新冠肺炎疫情对人民币汇率的影响研究——基于事件分析法

Research on the Impact of the COVID-19 on the RMB Exchange Rate——Based on the Event Study Method

汇率易受到重大突发性事件的影响而发生波动。2020年初暴发的新冠肺炎疫情不仅对经济社会造成了冲击,也使得外汇市场产生了剧烈震荡。本研究运用事件研究法构建常均值收益模型,实证分析了新冠肺炎疫情发生前后人民币汇率的波动情况。研究发现,新冠肺炎疫情对人民币汇率的影响具有一定的反应期,随着时间的推移,疫情的扩散对人民币汇率波动产生了显著的负向影响。因此,政府应及早出台组合型的宏观经济政策,稳定市场的心理预期,快速修复国内实体经济。

The exchange rate is vulnerable to fluctuations caused by major emergencies. The outbreak of novel coronavirus pneumonia in early 2020 not only caused an impact on the economy and society, but also caused a sharp shock in the foreign currencies market. This paper uses the event study method and constructs constant mean return model to analyze the fluctuation of RMB exchange rate before and after the outbreak of new crown pneumonia.The results show that novel coronavirus pneumonia has a certain response period to the impact of RMB exchange rate. As time goes on, the spread of the epidemic has had a significant negative impact on the fluctuation of RMB exchange rate. Therefore, the government should introduce combined macroeconomic policies as soon as possible, stabilize the psychological expectations of the market and quickly repair the domestic real economy.