Research On The Impact Of Expected Deviation Of Macroeconomic Data On The Exchange Rate Of RMB/USD

The influencing factors of exchange rate changes have always been one of the hot topics studied by domestic and foreign scholars.With the development of financial globalization and the innovation of financial derivatives,the exchange rate is still significantly affected by the real economy in the long run,but in the short run,the traditional macro exchange rate determination theory can no longer explain the exchange rate changes.Based on this,this article will study the factors that affect the RMB exchange rate fluctuation from the perspective of the expected deviation of macroeconomic data.This article uses standardized macroeconomic information to construct four information indexes: economic growth,inflation,aggregate demand,and monetary policy.Based on multiple regression models and EGARCH-M models,we discuss the heterogeneous effects of different types of macroeconomic information on onshore and offshore RMB exchange rate returns and volatility.The results of the study found that as far as the onshore RMB market is concerned,the RMB / USD exchange rate return rate is mainly affected by the macroeconomic information variables related to monetary policy,that is,when the actual value of the monetary policy related variable is greater than the expected value,the exchange rate of RMB exchange rate increases,the RMB will depreciate against the USD and suppress the fluctuation of the RMB exchange rate;The underestimation of economic growth-related variables has no significant impact on the RMB exchange rate returns,but it has exacerbated the volatility of the RMB exchange rate.As far as the offshore RMB market is concerned,underestimation of the macroeconomic data in the aggregate demand category,overestimation of the macroeconomic data in the inflation and monetary policy categories will reduce the RMB/USD exchange rate return level and have an appreciation effect on the offshore RMB,however,the impact of fluctuations in the RMB exchange rate is not significant.In general,the expected deviations of monetary policy-related variables will positively affect the onshore and offshore RMB / USD exchange rate changes,but the offshore RMB exchange rate is more sensitive to this impact than the onshore RMB exchange rate.In addition,regardless of the level of return or volatility,the impact of macroeconomic expectations on the onshore RMB market and offshore RMB market are different.