官方新闻对人民币汇率变动的影响——基于TVP-VAR模型的研究  

The Impact of Official News Releases on RMB Exchange Rates:A Study Based on the TVP-VAR Model

作　　者：王倩 郝文倩 廖泽芳[1] WANG Qian;HAO Wenqian;LIAO Zefang(School of Economics and Management,Shanghai Ocean University,Shanghai 201306)

机构地区：[1]上海海洋大学经济管理学院,上海201306

出　　处：《管理现代化》2024年第2期38-51,共14页Modernization of Management

基　　金：2020年上海市哲学社会科学规划项目“上海自贸区临港新片区国际离岸金融中心建设研究”(2020BGJ004);国家社会科学基金后期资助项目“附加值贸易网络关系视角的中国对外贸易模式及转型升级研究”(18FJY022);教育部人文社会科学规划基金项目“网络演进视角下国际货币权力转移及人民币国际化对策研究”(18YJAGJW006)。

摘　　要：以中国官方发布的汇率新闻为对象的研究,从文本措辞角度对2010年至2023年中国央行和外汇局的官方网站新闻进行分类,构建“汇率升贬”、“汇率弹性”、“汇率制度”、“人民币国际化”和“美元相关”五种新闻措辞指数,进而利用TVP-VAR模型研究官方新闻对人民币汇率的影响。研究表明,官方新闻对人民币汇率存在明显时变特征,产生的冲击效应在短期尤为明显,长期趋近于零;官方新闻中不同措辞类型对人民币汇率的影响存在异质性;在进一步研究中发现,官方新闻指数对人民币汇率有升值影响,对汇率波动有增强效果,且离岸市场受到的影响更大。This paper takes the exchange rate news released by Chinese officials as the research object.From the perspective of text wording,the official news of China's central bank and foreign exchange bureau from 2010 to 2023 are categorized.Five news wording indices are constructed:"exchange rate appreciation and depreciation","exchange rate flexibility","exchange rate system","RMB internationalization"and"dollar-related"."exchange rate flexibility","exchange rate system","RMB internationalization"and"US dollar-related".The TVP-VAR model is then used to study the impact of official news on the RMB exchange rate.The study shows that there are obvious time-varying characteristics of the official news on the RMB exchange rate,and the impact effect is especially obvious in the short term,but tends to be close to zero in the long term;there is heterogeneity in the impact of different types of wording of the official news on the RMB exchange rate;and it is found in further research that the official news index has an appreciating effect on the RMB exchange rate,and enhances the exchange rate fluctuation,and the offshore market is more affected.

关 键 词：官方新闻 人民币汇率 文本处理 TVP-VAR模型 

分 类 号：F832.6[经济管理—金融学]