| With the deepening of RMB exchange rate marketization and the emergence of China's international status,China's foreign exchange market has attracted more and more attention.The fluctuation of exchange rate price reflects the expectation of market participants for future gains,while unexpected and unexpected events are likely to cause substantial changes of exchange rate.Such events form instant and massive news information from the perspective of big data,and become one of the important factors affecting exchange rate fluctuations.At the same time,news information has a potential impact on the decision-making and behavior of foreign exchange market participants,thus affecting the exchange rate and price.Under the background of big data era,the radiation breadth and penetration depth of news communication have been enhanced,news and economic fluctuations have been increasingly close,and the interpretation ability of macroeconomic indicators announcement on exchange rate changes is inadequate.Therefore,it is of great significance to study whether a broader definition of news influences the value of money and whether it should be included in our model of exchange rate determination from the perspective of big data.At the same time,it establishes a connection between big data news and exchange rate earnings and volatility,broadens the research scope of news,and provides some references for future research.Therefore,this paper explores the influence of news on RMB from the perspective of big data.First,using crawler technology to obtain 2037931 financial and economic news on December 13,2010,solstice and January 11,2019 from Chinese sina website,extract headlines and abstract of news to establish big data news text database.Thirdly,from the perspective of content,news is divided into fundamental news and non-fundamental news,and six sub-categories of non-fundamental news are extracted.At the same time,the weekly news indexes were innovatively constructed to further explore the influence of different categories of news on the RMB exchange rate.In this paper,EGARCH(1,1)model is adopted to study the relationship between fundamental news and non-fundamental news on the yield and volatility of RMB exchange rate.Empirical results show that :(1)fundamental news has a significant impact on the yield and volatility of RMB onshore exchange rate.(2)among the non-fundamental news,derivatives market news,private sector news,stock market news,financial intermediary news,political news and natural disaster news have a significant impact on the rate of return of RMB exchange rate.Derivative market news,private sector news and political news have significant influence on the fluctuation of RMB exchange rate.(3)on the whole,the interpretation of RMB exchange rate by news after the reform has been improved.The exchange rate reform of 811 has indeed deepened the marketization achievements of RMB exchange rate,enabling news from the perspective of big data to better explain the changes of price gains and fluctuations of RMB exchange rate. |
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