货币政策公告、不确定性与人民币汇率变动

Monetary Announcements,Policy Uncertainty and RMB Exchange Rate Dynamic

货币政策公告是投资者判断货币政策走向的重要依据。文章基于2012年5月至2020年7月在岸和离岸人民币兑美元汇率数据,实证分析了外汇市场在货币政策公告发布前后几日的较短窗口区间内的市场反应。实证结果表明,M2公告和MPR报告发布前几天,在岸人民币兑美元收益率显著上升,在岸外汇市场存在关于M2公告和MPR报告的"预公告溢价效应",离岸外汇市场只存在关于MPR报告的"预公告溢价效应","预公告溢价"是对投资者额外承担政策不确定性风险的溢价补偿;MPR报告发布后投资者调整人民币资产头寸,在岸和离岸人民币汇率出现"公告后溢价效应";进一步考察"811汇改"的影响,发现只有在"811汇改"后,当市场力量的作用凸显时,在岸人民币汇率关于M2公告的"预公告溢价"显著为正。文章认为中国应该提高货币政策公告的规律性并推进系统性和前瞻性的制度设计。

Our study examines the performance of China’s onshore and offshore currency market in the short windows around the central bank PBOC’s related announcements.We document that there is a"pre-announcement premium effect"on the M2 announcement and the MPR report in the onshore currency market,and only the MPR report in the offshore foreign exchange market.In the offshore foreign exchange market,there is only the"pre-announcement premium effect"on the MPR report.We interpret these excess returns as compensation for monetary policy uncertainty.However,the release of the MPR report also impacts foreign currencies’excess returns by affecting financiers’balance sheets,leading to what we call a"post-announcement"effect.We examined the impact of the"811 exchange rate reform"and found that after the"811 exchange rate reform",the pre-announcement premium for the onshore RMB exchange rate was significantly positive.