate bonds, and an appreciation of the yuan. In examining macroeconomic responses, results from structural vector autoregressions (VARs), applied at monthly and quarterly frequencies, show that gross domestic product (GDP) and industrial output respond positively to fiscal expansion. However, components of aggregate demand display heterogeneous responses: fiscal expansion boosts capital formation, suppresses consumption, and moderately improves exports. Overall, the responses of financial and macroeconomic variables indicate that fiscal expansion in China drives GDP growth primarily through investment, while it is associated with elevated consumption risks—these risks, in turn, contribute to the observed decline in stock prices.

主讲人简介：唐遥博士为北京大学光华管理学院应用经济系副教授、博士生导师、北京大学管理科学中心副主任。2009年不列颠哥伦比亚大学经济学博士毕业。2009到2016年在美国Bowdoin College任教，历任助理教授、副教授。主要研究方向为国际经济学，宏观经济学和碳中和经济学。曾教授课程包括宏观经济学原理，宏观经济与政策，国际金融，国际贸易，经济增长，亚洲经济专题和微观经济学原理等。