央行口头沟通与人民币汇率预期——基于事件分析法的研究

Central Bank’s Oral Communication and RMB Exchange Rate Expectation——An Analysis Based on the Event Study Method

本文运用事件研究法,在方向、扭转和平滑三种成功判定标准下,考虑央行外汇市场实际干预的影响,研究2005-2018年央行口头沟通对人民币汇率预期的影响。结果显示,央行口头沟通对汇率预期的影响在平滑标准下最有效,在扭转标准下的有效性最低;央行在外汇市场的实际干预方向与央行口头沟通意图一致时,央行沟通的成功率在方向和扭转标准下明显提高,但是在平滑标准下出现下降;央行口头沟通对汇率预期影响的效用会随着时间的延长而下降。

The authors of this paper study the impact of central bank’s oral communication on RMB exchange rate expectation during 2005-2018, considering central bank’s actual intervention in the foreign exchange market and using the event study method and the criteria of direction, reversal and smoothing. The results show that central bank’s oral communication is most effective under the smoothing criterion and least effective under the reversal criterion;when central bank’s actual intervention is consistent with its oral communication in the foreign exchange market, the success rate of central bank’s communication increases significantly under the direction and reversal criteria, but decreases under the smoothing criterion;the utility of central bank’s oral communication decreases with time.