| Due to the rapid transformation of China's economy from a closed to an open economy and the acceleration of economic and financial globalization,the exchange rate of RMB has changed from a fixed exchange rate system to a floating exchange rate system,and its fluctuation has changed with the development of domestic and international economy and finance.In view of this,this paper believes that it is very important to study the impact of domestic and foreign economic changes on the fluctuation of RMB exchange rate.Based on the summary and expansion of previous studies,this paper adopts the extended Taylor rule model as the decision theory of RMB exchange rate,according to which the most important macroeconomic factors of China and the United States are selected to determine the RMB exchange rate,and explained respectively from the vertical and horizontal perspectives.This paper assumes that the domestic and foreign economies have long-term and short-term fluctuation effects on the RMB exchange rate(vertically,emphasizing the influence of time series data of each variable on the exchange rate fluctuation)and asymmetric effects(horizontally,emphasizing the influence of two-way changes of the same variable on the exchange rate fluctuation),and uses the following two models to verify the hypothesis: garch-midas model is used to decompose the RMB exchange rate fluctuation into long-term and short-term This paper focuses on the long-term components and the role of the macroeconomic indicators of China and the United States;uses the nardl model to analyze the impact of the positive and negative changes of the macroeconomic indicators of China and the United States on the fluctuation of the RMB exchange rate,and further decomposes the asymmetric impact of each variable on the RMB exchange rate through the asymmetric impulse response.Therefore,this paper makes a comprehensive decomposition and analysis of the fluctuation of RMB exchange rate from a multi-dimensional perspective.First of all,from the derived Taylor rule exchange rate decision model,we selectindicators as macroeconomic variables.Variables include exchange rate expectation,risk premium,capital flow,output gap between China and the United States,capital price difference between China and the United States,price level difference between China and the United States,and interest rate difference between China and the United States from January 2005 to June 2019.In the analysis of garch-midas long-term and short-term fluctuations,daily RMB exchange rate data and monthly exchange rate expectation,risk premium,capital flow,output gap between China and the United States,capital price difference between China and the United States,price level difference between China and the United States and interest rate difference between China and the United States are used as explanatory variables of the mixing part.The following conclusions are drawn: the expansion of interest rate gap between China and the United States will promote the appreciation of RMB;the greater the risk premium,the longer-term component of RMB exchange rate will tend to devalue;the more frequent the international capital flows,the smaller the appreciation change of RMB exchange rate;the rise of price gap between China and the United States will lead to the small appreciation of long-term component of RMB exchange rate;the more drastic the positive change of output gap between China and the United States Then the long-term component of the RMB exchange rate will fluctuate more and more violently;the expectation of RMB exchange rate has a time lag effect on the long-term component of the RMB exchange rate,which is not immediately reflected in the fluctuation of the exchange rate,but has a certain impact on the short-term fluctuation of the exchange rate;the asset price difference between China and the United States has no significant impact on the long-term fluctuation of the RMB exchange rate,but will cause its short-term fluctuation Certain impact.Then we use the nardl model to study the asymmetric effect of RMB exchange rate,and select the same macroeconomic indicators at home and abroad as the explanatory variables.Moreover,RMB exchange rate,exchange rate expectation,risk premium,capital flow,output gap between China and the United States,capital price difference between China and the United States,price level difference between China and the United States,and interest rate difference between China and the UnitedStates all use the same frequency monthly data.Finally,the asymmetric effect is verified.The conclusions are as follows: first,in the short term,the inflow of international capital makes the RMB devalue,and the outflow of international capital makes the RMB exchange rate appreciate.Second,in the short term,the rise of the price gap between China and the United States will make the RMB devalue,and the decline will make the RMB appreciate;in the long term,the rise of the price gap will promote the appreciation of the RMB exchange rate,and the decline will promote the depreciation of the RMB exchange rate.Third,in the short term,the depreciation of RMB exchange rate is expected to lead to its appreciation;in the long term,the depreciation of RMB exchange rate is expected to lead to the appreciation of RMB,and vice versa.Fourth,in the short term,the risk premium rises,the RMB depreciates,otherwise the RMB appreciates;in the long term,the effect is the opposite.Fifthly,in the short term,when the gap between China and the United States increases,the RMB exchange rate depreciates;in the long term,the effect is the opposite.Sixthly,as the United States adopted quantitative easing policy(increasing the issuance of US dollar)in response to the financial crisis,international capital flowed into China,resulting in inflation also showing a corresponding upward trend.Therefore,China's monetary authorities take the way of raising interest rates to ease inflation.Therefore,whether in the long term or in the short term,the expansion of the interest rate gap between China and the United States will make the RMB appreciate,otherwise,the RMB will depreciate.Seventh,rising asset price differences between China and the United States will make the RMB appreciate slightly in the long and short term.Besides risk premium and exchange rate expectation,other variables have strong asymmetric impact on RMB exchange rate.According to the conclusion of garch-midas mixing model and nardl model,some suggestions are put forward in this paper.First,pay attention to the short-term impact of exchange rate expectations,maintain the optimism and confidence of international investors in RMB exchange rate expectations,and strengthen the short-term supervision and reflection capacity of the exchange rate market.Secondly,it is necessary for monetary authorities to strengthen the supervision of foreign capital,pay close attention to the impact of capital inflow and outflow on the exchange rate,and avoid the huge fluctuation of RMB exchange rate caused by its inflow or outflow.Third,we should maintain long-term and stable economic growth and narrow the gap between China and the United States.Fourthly,because of the limited influence of the change of interest rate and price difference between China and the United States on the fluctuation of RMB exchange rate,the monetary authorities do not need to take too much account of the impact on RMB exchange rate when they adopt the interest rate policy.Therefore,this paper believes that it is possible to realize the gradual marketization of China's interest rate and exchange rate at the same time.Fifthly,considering the short-term impact of asset price difference on RMB exchange rate and the consideration of its asymmetry in policy-making,we can reasonably grasp the degree;and asset price difference more reflects the difference between Chinese and American stock prices,so it is necessary to prevent the negative effect of stock price fluctuation on RMB exchange rate and promote the integration of China's financial system with the international.Sixth,the greater the risk premium,the devaluation of the long-term component of the RMB exchange rate.We can make reasonable use of this relationship to make the RMB exchange rate fluctuate in the direction that is conducive to the development of China's international economy.Seventh,keep the transparency and predictability of China's monetary policy to the public at all times. |
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