人民币汇率对货币政策调整的高频反应研究——基于高频事件研究方法的实证分析

The High Frequency Response of RMB Exchange Rate to Monetary Policy Adjustment——An Empirical Analysis Based on the High Frequency Event Study Method

以人民币兑欧元及澳元之高频汇率数据为样本,运用高频事件研究方法分析中央银行货币政策调整对人民币双边汇率波动的影响。实证结果显示,以基准利率及法定存款准备金率为代表的国内标杆性货币政策调整,对所选定的人民币双边汇率的影响效应不显著;相反,未预期的欧洲中央银行及澳洲储备银行(中央银行)的利率政策调整则分别对人民币兑欧元、人民币兑澳元汇率产生了显著的公告效应与政策操作效果。此外,研究结果显示,欧洲中央银行利率政策调整对人民币兑欧元汇率的公告效应于政策宣布30分钟后逐渐趋于平静,相对而言澳洲中央银行货币政策调整对人民币兑澳元汇率的影响更具持久性。

The article takes the high frequency data of RMB(CNY) exchange rate against the euro(EUR) and the Australian dollar(AUD) as samples,and uses high frequency event study method to analyze the impact of monetary policy adjustment on the bilateral fluctuation of RMB ex change rate.The empirical results show that,the benchmark monetary policy adjustment,which is represented by the benchmark interest rate and the statutory deposit reserve ratio,has insignificant impact on the chosen bilateral RMB exchange rate.On the contrary,the unexpected monetary policies of the ECB and the RBA have remarkable bulletin effects and operational results on EUR/CNY and AUD/CNY respectively.In addition,the results show that the announcement effect of the ECB's monetary policy adjustment on EUR/CNY gradually calms down after 30 minutes,while the effect of the RBA's monetary policy adjustment on AUD/CNY lasts longer.