货币政策公告对人民币汇率的事件效应研究  

The Event Effect of Monetary Policy Announcement on RMB Exchange Rate

作　　者：王如丰[1] 陈琦[1] 

机构地区：[1]浙江工业大学经贸管理学院,浙江杭州310023

出　　处：《南方金融》2012年第12期10-16,共7页South China Finance

基　　金：教育部人文社科青年项目<银行间与交易所国债市场定价比较及其利率期限结构应用>(项目编号:12YC790214);浙江省自然科学基金一般项目<利率期限结构的货币政策价值研究>(项目编号:LY12G03033)的资助

摘　　要：本文利用日度数据研究货币政策公告产生的政策冲击对人民币汇率变动的影响,发现无论是否剔除外生性事件,紧缩性货币政策冲击都会引起人民币对美元汇率贬值,作为衡量货币政策冲击程度的指标,银行间同业拆借利率每提高100个基点,人民币汇率在原水平值上贬值0.08-0.1%。考虑到转型经济体的政策因素,本文通过细分子样本研究发现,人民币汇率日浮动幅度由0.3%放宽至0.5%后,人民币汇率对货币政策冲击的反应逐渐增强,且具有统计显著性。最后,比较汇率日浮动幅度为1%阶段的实际值与预测值,发现人民币汇率变动的灵活性进一步提高,并对货币政策冲击的反应表现出不同以往的特征,紧缩性货币政策公告将引起人民币对美元汇率的升值,但由于样本数据的缺乏,这一结论的稳健性有待进一步的研究。This paper studies the event effect of policy shock of monetary policy announcement on RMB exchange rate using daily data. The result shows that tight monetary policy shock leads to RMB depreciation, no matter excluding exogenous events or not. Precisely, the interbank offered rate, measuring the degree of monetary policy shock, a 100bp rise will induce RMB to depreciate by 0.08-0.1% on the ground of its original level. Since policy factors are important in transition economy like China, the authors test sub-samples allowing for daily foating range of RMB exchange rate specified from 0.3% to 0.5%, and find that the impact effect of monetary policy announcement on RMB exchange rate becomes significantly bigger. Recently, since the daily floating range of RMB exchange rate is specified as 1%, the authors compare the real value and the predicted value in this period to conclude that the RMB exchange rate becomes increasingly flexible, accompanying with the daily floating range widening. Furthermore, it appears a different feature, described as tight monetary policy announcement leading RMB to appreciate. With the limitation of observations available, it calls for future research to confirm this feature.

关 键 词：货币政策公告 人民币汇率 政策冲击 日度数据 

分 类 号：F822.0[经济管理—财政学] F832.6