基于ADL-ARCH模型的我国外汇干预目标之实证研究

发布时间：2018-09-03 11:36

【摘要】：以外汇干预操作中的冲销干预与非冲销干预理论为基础,基于计量经济学时间序列ADL和ARCH模型分别对我国外汇干预目标特征中的逆风向性、波动性和非对称性三大干预特征进行实证检验。通过对中国1996年1月到2009年8月间外汇干预数据进行实证检验,发现我国外汇干预目标的逆风向性和非对称性因素显著,而波动性因素不明显。数据说明我国央行进行外汇干预的针对目标是汇率的变动而不是市场的波动幅度,并且对于升值贬值的干预幅度明显不同。与前人研究结论不同的是:汇率干预目标对于升值表现了较小程度的外汇干预,而对于贬值所表现的干预力度较大。另外,得出了外汇干预的长期持续性特点的实证结果,从而提出了外汇均衡目标的实现需要长期的货币政策配合调整等政策建议。
[Abstract]:Based on the theory of sterilizing and non-sterilizing intervention in foreign exchange intervention, and based on the econometrics time series ADL and ARCH models, the headwind characteristics of foreign exchange intervention targets in China are analyzed. Three characteristics of volatility and asymmetry intervention were tested empirically. Through the empirical test of China's foreign exchange intervention data from January 1996 to August 2009, it is found that the headwind and asymmetric factors of foreign exchange intervention target in China are significant, but the volatility factor is not obvious. The data show that China's central bank's foreign exchange intervention is aimed at the change of exchange rate rather than the volatility of the market, and the range of intervention on appreciation and depreciation is obviously different. Different from the previous studies, the target of exchange rate intervention shows a small degree of foreign exchange intervention for appreciation, but a greater degree of intervention for devaluation. In addition, the empirical results of the long-term persistence of foreign exchange intervention are obtained, and some policy suggestions such as long-term monetary policy coordination and adjustment are put forward to achieve the goal of foreign exchange equilibrium.
【作者单位】：中山大学岭南学院;美国Claremont
【分类号】：F832.6

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