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Indexed by:会议论文

Date of Publication:2014-01-01

Included Journals:CPCI-SSH

Page Number:26-32

Key Words:macro news announcement; exchange rate; EGARCH model

Abstract:Based on the news model of exchange rate determination, this paper investigates the influence of main macro news announcements on the exchange rate using daily CNY/USD exchange rate, which were released during the period from March 1, 2010 to December 31, 2013. As the RMB exchange rate marketization is still under the process, we find that macro news on the exchange rate has an asymmetric effect based on EGARCH model. And the influence of macro news announcements on the exchange rate is not significant statistally.