Research On The Impact Of Psychological Expectations On Exchange Rate Before And After The "811 Exchange Rate Reform"

Exchange rate is a variable to measure macro-economy,and it plays a central role in national economy.Analyzing,researching and forecasting the influencing factors of RMB exchange rate is not only helpful to guide the decision-making of micro-economic subjects,but also helpful to provide policy suggestions for macro-control of China's economy.In recent years,financial market and international capital flow scale have been further developed,and psychological expectation factors have the characteristics of rapid change,great influence,self-realization,which make them occupy a more important position in the influencing factors of exchange rate.On August 11,2015,the People's Bank of China made the decision that market makers should fix on the closing price of the inter-bank foreign exchange market on the previous day,which further enhanced the marketization of the exchange rate.Therefore,this paper uses Renminbi non-principal delivery forward exchange rate to express exchange rate expectation in foreign exchange market,consumer confidence index to express macroeconomic expectation,and chooses the difference of interest rate,inflation rate and foreign exchange reserve between China and the United States,establishes a modified VAR model among five variables,and takes "811 exchange rate reform" as the boundary,makes an empirical analysis of the two stages,the result table.Ming: Macroeconomic expectations have little impact on exchange rates,and exchange rates are more affected by foreign exchange market expectations.From the impulse response,we can see that foreign exchange market expectations are more sensitive to exchange rate shocks before and after the exchange rate reform.Through variance decomposition,we can see that the expected contribution of foreign exchange market to the fluctuation of RMB exchange rate is larger,the contribution before the exchange rate reform ranks second,stable at 28.4% in the long run,second only to the difference between the inflation rate of China and the United States;the contribution after the exchange rate reform has increased,stable at 40% in the long run.This shows that after the "811 exchange rate reform",the foreign exchange market is more rational and can predict the RMB intermediate price more accurately,which makes the impact of foreign exchange market expectations on the exchange rate greater.