基于TR-GARCH模型和VAR模型的中央银行外汇干预研究

发布时间：2018-04-17 13:54

本文选题：中央银行 + 外汇干预　；参考：《湖南大学》2015年硕士论文

【摘要】：随着经济的高速发展,中国的国际收支盈余持续增加,人民币汇率面临不断的升值压力。汇率的稳定关系到金融经济的健康发展和国际收支的平衡等,中央银行外汇干预作为汇率管理的主要工具,对维持汇率均衡水平和降低汇率波动幅度具有重要作用。自2014年中国人民银行采取人民币汇率双向浮动并增加中间价波动区间以来,人民币汇率升值加速,而进入2015年后则面临人民币汇率贬值压力的骤然增加。为了维持人民币汇率在规定区间浮动,中央银行不得不对外汇市场进行干预。在此背景下,深入研究中央银行的外汇干预特征及其有效性显然是十分重要的。本文基于TR-GARCH模型研究中央银行的外汇干预特征,并利用VAR模型检验外汇干预的有效性。首先,解释了外汇干预的概念、方式、目的和特征,探讨了中央银行外汇干预反应函数的内涵,分析了中央银行外汇干预的传导渠道及其有效性。然后,结合TR模型和GARCH模型构建了刻画外汇干预非对称性和异方差性特征的中央银行外汇干预反应函数TR-GARCH模型。然后,利用所构建的TR-GARCH模型对中央银行外汇干预特征进行实证研究,并利用VAR模型对中央银行外汇干预的有效性进行了检验。研究结果表明,中央银行的外汇干预具有非对称性、逆风向性以及异方差性等特征,由此也证明中央银行外汇干预的目标为熨平汇率波动和防止汇率过度偏离目标汇率水平。根据平滑标准,中央银行外汇干预是有效的,即中央银行外汇干预能起到降低汇率波动幅度、稳定汇率均衡水平的作用。
[Abstract]:With the rapid development of economy, China's balance of payments surplus continues to increase, and the RMB exchange rate is under constant pressure of appreciation.The stability of exchange rate is related to the healthy development of financial economy and balance of international payments. As the main tool of exchange rate management, foreign exchange intervention of central bank plays an important role in maintaining the equilibrium level of exchange rate and reducing the fluctuation of exchange rate.Since 2014, when the people's Bank of China adopted a two-way float of the yuan and increased the mid-range, the yuan's appreciation has accelerated, and since 2015, it has faced a sharp increase in pressure to devalue the yuan.The central bank had to intervene in the foreign exchange market in order to keep the yuan floating in the prescribed range.In this context, it is very important to study the characteristics and effectiveness of central bank's foreign exchange intervention.This paper studies the characteristics of central bank's foreign exchange intervention based on TR-GARCH model, and uses VAR model to test the effectiveness of foreign exchange intervention.Firstly, this paper explains the concept, mode, purpose and characteristics of foreign exchange intervention, discusses the connotation of central bank's foreign exchange intervention response function, and analyzes the transmission channel and its effectiveness of central bank's foreign exchange intervention.Then, combined with tr model and GARCH model, the TR-GARCH model of central bank's foreign exchange intervention response function is constructed to describe the asymmetry and heteroscedasticity of foreign exchange intervention.Then, the TR-GARCH model is used to study the characteristics of the central bank's foreign exchange intervention, and the VAR model is used to test the effectiveness of the central bank's foreign exchange intervention.The results show that the central bank's foreign exchange intervention has the characteristics of asymmetry, headwind and heteroscedasticity, which also proves that the goal of central bank's foreign exchange intervention is to smooth the exchange rate fluctuation and prevent the exchange rate from deviating from the target exchange rate level.According to the smoothing criterion, the central bank's foreign exchange intervention is effective, that is, the central bank's foreign exchange intervention can reduce the fluctuation of exchange rate and stabilize the equilibrium level of exchange rate.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.6

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