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。
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.
作者
朱宁
钟佳妤
许艺煊
ZHU Ning;ZHONG Jiayu;XU Yixuan(Business School,Central South University,Changsha,Hunan 410083,China;School of Economics and Finance,Shanghai International Studies University,Shanghai 200083,China;School of Economics,Renmin University of China,Beijing 100872,China)
出处
《财经理论与实践》
CSSCI
北大核心
2021年第4期16-23,共8页
The Theory and Practice of Finance and Economics
基金
国家社会科学基金项目(19BJY237)。
