A Research on the Influence of Macro News Announcement on the RMB Exchange Rate

摘要：

　　Based on the news model of exchange rate determination,this paper investigates the influence of main macro news announcements on the exchange rate using daily CNY/USD exchange rate,which were released during the period from March 1,2010 to December 31,2013.As the RMB exchange rate marketization is still under the process,we find that macro news on the exchange rate has an asymmetric effect based on EGARCH model.And the influence of macro news announcements on the exchange rate is not significant statistally.

关键词： macro news announcement exchange rate EGARCH model

作者: Deng Yue Zhai Yuna Gu Yu

作者单位: Faculty of Management and Economics, Dalian University of Technology, Dalian, China, 116024

会议类型: 国际会议

会议名称: The 6th International Conference on Financial Risk and Corporate Finance Management(第六届(2014)金融风险与公司金融国际研讨会)

会议地点: 大连

会议语种:英文

页码: 26-32

在线出版日期: 2014-06-30（万方平台首次上网日期，不代表论文的发表时间）