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	政府公开表态与短期人民币汇率波动; Government's Public Announcement and the Short-term RMB Exchange Rate
	朱孟楠 ; 闫帅
	2015-10-06
关键词	政府公开表态 人民币汇率 汇率制度改革 government's pubic announcement RMB exchange rate reform of the exchange rate system
英文摘要	本文通过事件分析法研究政府就人民币汇率问题公开发表评论或答记者问对内地人民币短期汇率中间价和香港人民币即期汇率定盘价的影响。研究结果表明:政府公开表态对内地人民币日收益率和香港人民币日收益率均没有显著影响,但对两地人民币日收益率的条件波动率有显著影响。政府公开表态前,香港人民币日收益率的条件波动率显著增强,内地人民币日收益率的条件波动率没有显著变化;而政府公开表态后,香港人民币日收益率的条件波动率没有显著变化,内地人民币日收益率的条件波动率显著降低。说明政府公开表态的内容在政府公开表态前已经被香港外汇市场所吸收,而在政府公开表态后才被内地外汇市场所消化,从而一定程度上表明,香港外汇市场相对于内地外汇市场而言对于信息的反应更加迅速有效。通过分析政府公开表态的内容发现,政府公开表态具有平抑内地人民币汇率波动的效应。; By examining the impact of government's public announcement concerning the short-term RMB exchange rate of the Mainland and Hong Kong with the event study,the result shows that: the government's public announcement has no significant effect on the daily return of the Mainland's and Hong Kong's RMB exchange rate,but has a significant effect on the conditional volatility of both RMB daily returns.Before the government 's public announcement,the conditional volatility of Hong Kong 's RMB daily return significantly enhanced,while the conditional volatility of the Mainland's RMB daily return does not change significantly.After the government's public announcement,the conditional volatility of Hong Kong's RMB daily return does not change significantly,while the conditional volatility of the Mainland's RMB daily return significantly lowered.Therefore,contents of the government 's announcement are absorbed by Hong Kong foreign exchange market before it is stated publicly,while it can be absorbed by the Mainland's foreign exchange market only after it is publicly stated.It verifies that Hong Kong foreign exchange market is more sensitive to information compared with the Mainland 's one,and the government 's public announcement has the effect of suppressing the fluctuations of the Mainland's RMB exchange rate.; 国家自然科学基金项目“动态优化视角下的中国外汇储备全面风险管理研究”(71473208); 教育部哲学社会科学重大课题攻关项目“中国外汇储备的科学管理及战略问题研究”(12JZD027)
语种	zh_CN
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/113716]
专题	经济学院－已发表论文
推荐引用方式 GB/T 7714	朱孟楠,闫帅. 政府公开表态与短期人民币汇率波动, Government's Public Announcement and the Short-term RMB Exchange Rate[J],2015.
APA	朱孟楠,&闫帅.(2015).政府公开表态与短期人民币汇率波动..
MLA	朱孟楠,et al."政府公开表态与短期人民币汇率波动".(2015).

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