Speaker: Dr.刘子熙 (Zixi Liu)

Title: Aysmetric Exchange Rate Volatility and Policy Intervention

Schedule: Oct 10, TH 14:30-16:00

Location: 诚明楼 (Chengming Hall), Rm 315

Introduction: 刘子熙，南京邮电大学经济学院副教授, 江苏省政协社情民意信息特邀专家。2017年在法兰克福大学取得经济学博士学位，主要研究兴趣包括宏观经济学、国际经济学和中国经济。她的论文发表于 Journal of international money and finance，中国管理科学、International Studies of Economics 等国内外经济学期刊。多篇决策咨询成果获得中央和省部级采纳和批示。参与多项国家级和省级科研项目。

Abstract: This paper measures the asymmetry of RMB exchange rate volatility under a managed exchange rate regime via a GARCH–M model and a GARCH–MIDAS model with daily data. The results show that the volatility of RMB exchange rate is amplified during the period of RMB depreciation. It takes 12 to 20 market days for central bank’s policy intervention via reducing the intraday volatility to become fully effective. Monitoring US dollar index and the RMB exchange rate intraday volatility can improve the effectiveness of central bank’s policy intervention.