| The scale of RMB foreign exchange transactions has increased significantly in recent years,and the process of RMB internationalization is also advancing.At the same time,the Chinese government is also constantly promoting the reform of the formation mechanism of exchange rate marketization.Especially after the 811 exchange rate reform in 2015,the two-way floating elasticity of the RMB exchange rate has increased significantly.This also means that the uncertainty of the RMB exchange rate has increased,coupled with the occurrence of several rounds of major world events such as Sino US trade frictions,the global spread of the covid-19 pandemic,international financial turmoil and the global economic recession in recent years,so that the foreign exchange authorities have played an important role in stabilizing the exchange rate and improving RMB confidence in the management and guidance of the foreign exchange market.Among the many guiding ways and messages that affect the foreign exchange market,the "news model" of exchange rate determination believes that only information beyond market expectations will cause exchange rate changes.Based on this,this paper examines the impact of the release of official information from January 1,2016 to February 10,2023 on the RMB exchange rate.The study chooses official exchange rate news and economic data with high credibility as factors affecting exchange rate changes,constructs different information indicators to measure the unexpected impact of information,and uses GARCH in mean model to empirically analyze the impact of official information on exchange rate returns and their fluctuations,Then,in the time period,it makes an empirical comparative analysis of the official news effect of the foreign exchange market before and after the covid-19 epidemic.The main conclusions of this paper are as follows: first,it verifies the effectiveness of the RMB foreign exchange market.As an important public information,official exchange rate news and economic data can have a significant impact on the RMB exchange rate,and this impact is reflected in the two levels of yield and volatility.However,due to the incomplete smooth information transmission mechanism,the lagging reflection of the market on information,or the differences in the interpretation of information by different traders,the impact of some official information is not significant.Second,the exchange rate news in official information has a more obvious impact on the foreign exchange market than economic data.That is to say,the positive guidance in exchange rate news has a more obvious appreciation impact on the RMB exchange rate and the effect of stabilizing the exchange rate than the release of macroeconomic data.In addition,different economic data indicators also have different degrees of official information effect,which may be due to different degrees of impact or different directions of impact.Thirdly,from the comparison of empirical research results,it can be considered that the occurrence of covid-19 has changed the influence of official information effect in the foreign exchange market to a certain extent.This change is mainly reflected in the changes in the types of official information that have an impact on the foreign exchange market,the overall increase in the attention of official information at the yield level,and the obvious shift in the focus of official information at the volatility level.The innovation of this paper is mainly reflected in the time frame and the selection of research objects,which has made a small contribution to the research in this academic field,but also has some shortcomings.Based on the above research results,this paper finally puts forward three policy suggestions related to the release of official information: first,strengthen the release and management of exchange rate news information content;The second is to strengthen the interpretation of economic data;Third,we should continue to promote the market-oriented reform process of RMB. |
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