The Impact of Official News Releases on RMB Exchange Rates:A Study Based on the TVP-VAR Model
This paper takes the exchange rate news released by Chinese officials as the research object.From the perspective of text wording,the official news of China's central bank and foreign exchange bureau from 2010 to 2023 are categorized.Five news wording indices are constructed:"exchange rate appreciation and depreciation","exchange rate flexibility","exchange rate system","RMB internationalization"and"dollar-related"."exchange rate flexibility","exchange rate system","RMB internationalization"and"US dollar-related".The TVP-VAR model is then used to study the impact of official news on the RMB exchange rate.The study shows that there are obvious time-vary-ing characteristics of the official news on the RMB exchange rate,and the impact effect is especially obvious in the short term,but tends to be close to zero in the long term;there is heterogeneity in the impact of different types of wording of the official news on the RMB exchange rate;and it is found in further research that the official news index has an appreciating effect on the RMB exchange rate,and enhances the exchange rate fluctuation,and the offshore market is more affected.
Official newsRMB exchange rateText processingTVP-VAR model
NETL
NSTL
万方数据
