Analysis on the Influence of Exchange Rate Communication on China’s Exchange Rate Market by Egarch model

摘要

Based on the data from January 2009 to December 2019, this paper studies the influence of exchange rate communication on China’s foreign exchange market with EGARCH model. Through the analysis of variables such as exchange rate communication, actual intervention, macroeconomic data, we can conclude that as an effective management tool, exchange rate communication plays an important role in intervening China’s exchange rate changes.