【作者】 林凌；

【导师】 徐宝林；

【作者基本信息】 厦门大学 ， 金融， 2021， 硕士

【摘要】 中美两国分别是全球最大的发展中国家和发达国家,两者之间的联系日益加强,汇率作为美元与人民币之间最直接的纽带,重要性进一步凸显。当前,中国经济运行环境处于不断变化之中,在此背景下考察美联储货币政策调整对人民币汇率的短期溢出效应,对于货币当局维护外汇市场稳定以及投资者恰当管理风险具有重要意义。本文的研究采用理论和实证相结合的分析方法。首先简要阐述了人民币汇率受美联储货币政策调整影响的主要原因,并对传导路径进行深入的探讨。实证部分,本文基于事件研究法的思想,通过构建回归模型从多个维度考察了人民币汇率受美联储货币政策调整影响程度及原因。结果表明,美联储货币政策调整能显著影响人民币汇率水平。从分段研究的结果来看,随着人民币市场化程度提高,人民币汇率受到美联储货币政策调整的影响也在逐渐增强,并且在“811”汇改后,美联储前瞻性指引在5%的显著性水平上能够影响人民币汇率。此外,美联储货币政策调整还能够显著影响人民币汇率的波动率。针对实证结果,本文提出了四个建议,以期帮助我国货币当局更好地应对外部冲击,帮助外汇市场参与者更好地制定风险管理策略。更多还原

【Abstract】 The importance of the exchange rate as the most direct link between the US dollar and the RMB is further highlighted by the growing ties between China and the US,which are the world’s largest developing and developed countries,respectively.Currently,China’s economic operating environment is in a constant state of change.Against this background,it is important to study the impact of the Fed’s monetary policy adjustments on the RMB exchange rate for the monetary authorities to maintain the stability of the foreign exchange market and for investors to properly manage their risks.This paper adopts a combination of theoretical and empirical analysis,first reviewing the history of China’s exchange rate reform and the evolution of the Fed’s monetary policy,and then briefly analyzing the causes of the Fed’s monetary policy affecting the RMB exchange rate and the transmission path of the spillover effect.Based on the theoretical analysis,this paper uses the event study method to study the impact of the Fed’s monetary policy adjustment on the RMB exchange rate from multiple dimensions by constructing a regression model.The empirical results show that the Fed monetary policy adjustment can significantly affect the RMB exchange rate,and the expected Fed monetary policy adjustment has a significantly positive effect on the RMB exchange rate,while the Fed forward guidance does not have a significant effect on the RMB exchange rate.From the results of the segmentation study,with the further marketization of the RMB,the impact of the Fed’s monetary policy adjustments on the RMB exchange rate is gradually increasing,and after the "811" exchange rate reform,the Fed’s forward-looking guidance affects the RMB exchange rate yield at the 5%significance level.In addition,the Fed’s monetary policy adjustment can also significantly affect the volatility of the RMB exchange rate.Finally,in response to the empirical results,this paper puts forward four recommendations to help China’s monetary authorities better cope with external shocks and foreign exchange market participants better formulate risk management strategies.更多还原