央行干预视角下人民币汇率波动的影响因素研究——基于中美两国经济的实证分析

发布时间：2018-06-06 11:15

本文选题：汇率波动 + 外汇干预　；参考：《财经问题研究》2013年02期

【摘要】：本文基于弹性价格货币理论和汇率生成的微观结构模型,使用1995年1月至2012年6月数据构建了包含人民币汇率、中美利率差、中美货币供应量差、中美实际收入差、央行干预变量以及汇率基本均衡值ft与汇率差的线性回归模型,并应用EGARCH过程,衡量了市场的信息冲击对人民币汇率波动的非对称影响。结果表明,利率、货币供应量、实际收入和央行的外汇干预都会对汇率波动产生显著性的影响,但是影响的程度不同。人民币汇率将保持相对稳定,人民币升值幅度将不会超过预期。
[Abstract]:Based on the theory of flexible price money and the microstructure model of exchange rate generation, this paper uses the data from January 1995 to June 2012 to construct the RMB exchange rate, the interest rate difference between China and the United States, the difference in money supply between China and the United States, and the actual income difference between China and the United States. The central bank intervention variable and the linear regression model between the exchange rate equilibrium value ft and the exchange rate difference, and the EGARCH process are used to measure the asymmetric influence of the market information shock on the RMB exchange rate fluctuation. The results show that interest rate, money supply, real income and the central bank's foreign exchange intervention all have significant effects on the exchange rate fluctuation, but the degree of influence is different. The RMB exchange rate will remain relatively stable and the appreciation of the RMB will not exceed expectations.
【作者单位】：东北财经大学数学与数量经济学院;大连理工大学经济学院;
【基金】：国家社会科学基金重大项目“‘十二五’时期宏观经济运行动态监测分析研究”(10zd&010);国家社会科学基金青年项目“中美货币政策背离视角下人民币汇率的波动趋势、特征及升值空间研究”(11CJY100) 国家自然科学基金项目“基于非参数方法和非线性模型的经济景气和通货膨胀监测预警研究”(71173029)
【分类号】：F832.52;F224

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