不确定性事件如何影响人民币汇率波动?——基于新冠肺炎疫情的事实分析与传导机制
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引用本文:朱 宁1,钟佳妤2,许艺煊3.不确定性事件如何影响人民币汇率波动?——基于新冠肺炎疫情的事实分析与传导机制[J].财经理论与实践,2021,(4):16-23
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朱 宁1,钟佳妤2,许艺煊3 (1.中南大学 商学院湖南 长沙 410083 2.上海外国语大学 国际金融贸易学院上海 2000833.中国人民大学 经济学院北京 100872) 
中文摘要:以新冠肺炎疫情为研究窗口,基于汇率决定理论总结不确定性事件影响人民币汇率的传导机制,运用事件研究法实证分析发现:不确定性事件能在第一时间通过新闻报道中的危害性信息和结果未知性带来的负面情绪改变人们的心理预期,进而致使市场主体的风险偏好下降,影响其消费、投资等行为,使得生产、投资和出口下降;由于心理预期的形成需要时间,之后又需经生产、消费和投资的中介传导才能最终作用在汇率变动上,新冠肺炎疫情对人民币汇率的负面影响存在时滞效应;由于不确定性事件的类型和汇率制度背景等不同,新冠肺炎疫情与汶川大地震对人民币汇率的影响也有所差异。
中文关键词:不确定性  人民币汇率  新冠肺炎疫情  事件研究法
 
How do Uncertain Events Affect the Fluctuation of RMB Exchange Rate?——Fact Analysis and Transmission Mechanism Based on the COVID-19 Epidemic
Abstract:Taking the COVID-19 as an example,this paper summarizes the transmission mechanism of how uncertain events affect RMB exchange rate based on the exchange rate determination theory, and then uses event study method to empirically study the impact of uncertain events on the RMB exchange rate.The results suggest that: (1) uncertain events may change people's psychological expectation through the negative sentiment, such as fear and anxiety, brought by harmful information in the news reports and the unknown results, and then lead to the decline of risk preference of market players, change their consumption and investment behavior, resulting in the decline of production, investment and export; (2) as the formation of people's psychological expectation and crisis consciousness takes time,and it needs to be transmitted through production, consumption and investment to finally affect the exchange rate, the negative impact of COVID-19 epidemic on the RMB exchange rate has a lag effect;and (3) due to differences in the types of uncertain events and exchange rate regimes, the impact of the Wenchuan earthquake and the COVID-19 epidemic on the RMB exchange rate is also different.
keywords:uncertainty  RMB exchange rate  COVID-19  event study
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