中央银行沟通对人民币汇率波动的影响

发布时间：2018-06-22 00:48

本文选题：中央银行沟通 + 汇率波动　；参考：《金融研究》2016年11期

【摘要】：本文首先在开放经济环境下基于传统非套补利率平价理论,将中央银行沟通指示器引入理论模型进行研究。然后以2006年10月-2014年12月期间中国人民银行沟通频数和人民币汇率数据为样本,采用EGARCH模型实证分析了中央银行沟通对人民币汇率波动的总体影响、不同沟通渠道以及口头沟通的不同主体、不同内容和不同货币政策取向沟通对人民币汇率波动的影响程度。实证结果显示:(1)中央银行沟通对人民币汇率波动有较为显著的影响;(2)书面沟通的作用效果优于口头沟通;(3)口头沟通中行长沟通与他人沟通相比更有效;(4)口头沟通中关于货币政策取向沟通的效果优于宏观经济展望;(5)宽松意图沟通的效果优于紧缩意图。本文的研究表明,中央银行沟通可在汇率的预期管理中发挥积极作用,促进汇率平稳波动;在沟通策略上,应注重发展口头沟通,并重视宽松意图沟通的运用。
[Abstract]:In this paper, the central bank communication indicator is introduced into the theoretical model based on the traditional non-complementary interest rate parity theory in the open economy environment. Based on the data of the communication frequency of the people's Bank of China and the RMB exchange rate from October 2006 to December 2014, the paper empirically analyzes the overall impact of the communication of the central bank on the RMB exchange rate fluctuation by using EGARCH model. Different communication channels as well as different subjects, different content and different monetary policy orientation of communication on the impact of RMB exchange rate fluctuations. The empirical results show that: (1) the central bank communication has a significant impact on RMB exchange rate fluctuations; (2) the effect of written communication is better than oral communication; (3) the communication of governor in oral communication is more effective than that of others; (4) oral communication is more effective than other communication. The effect of monetary policy orientation communication in China is better than that of macroeconomic outlook; (5) the effect of loose intention communication is better than that of austerity intention. The research in this paper shows that central bank communication can play an active role in the management of exchange rate expectation and promote stable exchange rate fluctuation. In the communication strategy, we should pay attention to the development of oral communication and the use of loose intention communication.
【作者单位】：中南大学商学院;中央财经大学中国财政发展协同创新中心;南开大学经济学院;
【基金】：国家自然科学基金项目(71473275)的资助和支持
【分类号】：F832.31;F832.6

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