The Analysis Of Monetary Policy Shocks On RMB Exchange Rate

The marketization of interest rate and exchange rate is deepening,and the change of RMB exchange rate is more and more market-oriented.The stability of RMB exchange rate has important practical significance.The research on the influencing factors of RMB exchange rate has also become a hot topic.From the early purchasing power parity theory to the interest rate parity theory,to the currency model,to the exchange rate overshoot,and to the newer Taylor's rule exchange rate decision model in recent years,theoretical studies by scholars from various countries have pointed out that there are many factors affecting a country's currency exchange rate.The impact mechanism is also complicated.Besides the supply and demand factors of currency itself,monetary policy choice also has an important influence on its currency stability.In view of this,this paper studies the impact and influence mechanism of monetary policy impact on RMB exchange rate change through the method of theoretical analysis and empirical analysis.This paper first proposes two theoretical hypotheses based on the literature analysis.Hypothesis 1 is that the impact of monetary policy will have a certain impact on the RMB exchange rate.Hypothesis 2 is that the impact mechanism of the impact of monetary policy on the RMB exchange rate has a change from the monopoly of the money supply mechanism to the function of the money supply mechanism and the interest rate mechanism.Then according to the theoretical hypothesis,the corresponding empirical analysis is carried out.In the empirical analysis,the paper first divides the sample into two data intervals from January 2007 to October 2015 and November 2015 to August 2018,respectively.SVAR Analysis and VAR analysis examine the impact mechanism of monetary policy shocks on the exchange rate in these two data intervals.Then,by introducing dummy variables and constructing the exchange rate decision equation based on Taylor's rule,the model is tested for robustness.Finally,the conclusions of this paper are obtained based on empirical analysis.The analysis of this paper points out that monetary policy will have a certain impact on the RMB exchange rate.Moreover,the influence mechanism of monetary policy impact on RMB exchange rate has changed from the single dominant of money supply mechanism to the transmission function of money supply mechanism and interest rate mechanism.The results of this test reflect that with the deepening of interest rate marketization and exchange rate marketization,the interest rate transmission mechanism of monetary policy gradually plays a greater role,which has a certain policy practical significance for the choice and application of monetary policy.