中国外汇市场压力研究
发布时间：2019-05-11 05:49
【摘要】：自1994年汇率并轨以后,近年来我国国际贸易一直呈现出经常项目与资本项目双顺差格局,国际收支大量盈余导致人民币在外汇市场上存在着较大的升值压力。2005年实行参考一篮子货币定值的有管理的浮动汇率制度之后,虽然人民币升值压力得到了一定程度的缓解,但这种压力依旧存在,2011年末与2005年汇改之日相比累计升值22%。中央银行为了维持人民币汇率的基本稳定而被迫进行外汇市场干预。然而,中央银行应在何种程度上对外汇市场进行干预以及干预后的效果如何,这在很大程度上取决于决策者对本币在外汇市场上所面临的升值或贬值压力的预测和判断。因此,深入研究人民币外汇市场压力的产生原因和测算方法,对于明确人民币汇率的未来走向及货币当局制定宏观经济政策具有重要的参考价值和指导意义。 本文在对国内外相关文献进行系统梳理的基础上,介绍了外汇市场压力的定义与内涵,并基于模型依赖法的两国货币模型构建合意的外汇市场压力指数,根据设定的外生变量分别讨论经济增长、国际收支、投资储蓄、外资流入对外汇市场压力产生的影响。通过选用以货币理论为基础的Weymark(?)旨数法估计了中国1994年1月至2011年12月的人民币外汇市场压力指数和央行外汇干预指数,并结合实证结果分析了1994年来人民币外汇市场压力与央行外汇干预力度的变动趋势,得出我国人民币兑美元汇率一直处于升值的压力之中,70%以上都是通过外汇干预来缓解的,我国央行外汇干预力度较强的结论。最后,从经济面基本因素、汇率预期、国际压力三方面对人民币外汇市场压力的产生原因进行了深入分析,并针对人民币汇率机制改革、货币政策、央行外汇干预提出了相应的对策建议。
[Abstract]:Since the merger of exchange rates in 1994, China's international trade has been showing a double surplus pattern of current account and capital account in recent years. After implementing a managed floating exchange rate system with reference to a basket of currencies in 2005, although the pressure on RMB appreciation has been alleviated to a certain extent, the surplus of balance of payments has led to greater pressure on appreciation of the RMB in the foreign exchange market. But this pressure still exists, at the end of 2011 compared with the date of exchange rate reform in 2005, a cumulative appreciation of 22%. The central bank was forced to intervene in the foreign exchange market in order to maintain the basic stability of the RMB exchange rate. However, the extent to which the central bank should intervene in the foreign exchange market and how effective it will be depends, to a large extent, on the decision-makers' predictions and judgments on the pressure of appreciation or devaluation of the currency in the foreign exchange market. Therefore, it is of great reference value and guiding significance to study the causes and calculation methods of RMB foreign exchange market pressure in order to clarify the future trend of RMB exchange rate and the formulation of macroeconomic policy by monetary authorities. This paper introduces the definition and connotation of foreign exchange market pressure on the basis of systematically combing the relevant literatures at home and abroad, and constructs the desired foreign exchange market pressure index based on the model-dependent monetary model of the two countries. According to the set exogenous variables, the effects of economic growth, balance of payments, investment savings and foreign capital inflows on the pressure of foreign exchange market are discussed respectively. Through the selection of Weymark based on monetary theory (?) This paper estimates the RMB foreign exchange market pressure index and the central bank's foreign exchange intervention index from January 1994 to December 2011, and analyzes the changing trend of the RMB foreign exchange market pressure and the central bank's foreign exchange intervention intensity since 1994, combined with the empirical results. It is concluded that the exchange rate of RMB against the US dollar has been under the pressure of appreciation, more than 70% of which are alleviated by foreign exchange intervention, and the central bank of China has a strong foreign exchange intervention. Finally, this paper makes an in-depth analysis of the causes of RMB foreign exchange market pressure from three aspects: economic basic factors, exchange rate expectations and international pressure, and aims at the reform of RMB exchange rate mechanism and monetary policy. The central bank foreign exchange intervention puts forward the corresponding countermeasures and suggestions.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.52
本文编号：2474289
[Abstract]:Since the merger of exchange rates in 1994, China's international trade has been showing a double surplus pattern of current account and capital account in recent years. After implementing a managed floating exchange rate system with reference to a basket of currencies in 2005, although the pressure on RMB appreciation has been alleviated to a certain extent, the surplus of balance of payments has led to greater pressure on appreciation of the RMB in the foreign exchange market. But this pressure still exists, at the end of 2011 compared with the date of exchange rate reform in 2005, a cumulative appreciation of 22%. The central bank was forced to intervene in the foreign exchange market in order to maintain the basic stability of the RMB exchange rate. However, the extent to which the central bank should intervene in the foreign exchange market and how effective it will be depends, to a large extent, on the decision-makers' predictions and judgments on the pressure of appreciation or devaluation of the currency in the foreign exchange market. Therefore, it is of great reference value and guiding significance to study the causes and calculation methods of RMB foreign exchange market pressure in order to clarify the future trend of RMB exchange rate and the formulation of macroeconomic policy by monetary authorities. This paper introduces the definition and connotation of foreign exchange market pressure on the basis of systematically combing the relevant literatures at home and abroad, and constructs the desired foreign exchange market pressure index based on the model-dependent monetary model of the two countries. According to the set exogenous variables, the effects of economic growth, balance of payments, investment savings and foreign capital inflows on the pressure of foreign exchange market are discussed respectively. Through the selection of Weymark based on monetary theory (?) This paper estimates the RMB foreign exchange market pressure index and the central bank's foreign exchange intervention index from January 1994 to December 2011, and analyzes the changing trend of the RMB foreign exchange market pressure and the central bank's foreign exchange intervention intensity since 1994, combined with the empirical results. It is concluded that the exchange rate of RMB against the US dollar has been under the pressure of appreciation, more than 70% of which are alleviated by foreign exchange intervention, and the central bank of China has a strong foreign exchange intervention. Finally, this paper makes an in-depth analysis of the causes of RMB foreign exchange market pressure from three aspects: economic basic factors, exchange rate expectations and international pressure, and aims at the reform of RMB exchange rate mechanism and monetary policy. The central bank foreign exchange intervention puts forward the corresponding countermeasures and suggestions.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.52
【引证文献】
相关硕士学位论文 前1条
1 黄翔;资本账户开放下央行汇率风险管理研究[D];福州大学;2014年
，本文编号：2474289
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