有效隐含信息对人民币汇率波动影响的动态效应研究

The Dynamic Effects of Effective Implicit Information on the RMB Exchange Rate Volatility

人民币汇率波动十分微妙,而如何从汇率变动中提取有效的隐含信息,是当前国内外学者关注的焦点。借助动态建模方法来提取汇率变化中的隐含信息,剖析央行、商业银行、企业三者汇率传导路径以及汇率形成机制;认为人民币均衡汇率是所有隐含信息的综合体现。实证结果显示:信息对汇率能够产生显著的影响,且表现出明显的非对称性,这与现行外汇市场的政府管制政策是分不开的;"利好信息"将会显著导致人民币汇率波动幅度的扩大,而"利空信息"则没有这一作用,因而"利好消息"对汇率波动的影响大于"利空消息"的影响。

The renminbi exchange rate fluctuations are very subtle,and how to extract effective implicit information from changes in exchange rates is the focus of current scholars at home and abroad.Dynamic modeling method is used to extract the implicit information in exchange rate changes,analyze the exchange rate path of exchange rates among central banks,commercial banks,and enterprises,and the exchange rate formation mechanism; it is considered that the RMB equilibrium exchange rate is a comprehensive embodiment of all implicit information.The empirical results show that information can have a significant impact on the exchange rate and show a clear asymmetry.This is inseparable from the current governmental regulatory policies in the current foreign exchange market;＂benefits＂will significantly lead to fluctuations in the exchange rate of the renminbi.The expansion,while ＂bad information＂does not have this effect,and therefore the ＂good news＂has greater impact on exchange rate fluctuations than the ＂bad news＂.