Abstract:
Using a sample data starting from January 4, 2007 to June 30, 2016, this paper investigates the impact of PBOC’s policy communications and monetary policy operations on RMB spot and forward exchange rate markets by adopting both univariate and multivariate GARCH models. The empirical results show that: 1) Monetary policy operations and communications have significant impact on RMB spot and forward exchange rate markets with both decreasing the markets’ volatility. 2) Different directions of PBOC’s policy communications have differential impacts on RMB exchange rate markets. 3) The differential effect of the PBOC’s policy communication on the onshore and offshore RMB exchange rate markets are also substantial. Our empirical results indicate that the effect of the Central Bank’s communication depends largely on the strategic policy selection and the timely adjustment on the policy communication. A carefully designed combination of the Central Bank’s communications and its regular monetary policy operations is thus the key for the Bank to be successful in guiding market expectations and reducing market volatility.
卢新生, 孙欣欣. 中央银行政策沟通的市场效应:基于人民币汇率的实证研究[J]. 金融研究, 2017, 439(1): 22-34.
LU Xinsheng, SUN Xinxin. The Effect of Central Bank’s Communication: Evidence from Chinese RMB Exchange Rates. Journal of Financial Research, 2017, 439(1): 22-34.
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