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The Pre-Response of Macroeconomic News in RMB Exchange Rate

In: Proceedings of the 2025 3rd International Conference on Digital Economy and Management Science (CDEMS 2025)

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  • Yongkang Jin

    (Jinan University, School of Economics)

Abstract

Macroeconomic news, as a statistical data of economic indicators regularly published to measure national fundamentals, provides basic information for financial asset prices. Based on the RMB exchange rate data from 2011 to 2023 and the macroeconomic news data of China and the United States, this paper uses the dummy variable regression method to study the market reaction of my country’s foreign exchange market in the window interval before and after the release of macroeconomic news. The results show that there will be significant abnormal returns in the onshore and offshore RMB markets before the announcement of some macroeconomic news, which comes from the information acquisition behavior of market traders, leading to changes in expectations and reflected in foreign exchange prices. When the market state is characterized by a higher level of uncertainty and higher market attention, this effect will be enhanced.

Suggested Citation

  • Yongkang Jin, 2025. "The Pre-Response of Macroeconomic News in RMB Exchange Rate," Advances in Economics, Business and Management Research, in: Wenke Zang & Chunping Xia (ed.), Proceedings of the 2025 3rd International Conference on Digital Economy and Management Science (CDEMS 2025), pages 624-628, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-770-0_71
    DOI: 10.2991/978-94-6463-770-0_71
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