货币政策公告对人民币汇率的影响研究——基于汇率预期和投资者行为视角

Research on Impact of Monetary Policy Announcement on RMB Exchange Rate——From Perspectives of Exchange Rate Expectation and Investor Behavior

本文通过高频利率意外和股价意外的协同关系识别货币政策公告发布的政策冲击和信息冲击,研究货币政策公告发布对人民币汇率的影响。研究发现:货币政策公告的紧缩性政策冲击和信息冲击均会推动人民币汇率贬值,“8.11汇改”前后人民币汇率对政策冲击的响应方向均为贬值,对信息冲击的响应方向由升值转为贬值。影响机制分析表明,政策冲击和信息冲击会通过积累汇率贬值预期和引发投资者关注行为两个渠道影响人民币汇率贬值。

This paper identifies the policy shocks and information shocks of monetary policy announcements through the synergistic relationship between high-frequency interest rate surprises and stock price surprises,and studies the impact of monetary policy announcements on the RMB exchange rate.The results show that both the tightening policy shocks and information shocks of monetary policy announcements promote the depreciation of the RMB exchange rate.Before and after the"8.11 Exchange Rate Reform",the response direction of the RMB exchange rate to policy shocks is depreciation,and the response direction to information shocks has shifted from appreciation to depreciation.The analysis of the impact mechanism indicates that policy shocks and information shocks affect the depreciation of the RMB exchange rate through two channels:accumulating expectations of exchange rate depreciation and triggering investor attention behavior.