经济新闻的人民币汇率效应

Research on the Impact of Economic News on the RMB Exchange Rate

本文研究了中美经济新闻对在岸和离岸人民币汇率的影响。研究发现,对中国经济变量的高估和对美国经济变量的低估对人民币具有净贬值效应。人民币汇率主要受与中国货币因素有关的经济新闻变量的影响。基于经济新闻,本文构建了经济不确定性指数,研究发现美国经济不确定性的提高对在岸人民币具有贬值效应并且降低了在岸人民币汇率的波动。中国经济不确定性的提高对人民币汇率水平没有显著影响,但加剧了在岸和离岸人民币汇率的波动。

This study examines the impact of China-U.S. economic news on the onshore and offshore RMB exchange rate. It is shown that overestimation of China＇s economic variables and underestimation of US economic variables have a net devaluation effect on the RMB exchange rate. The RMB exchange rate is mainly affected by the economic news variables re- lated to the Chinese monetary factors. Based on economic news, this study constructs the economic uncertainty index. The study finds that the increase of economic uncertainty in the United States has depreciating effect on the onshore RMB ex- change rate and reduces the fluctuation of the onshore RMB exchange rate. The rise of China＇s economic uncertainty has no significant effect on the level of the RMB exchange rate, but aggravates the fluctuation of the onshore and offshore RMB ex- change rate.