摘要
本文选取2010年1月1日—2017年10月31日日度数据实证检验了市场消息、汇率波动对个人外汇业务的影响。结果发现:第一,汇率波动和市场消息会影响个人外汇业务,汇率贬值或市场消息消极变动,会增加个人购汇;汇率升值或市场消息积极变动,会减少个人购汇。第二,市场消息、汇率波动对个人外汇业务存在螺旋强化影响,市场消息对个人购汇的影响会通过汇率波动渠道被放大,汇率波动对个人购汇的影响会通过市场消息渠道被放大,导致个人外汇业务"羊群行为"特征明显。随着外汇市场开放程度不断提高,相关管理机构应加强与市场沟通,及时澄清虚假或恶意消息,释放权威消息,防范个人外汇业务盲目受市场消息、汇率波动影响而出现"羊群行为"风险,积极完善个人外汇业务管理,维护外汇市场稳定。
This paper empirically tests the impact of market news and exchange rate fluctuations on the individual foreign exchange business by using daily data from January 1,2010 to October 31,2017.This research has the following findings.Firstly,exchange rate fluctuations and market news will affect individual foreign exchange business,and exchange rate depreciation or negative market news will increase individual foreign exchange purchase and vice versa.Secondly,market news and exchange rate fluctuations have a spiral reinforcing effect on individual foreign exchange business.The impact of market news on individual foreign exchange purchase will be amplified through the exchange rate fluctuation channel,and the impact of exchange rate fluctuations on individual foreign exchange purchase will also be amplified through the market news channel,resulting in obvious herd behavior in individual foreign exchange business.Since the opening of foreign exchange market of China,in order to release authoritative information,clarify market rumors,and prevent individual foreign exchange business from being blindly affected by market rumors and exchange rate fluctuations which may cause the risk of herd behavior,the regulatory authorities should strengthen communications with the market participants,and actively improve individual foreign exchange business management,thus maintaining a stable foreign exchange market.
作者
王笑笑
孙天琦
Wang Xiaoxiao;Sun Tianqi(The People's Bank of China;Industrial Securities)
出处
《国际金融研究》
CSSCI
北大核心
2021年第6期76-85,共10页
Studies of International Finance
基金
国家自然科学基金青年项目“外部输入型风险冲击、系统性风险防范与跨境资本流动宏观审慎管理研究”(71903194)
中国博士后科学基金一等资助项目“基于机器学习的舆情与汇率关联机制研究”(2018M630243)资助
关键词
市场消息
汇率波动
个人外汇业务
羊群行为
Market News
Exchange Rate Fluctuations
Individual Foreign Exchange Business
Herd Behavior
作者简介
王笑笑,经济学博士,中国人民银行金融研究所博士后流动站博士后、兴业证券经济与金融研究院研究员;孙天琦,经济学博士,教授,中国人民银行。
