人民币无本金交割远期汇率异常波动机制识别

发布时间：2019-02-17 19:19

【摘要】：针对汇率波动的非线性特征,应用马尔可夫机制转换方法对2003-09-10—2011-03-25期间人民币的无本金交割远期汇率(NDF)的异常波动进行识别,研究结果显示:①2005年7月21日和2010年6月19日央行2次汇改前后NDF汇率均为高波动的异常机制,汇改后的初期存在一个升值预期压力集中释放的阶段,表明人民币汇率制度改革取得了稳定预期的成效;②2007年下半年至2009初的国际金融危机期间NDF汇率出现持续的异常波动,其中,长期NDF波动受美元先贬后升趋势的影响更为显著,说明投机者预期更易受到国际金融市场冲击的影响.上述结果揭示了人民币升值预期压力的积聚期间和不同市场参与者的预期差异,对我国央行适时干预以稳定汇率具有参考价值.
[Abstract]:In view of the nonlinear characteristics of exchange rate fluctuations, this paper applies the Markov mechanism transformation method to identify the abnormal fluctuations of the non-deliverable forward exchange rate (NDF) of RMB in the period 2003-09-10-2011-03-25. The results show that: 1before and after the central bank's two exchange rate reforms on July 21, 2005 and June 19, 2010, the NDF exchange rate is an abnormal mechanism with high volatility, and there is a stage of concentrated release of the expected pressure of appreciation in the initial period after the exchange rate reform. It shows that the reform of RMB exchange rate system has achieved the expected results. (2) during the international financial crisis from the second half of 2007 to the beginning of 2009, the NDF exchange rate continued to fluctuate abnormally, among which, the long-term NDF volatility was more significantly affected by the upward trend of the US dollar after the decline of the US dollar. This suggests that speculators are expected to be more vulnerable to shocks in international financial markets. These results reveal the differences between the accumulation period of the expected pressure of RMB appreciation and the expectations of different market participants and have reference value for the central bank to intervene in time to stabilize the exchange rate.
【作者单位】：同济大学经济与管理学院;
【基金】：国家自然科学基金(71173153) 中央高校基本科研业务费专项资金(1200219175)
【分类号】：F832.6

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