人民币外汇市场投资者情绪异动的影响因素研究:兼论汇率沟通的管理作用

The Research on Influencing Factors of Abnormal Fluctuation of RMB FX-market Investor Sentiment:Concurrently Discussion of Exchange Rate Communication Managerial Role

外汇市场投资者情绪会影响汇率定价及外汇市场稳定。文章通过投资者信息获取行为构建人民币外汇市场乐观及悲观情绪异常波动指数,基于外汇市场异质主体理论及有限理性汇率预期理论,分析汇率变动、中美利差变动及外部不确定性通过影响异质主体的主观信念引发其情绪异动的机制,最后运用分位数模型进行了检验。结果表明,与乐观情绪异动指数相比,悲观情绪异动指数波动更剧烈、峰值更高,反映出显著的非理性特征。在多数分位点上,乐观情绪异动受汇率变动、通胀新闻、出口新闻、美国贸易政策不确定性和VIX影响,悲观情绪异动主要受汇率变动和VIX影响。进一步研究表明,汇率沟通可以平抑投资者情绪异动,是管理情绪的有效工具。

Investor sentiment in the foreign exchange market affects exchange rate pricing and foreign exchange market stability.Firstly,this paper constructs abnormal fluctuation indices of optimistic and pessimistic investor sentiment relating to RMB FXmarket based on investors'information acquisition behavior.Secondly,this paper further analyzes the theoretical mechanism by which exchange rate changes,Sino-US interest rate spread changes and external uncertainty affect investors'subjective beliefs in exchange rate expectations and trigger their sentiment variation based on FX-market heterogeneous agent theory and boundedrational exchange rate expectation theory,and applies the quantile model to test it.The results show that the pessimistic sentiment abnormal fluctuation index is more volatile and has higher peaks compared to the optimistic one,reflecting significant irrational characteristics.At most quartiles,the optimistic index is influenced by exchange rate movements,inflation news,export news,U.S.trade policy uncertainty and VIX,while the pessimistic index is mainly influenced by exchange rate movements and VIX.Further study shows that exchange rate communication can smooth out investor sentiment abnormal fluctuation,which proves to be an effective tool for managing sentiment.