中国货币政策不确定性和宏观经济新闻的人民币汇率效应

China's Monetary Policy Uncertainty and Macroeconomic News'Effect on the RMB Exchange Rate

基于2012年4月30日至2018年12月17日的银行间7天逆回购操作利率,本文首次使用波动率回归拟合的方法,从政策利率的角度改进中国货币政策不确定性指数,并进一步研究了在不同程度货币政策不确定性的情况下,人民币兑美元汇率对宏观经济新闻的反应。收集和构建10项宏观经济新闻后,本文发现当市场参与者普遍不能较为准确地预测未来政策变化的情形时,货币政策不确定性上升,在岸、离岸人民币兑美元汇率对宏观经济新闻的反应显著减弱。当货币政策存在较高不确定性时,市场对未来政策判断的分歧加剧,进而人民币汇率对宏观经济新闻的反应不足。在货币政策不确定性较高时,增加央行的汇率沟通,可以发挥其对宏观经济新闻的补充作用,同时增强市场对宏观经济基本面信息的反应。本文不仅丰富了货币政策不确定性的负面影响、经济后果以及宏观经济新闻的人民币汇率效应相关理论研究,而且为未来货币政策制定、调整和实施提供了有价值的依据,为货币当局进行有效外汇市场干预提供了经验参考。

Based on the interbank 7-day reverse repurchase operation rates from 30 April 2012 to 17 December 2018,this paper is the first to improve the measure of China's Monetary Policy Uncertainty(MPU)from a perspective of policy interest rate using the regression-fitted volatility method.Then it further studies the impact which macroeconomic news has on RMB exchange rate under different MPU levels.After collecting and constructing 10 pieces of macroeconomic news,it finds that when market participants cannot accurately predict future policy changes,MPU increases and responses of both onshore and offshore RMB to macroeconomic news are significantly weakened.When MPU is relatively high,the market will be more divided in the judgment about future policies,in turn generating an inadequate response in the RMB exchange rate to macroeconomic news.When MPU is high,central bank exchange rate communication plays a supplementary role to macroeconomic news,enhancing market response to information about macroeconomic fundamentals at the same time.This paper not only enriches theoretical research on negative impact of MPU,economic consequences and macroeconomic news'effect on the RMB exchange rate,but also provides a valuable basis for future monetary policy formulation,adjustment and implementation,and empirical reference for the monetary authorities to intervene the foreign exchange market effectively.