关键词: 全球金融周期, 人民币汇率波动, GJR-GARCH-MIDAS模型

Abstract: Exchange rate is the cornerstone of macroeconomic stability. Maintaining exchange rate stability is one of the important objectives of the central bank’s monetary policy control and is also an important guarantee for China to build a new development pattern with domestic cycle as the main body and domestic and international double cycle promoting each other. Since the “7.21” exchange rate reform in 2005, the volatility of the RMB exchange rate has been increasing, so it is crucial to understand the sources of RMB exchange rate fluctuations and improve the tracking and forecasting of RMB exchange rate fluctuations. At present, China’s level of openness continues to rise, and the internationalization of the RMB is gradually increasing, which makes the role of global financial factors in determining RMB exchange rate fluctuations attract extensive attention from both the practical and theoretical communities.
   With the deepening of global economic and financial integration, various financial indicators, such as asset prices, credit growth, institutional leverage and cross-border capital flows, show a trend of coordinated movement, i.e., there is a “global financial cycle”. As a concise summary of changes in the international economic and financial situation, will the global financial cycle have an impact on RMB exchange rate fluctuations? What are the mechanisms behind and the characteristics of its impact? Especially in the special case of dual offshore and onshore exchange rates for the RMB, what is the difference in the impact of the global financial cycle on the two exchange rates? Against the background of the continuous rise in RMB exchange rate volatility in recent years and the intensification of fluctuations in the global financial cycle, an in-depth analysis of the impact of the global financial cycle on RMB exchange rate fluctuations will not only be conducive to the improvement of monitoring and risk management of fluctuations in the foreign exchange market of the RMB, but also provide useful insights for Chinese enterprises and supervisors to timely prevent and resolve the risk of large fluctuations in the RMB exchange rate due to the shocks of the global financial cycle.
   This paper focuses not only on the global financial cycle level shock, but also further on the global financial cycle uncertainty shock. Based on analyzing the theoretical mechanism of the global financial cycle level shock and its uncertainty shock affecting the RMB exchange rate volatility, it empirically examines the impacts of the global financial cycle level and uncertainty shocks on the RMB exchange rate volatility by using the GJR-GARCH-MIDAS model. It overcomes the problem of variable frequency mismatch and portrays the asymmetric leverage effect of exchange rate volatility to improve the accuracy of the model estimation results. Secondly, this paper further compares the impacts of global financial cycle level shocks and uncertainty shocks on the long-term volatility of the RMB exchange rate and their dynamic characteristics, as well as the heterogeneity of the impacts on the onshore and offshore RMB. Finally, recursive estimation is used to forecast RMB exchange rate volatility out-of-sample, and the forecasting accuracy of the global financial cycle and its corresponding model on RMB exchange rate volatility is evaluated by measuring MAE and RMSE indicators and constructing portfolios.
   The research shows that: First, global financial cycle horizontal shocks (cycle downturns) and uncertainty shocks will have a significant positive impact on RMB exchange rate fluctuations, and the impact of global financial cycle uncertainty shocks on RMB exchange rate fluctuations is stronger. The persistence is higher than the level of global financial cycle shocks. Second, the impact of the global financial cycle on the onshore and offshore RMB exchange rates is heterogeneous. Compared with the offshore RMB exchange rate, the horizontal shocks and uncertainty shocks of the global financial cycle have a weak impact on the fluctuations of the onshore RMB exchange rate. Weak as they are, their effect lasts longer. Third, the ability of global financial cycle uncertainty to predict RMB exchange rate fluctuations is higher than that of the global financial cycle average level. Models containing global financial cycle uncertainty indicators have stronger explanation and prediction capabilities for RMB exchange rate fluctuations, and can bring higher investment performance to investors.

Key words: global financial cycle, RMB exchange rate fluctuations, GJR-GARCH-MIDAS model