Research On The Official News Effect Of The RMB Exchange Rate

With the deepening of the reform of China's exchange rate formation mechanism and the change of monetary policy operation style to more transparent,exchange rate communication news and economic fundamental news have gradually become effective monetary policy tools to guide market expectations and influence the exchange rate in China.Under the "spiral of silence" theory,this article will link the two official news— communication news and economic fundamental news,based on the UIRP,the theory of flexible price model,Exchange Rate Expectation Theory and Expanded Taylor Rule's Exchange Rate model to analyze the two kinds of official news effect,their mechanisms and also the relation between the two kinds of official news.As a news model of exchange rate determination,this paper further extends and develops the model from the two kinds of official news: communication news and fundamental news,so that it can better serve the investment behavior of foreign exchange market participants and the policy implementation of monetary authorities.Based on the collected data from 2005 to 2017,such as the exchange rate midpoint of RMB against US dollar,onshore and offshore spot exchange rate of RMB against US dollar and forward NDF exchange rate of RMB against US dollar,are applied to the news model of exchange rate determination.Then the RMB exchange rate effect of the two types of official news is investigated.The contents of the article are divided into several parts:In the first part,the research background and significance of this paper are summarized,and the purpose of this paper is then summarized.Next,the theoretical model of this paper is built and deduced,and the research method of this paper is introduced.Finally,the research innovation and the future research prospects are summarized.In the second part,from the communication news and the impact of fundamental news on the foreign exchange market,the two parts of the literature review at home and abroad is sorted and summed up.In the third part,after collecting and building communication news,the trend characteristics of daily communication news based on Logit model are studied.The effectiveness and subject symmetry of monthly communication news based on the MGARCH-VCC model is also studied.Then the effect of exchange rate communication news on RMB exchange rate is summarized.In the fourth part,including the economic fundamental news variables to build,the importance of the economic fundamental news on exchange rates,the average effect of daily news index of economic fundamentals,the timeliness and asymmetric study of fundamental news,based on daily data of Seemingly Unrelated Regression and OLS regression,fundamental news effect of RMB exchange rate is studied.In the fifth part,based on the Exchange Rate Expectation Theory,using EGARCH Model,the monthly data is used to test the channel of communication news,and the daily date is used to test the channel of economic fundamental news.In the sixth part,aiming at investigating potential complementary effects of communication news and fundamental news,this paper tests the interaction relationship between the two types of official news.In the seventh part,a comprehensive summary of the research outcomes is made and reasonable policy suggestions are put forward.