标题:
宏观数据发布对人民币汇率的瞬时影响分析The Impact of Macroeconomic Announcements on RMB Exchange Rate
作者:
蒋济续, 卢欣生
关键字:
宏观数据发布, EGARCH模型, 宣布效应Macroeconomic Announcement; EGRACH Model; Announcement Effect
期刊名称:
《Finance》, Vol.3 No.2, 2013-04-29
摘要:
本文采用澳元兑人民币汇率高频数据，运用EGARCH模型分析了2010年10月到2012年9月期间中国和澳大利亚两国的宏观经济指标数据发布对澳元兑人民币(AUD/CNY)汇率水平及其波动性的影响。研究结果显示，中国和澳大利亚的宏观经济指标数据发布对澳元兑人民币汇率水平有显著的影响效果。中国的生产者物价指数和澳大利亚的失业率、国内生产总值指标数据发布能够引起AUD/ CNY汇率市场的显著波动，并且该波动具有持久性特征。宏观数据发布对人民币汇率市场波动的影响具有非对称性。
Utilizing EGARCH model and a dataset consisting of 30-minute AUD/CNY returns from October 5, 2010 through September 11, 2012, we examine the reaction of AUD/CNY returns and volatility to sched- uled macroeconomic announcements ofChinaandAustralia. We find that pronounced announcement effects of Chinese and Australian macroeconomic news on AUD/CNY returns are observed. Announcement surprises of Chinese PPI, Australian unemployment rate and GDP impact the volatility contemporaneously and induce the volatility to last longer time. We also find the presence of asymmetric effect of macroeconomic announce- ments.