人民币升贬值预期压力期间识别:基于马尔可夫机制转换模型的实证分析

发布时间：2018-06-08 06:32

本文选题：人民币升贬值预期 + 人民币无本金交割远期汇率　；参考：《系统工程》2012年10期

【摘要】：针对汇率预期变化的非线性特征,应用三状态马尔可夫机制转换模型(MS),通过对美国次贷危机以来3月期和1年期人民币无本金交割远期汇率(CNYNDF)的波动机制进行实证分析,揭示人民币升贬值预期压力的积聚期间及交易型和投机型市场参与者的预期差异。研究结果显示:(1)2007年下半年至2009初的金融危机期间,CNYNDF先后处于升值高波动和贬值高波动的异常压力机制,且长期CNYNDF受美元先贬后升的影响更为显著,说明汇率投机者的预期更易受到国际金融市场的冲击;(2)2010年6月19日央行二次汇改之后,CNYNDF由升值高波动的异常机制逐步转入升值低波动的稳定机制,存在一个升值预期压力集中释放的阶段,说明汇率制度改革取得了稳定预期的成效。上述结论对央行适时干预以稳定人民币汇率预期具有重要的参考价值。
[Abstract]:In view of the nonlinear characteristics of the expected change of exchange rate, this paper applies the three-state Markov mechanism transformation model to analyze the volatility mechanism of CNYNDF exchange rate in the period of March and one year since the subprime mortgage crisis in the United States. Reveal the period during which the expected pressure to rise and depreciate the yuan and the expected differences between trading and speculative market participants. The results show that during the financial crisis from the second half of 2007 to the beginning of 2009, CNYNDF was successively in the abnormal pressure mechanism of high volatility of appreciation and high volatility of depreciation, and the long-term CNYNDF was affected more significantly by the decline of US dollar first and then the rise of CNYNDF. This shows that the expectations of exchange rate speculators are more vulnerable to the impact of the international financial market. (2) after the second exchange rate reform of the central bank on June 19, 2010, CNYNDF gradually shifted from an abnormal mechanism with high appreciation fluctuations to a stable mechanism of appreciation and low volatility. There is a stage of concentrated release of the expected pressure of appreciation, which indicates that the reform of exchange rate regime has achieved stable expected results. These conclusions have important reference value for central bank intervention in time to stabilize RMB exchange rate expectation.
【作者单位】：同济大学经济与管理学院;
【基金】：中央高校基本科研业务费专项(1200219175)
【分类号】：F832.6;F224

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