دانلود رایگان مقاله مداخله شفاهی در چین: اثر بورس چینی

Abstract

This paper analyses China's oral intervention and the efficacy of exchange rate communications by the Chinese monetary authorities. Applying the event study approach, we find that exchange rate communication could help the authorities to impact the Chinese exchange rate level moving in the desired direction. Also, China is responsive to international calls, particularly those from the US calling for the appreciation of the RMB exchange rate. But the response is moderately reluctant as the appreciation would occur after a delay of around two weeks. Finally, using the range-based variance model, confirmative evidence is found that successive, rather than solo, exchange rate communications can calm the exchange rate movement in terms of excess volatility.

6. Conclusions

This research evaluates China's exchange rate communication and its efficacy on the level and volatility of the RMB exchange rate. Daily data are employed to investigate the oral intervention effects during the sample period from 22 July 2005, when the most recent reform was launched to sever the rigid link between the RMB and the USD and allow the RMB to move within a certain band, to 22 July 2013, when the most recent data are available to this research. An event study approach is employed in this paper. In the empirical examination, we postulate that the effects of an intervention event can have four dimensions, namely event, direction, reversal, and smoothing. Given the property of the distribution of our datasets, this research uses parametric and nonparametric tests for the four dimensions of the oral intervention effects. The two samples for tests are constructed at the pre- and post-event window lengths of two, five, ten and fifteen days. In general, the results show that oral intervention can have effects on the level of the Chinese exchange rate. While the outcome shows no significant effects in the event dimension, all event window lengths are significant in terms of the reversal effect. Finally, the effect may vary with the event window length. Compared with the 2- and 5-day event window lengths, communications have more significant effects at the 10-day, and particularly the 15-day event window lengths, suggesting that in the Chinese context the most significant intervention effects would occur about two weeks after the exchange rate communication. We also find that nonparametric tests have more significant effects than parametric tests.