Speaker:Assistant Professor Lin Zhitao (School of Economics, Jinan University)
Moderator:Assistant Professor Xu Rui (Li Anmin Institute of Economics, Liaoning University)
Guest Introduction:Assistant Professor Hou Shangdi (Li Anmin Institute of Economics, Liaoning University)
Date:Tuesday, December 3, 2024, 10:00–11:30 (Beijing Time)
Venue:First-Floor Conference Room, Wuzhouyuan, Chongshan Campus, Liaoning University
Online Meeting ID:Tencent Meeting 358-6417-4104
Language:Chinese/English
Abstract:
This paper examines how the Chinese RMB exchange rate reacts to macroeconomic news announcements depending on the level of U.S. dollar fund liquidity. First, we identify that a low level of U.S. dollar liquidity (not RMB liquidity) increases RMB/USD exchange rate variation at the monthly data level. We then use 5-minute high-frequency intraday spot exchange rate data to analyze how the RMB exchange rate responds to U.S. and Chinese macro-news announcements, conditional on the liquidity levels of U.S. dollar funds. We find that RMB spot rates respond more prominently to U.S. macro news announcements when the U.S. dollar liquidity level is relatively lower. In contrast, the RMB liquidity level is less important in affecting the RMB macro announcement premium. Regardless of the USD or RMB fund liquidity levels, the RMB exchange rate is more sensitive to U.S. than Chinese macroeconomic news announcements.
Speaker Bio:
Lin Zhitao is a Lecturer in the Department of Finance at the School of Economics, Jinan University. He received his Ph.D. jointly from City University of Hong Kong and Huazhong University of Science and Technology, earning doctoral degrees in Economics and Management, respectively. He has been a visiting scholar at the Bank of Finland’s BOFIT Research Unit and the Hong Kong Monetary Authority’s Hong Kong Institute for Monetary Research (HKIMR). His research interests primarily include international economics, international finance, and the microstructure of foreign exchange markets. In recent years, he has published nearly 10 papers as the first author or corresponding author in international academic journals such asReview of International Economics,Research in International Business and Finance,Finance Research Letters, andChina & World Economy. He has also led research projects funded by the National Natural Science Foundation of China, the Ministry of Education, Guangdong Provincial Natural Science Foundation, Guangdong Provincial Social Science Foundation, and Guangzhou Social Science Foundation.
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