摘要
本文使用文本分析技术基于汇率相关的新闻文本构建媒体情绪指数,研究媒体情绪对人民币汇率水平和波动的影响。通过EGARCH模型发现,媒体情绪可以显著降低人民币汇率波动,并且,媒体情绪与汇率预期的交互项对人民币汇率水平与波动都具有显著的负向影响,表明媒体情绪在汇率预期对人民币汇率的影响中具有负向调节效应,有利于外汇市场稳定。本文进一步通过分位数回归对媒体情绪在不同人民币汇率水平下的影响进行研究,发现在人民币汇率处于贬值区间时,媒体情绪对人民币汇率水平具有显著的负向影响,且抑制作用随着贬值程度的加深而增强;通过将媒体情绪分为积极和消极的不同类型,发现积极的媒体情绪可以促使人民币汇率升值,而消极媒体情绪会引起人民币汇率显著的贬值反应。本文的结论对于厘清媒体情绪在汇率决定中的作用和保障外汇市场稳定具有参考价值。
This paper uses text analysis technology to construct media sentiment index based on news texts related to exchange rate,and studies the impact of media sentiment on the level and volatility of RMB exchange rate.Based on EGARCH model,we find that media sentiment can significantly reduce the fluctuation of RMB exchange rate.We also find that the interaction term between media sentiment and exchange rate expectation has a significant negative effect on both the level and volatility of the RMB exchange rate,indicating that media sentiment has a negative moderating effect in the influence of exchange rate expectations on the RMB exchange rate,which is conducive to the stability of the foreign exchange market.We expand our study through the quantile regression to explore the different impact under various RMB exchange rate levels,finding that,when the RMB exchange rate is in the depreciation range,media sentiment has a significant negative impact on both the level and volatility of the RMB exchange rate,and the inhibitory effect increases with the degree of depreciation.By classifying media sentiment into positive and negative categories,we find that positive media sentiment can lead to appreciation of the RMB exchange rate,while negative media sentiment causes a significant depreciation of the RMB exchange rate.The findings of this paper are useful for clarifying the role of media sentiment in exchange rate decisions and safeguarding the stability of the foreign exchange market.
作者
王金明
孟子乔
WANG Jin-ming;MENG Zi-qiao
出处
《中央财经大学学报》
CSSCI
北大核心
2022年第12期44-53,共10页
Journal of Central University of Finance & Economics
基金
国家自然科学基金项目“中国经济周期波动的转折点识别、阶段转换及预警研究”(项目编号:71573105)
国家自然科学基金项目“中国金融周期的波动特征、形成机理及其与经济周期的动态关联机制研究”(项目编号:71873056)。
