政府公开表态与短期人民币汇率波动

摘要

By examining the impact of government’ s public announcement concerning the short-term RMB exchange rate of the Mainland and Hong Kong with the event study,the result shows that:the government’ s public announcement has no significant effect on the daily return of the Mainland’ s and Hong Kong’ s RMB exchange rate,but has a significant effect on the conditional volatility of both RMB daily returns.Before the government ’ s public announcement, the conditional volatility of Hong Kong ’ s RMB daily return significantly enhanced, while the conditional volatility of the Mainland’s RMB daily return does not change significantly.After the government’s public announcement,the conditional volatility of Hong Kong's RMB daily return does not change significantly,while the conditional volatility of the Mainland’ s RMB daily return significantly lowered.Therefore, contents of the government ’ s announcement are absorbed by Hong Kong foreign exchange market before it is stated publicly,while it can be absorbed by the Mainland’ s foreign exchange market only after it is publicly stated.It verifies that Hong Kong foreign exchange market is more sensitive to information compared with the Mainland ’ s one, and the government ’ s public announcement has the effect of suppressing the fluctuations of the Mainland’ s RMB exchange rate.%本文通过事件分析法研究政府就人民币汇率问题公开发表评论或答记者问对内地人民币短期汇率中间价和香港人民币即期汇率定盘价的影响。研究结果表明：政府公开表态对内地人民币日收益率和香港人民币日收益率均没有显著影响，但对两地人民币日收益率的条件波动率有显著影响。政府公开表态前，香港人民币日收益率的条件波动率显著增强，内地人民币日收益率的条件波动率没有显著变化；而政府公开表态后，香港人民币日收益率的条件波动率没有显著变化，内地人民币日收益率的条件波动率显著降低。说明政府公开表态的内容在政府公开表态前已经被香港外汇市场所吸收，而在政府公开表态后才被内地外汇市场所消化，从而一定程度上表明，香港外汇市场相对于内地外汇市场而言对于信息的反应更加迅速有效。通过分析政府公开表态的内容发现，政府公开表态具有平抑内地人民币汇率波动的效应。