我国外汇市场压力测度的理论及实证研究

发布时间：2018-02-08 12:15

本文关键词： 外汇压力两阶段最小二乘法时变参数估计外汇干预　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着全球经济一体化程度的加强,各国之间的经济往来日益密切。汇率作为一种货币换算的比价,也愈发受到各国的重视。从全球汇率变革的进程来看,布雷顿森林体系的解体是进入浮动汇率时代的标志性事件,自此,汇率开始在一国经济活动中发挥着愈来愈重要的作用,对国际收支的调节起着举足轻重的作用。 1994年以前,是我国汇率制度从固定汇率制到双轨汇率制的特殊时期。自2005年7月21日我国宣布要完善人民币汇率机制改革,开始实行以市场供求为基础、参考一篮子货币和国内外经济金融形势的方式进行调节的、有管理的浮动汇率制度。这次汇改将人民币兑美元的汇率定为8.72：1相比之前的官方汇率5.7：1一次性贬值33%,使得我国经济走上了外贸拉动型的发展道路,外汇储备开始进一步增加,至2010年我国开始成为全球第二大经济体,仅次于美国。出口排名世界第一,进口位列第二,已日益在国际经济舞台上发挥着举足轻重的作用。与此同时,近年来人民币面临很大的升值压力。由于我国实行的是有管理的浮动汇率制,为了一定程度上保持人民币兑换美元双边名义汇率的大体稳定,我国央行往往会迫于压力而选择进入外汇市场干预。但是央行应该对外汇市场进行何种程度的干预呢?这通常和一个国家所选择的货币政策紧密相连；但是另一方面,也和央行对一个国家所面临的外汇市场压力的判断有莫大的联系。因此,外汇市场压力指数的估计对于我国人民币汇率问题以及央行的外汇干预操作策略指导有着十分重要的研究意义不仅仅只是在于它可以科学的估计一国外汇所面临的升值或贬值的压力；进一步地,它可以科学的测度一国的中央银行对外汇市场的干预程度,并为央行的实际操作提供目标和策略指标。本文针对外汇市场压力的研究,首先是系统的针对外汇市场压力指数测度方法的研究文献按照常见的两种方法——模型依赖和模型独立——依次按照国内和国外进行分类疏理,系统回顾两类测量方法的发展历程,并在目前对该问题研究的较前沿的理论基础上,提出了本文的框架和选取了适合中国实际情况测度的模型。再进一步详细地疏理了实证测度外汇市场压力的模型依赖法和非模型依赖法,并对模型依赖法的转换因子测算介绍了静态和动态两种方法,并比较其利弊,并针对中国的实际情况,进行了模型的相关改进,为后续的实证研究提供了理论依据。然后针对第二章建立的外汇市场压力的三种测量模型,分别运用两阶段最小二乘法和时变参数回归等估计方法进行实证研究,并对实证所得统计数据结果结合我国实际情况进行具体分析。最后对三类测量方法进行了综合比较分析。针对我国外汇市场压力为负值居多,长期面临升值压力这一现状,从制度、经济增长、国际收支、外汇储备、国际政治等多个角度进行了升值压力缘由深究。并分析了这一负压力的存在,对我国出口、产业升级、外汇储备缩水、就业等等方面的一些可能的影响。最后在对外汇市场压力进行了全面、深入研究的基础上,结合我国具体情况,从深化汇率制度改革和转变经济增长方式等角度提出了缓解外汇市场负压力的具体建议措施,以供政府参考。
[Abstract]:With the strengthening of the degree of global economic integration, economic exchanges between countries are increasingly close. The exchange rate as the price of a currency conversion, but also more and more attention all over the world. From the global exchange rate reform process, the collapse of the Bretton Woods system is entering the era of floating exchange rates of the landmark event, since then, the exchange rate began to play a more and more important in a country's economic activities, the balance of payments adjustment plays an important role.
Before 1994, China's exchange rate system from the fixed exchange rate system to the dual exchange rate system special period. Since July 21, 2005 China announced plans to improve the RMB exchange rate mechanism reform, began to implement the basis of market supply and demand with reference to a basket of currencies and international economic and financial situation we adjust, managed floating exchange rate system. The exchange rate reform the RMB exchange rate against the dollar as compared to the 8.72:1 before the official exchange rate devaluation of 33% 5.7:1, the development of the road make the economy of our country on foreign trade driven, foreign exchange reserves began to increase further, to 2010, China began to become the world's second largest economy, after the United States. The export import ranked ranked first in the world, second, has been in the international economic stage plays an important role. At the same time, in recent years, the RMB is facing great pressure of appreciation. Because of our country Is the implementation of a managed floating exchange rate system to a certain extent to keep the RMB dollar bilateral nominal exchange rate is stable, the Central Bank of China would be under pressure and often choose to enter the foreign exchange market intervention. But the central bank should be the extent of intervention in the foreign exchange market? This is a country the choice of monetary policy closely connected; but on the other hand, is closely linked to the central bank and also a country facing the foreign exchange market pressure judgment. Therefore, estimation of the foreign exchange market pressure index for foreign exchange intervention in China the issue of RMB exchange rate and central bank operation strategy has a very important significance not only lies in that it can be a foreign facing the exchange appreciation or depreciation pressure estimation of science; further, it can be a scientific measure of a country's central bank intervention in the foreign exchange market Degree, and provide targets and strategic targets for the actual operation of the central bank.
This article is the research on the foreign exchange market pressure, the first is the system of the foreign exchange market pressure index measurement method research in accordance with the two common methods: model dependent and independent model -- in accordance with domestic and foreign classification analysis, reviewing the course of development of two kinds of measurement system, and in the current theoretical basis of advanced research on this problem, this paper put forward the framework and select the suitable China actual situation measure model. Further detailed and empirical measure of exchange market pressure dependent model method and model independent method, calculation method of conversion factor and dependence model introduces two types of static and dynamic methods, and compares their advantages and disadvantages according to the actual situation, and Chinese, improved model, provides a theoretical basis for the subsequent empirical research. Then in the second chapter established abroad Three kinds of measurement model of exchange market pressure, empirical research methods were used to estimate the two stage least squares regression and time-varying parameters, and statistics on the empirical data from the results combined with the actual situation in China were analyzed. Finally, three kinds of measuring methods are compared. According to the analysis of China's foreign exchange market pressure is negative. Long term, facing the pressure of appreciation of this situation, from the system, economic growth, balance of payments, foreign exchange reserves, many aspects of the international political pressure of appreciation and analysis of the reason to get to the bottom. The negative pressure exists, on China's export industry, upgrading, shrinking foreign exchange reserves, some of the possible effects of employment etc..
Finally, on the basis of comprehensive and in-depth study of foreign exchange market pressure, combined with the specific circumstances of China, we put forward specific suggestions for alleviating the negative pressure of foreign exchange market from the perspective of deepening exchange rate system reform and transformation of economic growth mode, so as to provide reference for the government.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6;F224

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