央行干预下的人民币汇率噪音交易动态模型和实证研究

发布时间：2018-07-09 21:05

本文选题：人民币汇率 + 噪声交易模型　；参考：《国际贸易问题》2017年10期

【摘要】：本文根据人民币外汇市场的特征,基于噪声交易视角构建了一个包含央行干预的市场中基本面交易者和噪声交易者比例根据市场噪声状况动态调整的人民币汇率动态决定模型,并考察了央行干预对于市场交易者的影响和人民币汇率的运动轨迹。本文还采用TVP-VAR模型对理论模型得出的结论进行实证研究。通过对模型的求解,本文得到不同情况下汇率收敛于基本面汇率的干预条件。此外,只要央行的适度干预和有效引导,将人民币汇率的波动控制在一定范围之内,汇率会最终收敛于汇率的基本面价值。短期上,央行干预可以影响汇率的瞬间均衡汇率,但长期上,汇率的运动轨迹会回归到基本面汇率。实证研究的结果支持理论模型得出的结论。
[Abstract]:According to the characteristics of the RMB foreign exchange market, this paper constructs a dynamic determination model of RMB exchange rate based on the noise trading perspective, which includes the intervention of the central bank in the market where the ratio of fundamental traders and noise traders is dynamically adjusted according to the market noise situation. The influence of central bank intervention on market traders and the movement of RMB exchange rate are also investigated. This paper also uses TVP-VAR model to make empirical research on the conclusions of the theoretical model. By solving the model, the intervention conditions of converging the exchange rate to the fundamental exchange rate under different conditions are obtained. In addition, as long as the central bank's moderate intervention and effective guidance, the RMB exchange rate fluctuations within a certain range, the exchange rate will eventually converge to the fundamental value of the exchange rate. In the short term, central bank intervention can affect the instantaneous equilibrium exchange rate, but in the long run, the trajectory of the exchange rate will return to the fundamental exchange rate. The results of the empirical research support the conclusions of the theoretical model.
【作者单位】：中山大学岭南学院;
【基金】：教育部人文社会科学研究规划基金“我国国债期货高频波动率的预测研究:基于半非参数、非线性和时变模型”(17YJA790011) 中山大学高校基本科研业务费(14wkzs03)科研助手项目
【分类号】：F832.31;F832.6

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