基于汇率预期与央行外汇干预的汇率动态决定:理论分析与经验研究

发布时间：2018-01-02 01:06

本文关键词：基于汇率预期与央行外汇干预的汇率动态决定:理论分析与经验研究　出处：《统计研究》2016年09期 　论文类型：期刊论文

【摘要】：本文通过将央行外汇干预引入到包含风险溢价的无抛补利率平价中,并采用非线性自回归分布滞后(NARDL)模型考察了2006年10月至2015年12月汇率预期和央行外汇干预对人民币汇率的影响。结果表明:1汇率预期与央行外汇干预对人民币即期汇率具有显著的短期和长期非对称影响,且在长期和短期内,人民币即期汇率均更易受升值预期影响;2央行的正向外汇干预在遏制人民币升值方面具有一定效果,但负向外汇干预不仅不会遏制人民币贬值,反而会助推人民币进一步贬值;3中美息差的缩小短期内会导致人民币贬值,在长期则会导致人民币升值;4风险溢价下降短期内会导致人民币贬值,在长期却会导致人民币升值,且长期人民币升值容易贬值难。
[Abstract]:This paper introduces the central bank foreign exchange intervention into the non-subsidy interest rate parity which includes the risk premium. The nonlinear autoregressive distribution hysteresis (NARDL) is also used. The model examines the effects of the expectation of the exchange rate from October 2006 to December 2015 and the intervention of the central bank on the RMB exchange rate. The results show that:. 1 Exchange rate expectation and central bank foreign exchange intervention have significant short-term and long-term asymmetric effects on the spot exchange rate of RMB. In the long run and in the short term, the spot exchange rate of RMB is more vulnerable to the expectation of appreciation. (2) the positive foreign exchange intervention of the central bank has certain effect in curbing the RMB appreciation, but the negative foreign exchange intervention will not only not curb the RMB depreciation, but will promote the RMB to devalue further; (3) the narrowing of the interest rate difference between China and the United States will lead to the depreciation of RMB in the short term and the appreciation of RMB in the long run; A fall in the risk premium will lead to a devaluation of the renminbi in the short term, but in the long run will lead to an appreciation of the renminbi, which is easy to depreciate in the long run.
【作者单位】：武汉大学经济与管理学院;武汉大学经济与管理学院金融系;中国海洋大学经济学院;青岛银行;
【基金】：国家自然科学基金“中国利率、汇率与央行资产负债及货币供应之间的交互影响:实证分析与政策意涵”(71373187) 中国博士后科学基金项目“中国利率和汇率市场化对物价的影响及其政策意涵研究”(2015M570608) 青岛社会科学规划项目“利率市场化冲击下中小银行信用风险防控研究”(QDSKL150507)资助
【分类号】：F832.6
【正文快照】： 一、引言在研究央行外汇市场干预和汇率间的关系时,不应忽视汇率预期在其中所起的重要作用。汇率预期的偏离不仅是造成央行进行外汇干预的重要原因,而且央行外汇干预还能通过引导汇率预期而对汇率产生影响。因此,汇率预期是连接外汇干预和汇率的一个重要经济变量。从我国过去

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