The Empirical Study On The Impact Of Macroeconomic Data Release On RMB/Yen Exchange Rate

Foreign exchange market connects the international and the domestic financial market, plays an important role in national economy. Foreign exchange market in China started late, but its development speed is very surprising. Profound changes have taken place in such aspects as total volume, basic conditions and operation mode, thanks to the foreign exchange management system continued to deepen the reform of our country.From the fixed foreign exchange management system in the beginning to the 90’s swap market, from the single peg to the dollar to the reference to a basket of currencies, our policy becomes more flexible. However, compared with the developed countries, our foreign exchange market also has many defects. The most prominent problem is that our market is still at low marketization and not active, which lead to exchange rate’s distortion. After all, how about the efficiency of China’s foreign exchange market and why does the exchange rate distort?In recent years, more and more experts studied the above problems, most of them mainly studied the real economy’s influence on exchange rate and the influence mechanism. However, due to the continuous development of financial derivatives, the foreign exchange market increasingly weakened the influence of the real economy. The formation of exchange rate is too complicated and its fluctuation is also difficult to predict in the short term to explain by the existing achievements. This paper focuses on the impact of the release of macroeconomic information on the exchange rate. High frequency data can describe the movements of exchange rate when announcements are released, which reflects the market’s ability to absorb information. The conclusion is as follows: First, part of the macro data released in China and Japan can influence exchange rates, and the impact of different national information on exchange rate are asymmetric. Second, research on fluctuations shows that the release of macroeconomicinformation has a significant effect on volatility in the foreign-exchange market, some index will increase volatility in the foreign-exchange market, some will reduce volatility and the other has no effect. The impact of good news on the foreign exchange market is more significant than the bad news. The conclusion can reasonably explain the foreign exchange market drastic fluctuations in the short term. Third, all the indicators affect the sustainability differently. In theory, the faster the market absorbs information, the higher the efficiency of the market. Thus, the efficiency of the foreign exchange market in China is not high, as most of the indicators have lagged effect and part of the macroeconomic information absorption is not complete. In addition, exchange rate will change before some macroeconomic data release, which means that some important information is leaked in advance. Forth, the results based on EGARCH model with repectation in consideration live up to the economic theory and are more persuasive.