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### 央行外汇干预、投资者情绪与汇率变动

• 出版日期:2018-11-25 发布日期:2018-11-23

### Central Bank Intervention, Investor Sentiment and Exchange Rate Fluctuation

Si Dengkui et al

• Online:2018-11-25 Published:2018-11-23

Abstract: This paper constructs an endogenous dynamic system including central bank intervention, investor sentiment and exchange rate fluctuation under the open economic framework, and illustrates the micro-transmission mechanisms among the three variables from the theoretical perspective. The theoretical analysis shows that there is non-linear endogenous relationship among foreign exchange intervention, investor sentiment and exchange rate fluctuation. In order to measure the endogenous effects among our concerned variables, we apply TVP-SV-BVAR model to undertake empirical analysis from a global and from multiple scenarios, respectively. We find that the foreign exchange intervention can stabilize the RMB exchange rate in the short term, but will aggravate the fluctuation of exchange rate in the long run. At the same time, the central bank foreign exchange intervention can increase the volatilities of investor sentiment, and thus may weaken the intervention effectiveness in the short term. Note that the direct impact of investor sentiment on the exchange rate is not obvious in the long run. Generally, the effectiveness of central bank foreign exchange intervention on exchange rate stabilization is gradually declining, and the impacts of investor sentiment on exchange rates will easily be affected by externally unexpected factors. In view of this, with the improvement of the RMB exchange rate formation mechanism, monetary authority should seriously consider how to guide investor sentiment and further achieve its stability and thus to keep exchange rate fluctuating within a reasonable and balanced range by implementing prudential and appropriate foreign exchange interventions.