Abstract:
Based on the traditional uncovered interest rate parity theory under the open economic environment,this paper introduced the central bank communication indicator to a theoretical model. And then,we use the sample of PBC communication practice and RMB exchange rates from October,2006 to December, 2014, and adopt EGARCH models to analyze the influence of central bank communication on RMB exchange rate volatility, and the extent to which different channels of communication, different content and different communication of the monetary policy direction make influence on RMB exchange rate. The empirical study shows that: (1) Central bank communication has certain influence on volatility of RMB exchange rate; (2) The effect of written communication is more obvious than verbal communication; (3) In the verbal communication,presidents' communication is more effective than other officers' communication; (4) In the verbal communication,the effect of communication of the monetary policy direction is better than that of the macroeconomic forecasting. (5) The effect of the easy intention is better than that of the tight one. The results of this study indicate that central bank communication plays a positive role in the expected management of the exchange rates. It helps to maintain the stability of the exchange rates. On the strategy of communication,the central bank should pay much more attention to verbal communication. At the same time,it should carry on the central bank presidents' communication and communication of the monetary policy direction prudently and effectively,attach great importance to the easy intention of communication of the monetary policy direction in order to improve the effect of communication.
朱宁, 许艺煊, 邱光辉. 中央银行沟通对人民币汇率波动的影响[J]. 金融研究, 2016, 437(11): 32-46.
ZHU Ning, XU Yixuan, QIU Guanghui. The Influence of Central Bank Communication on RMB Exchange Rate Volatility. Journal of Financial Research, 2016, 437(11): 32-46.
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