汇率沟通、实际干预对人民币汇率与汇率预期的影响
发布时间：2019-06-29 13:37
【摘要】：本文在分析汇率沟通、实际干预影响汇率机理的基础上,运用2005年7月—2014年12月间的相关数据,实证研究了汇率沟通、实际干预和货币政策操作对人民币汇率及汇率预期的影响。实证结果表明,口头汇率沟通、实际干预对人民币汇率和汇率预期的水平变动均产生合意的影响,实际干预对汇率的效力强于口头汇率沟通,而口头汇率沟通对汇率预期的效力强于实际干预。口头汇率沟通降低了人民币汇率和汇率预期的波动,实际干预却加剧了人民币汇率和汇率预期的波动。书面汇率沟通对人民币汇率和汇率预期的水平变动与波动率均无显著影响。数量型货币政策和价格型货币政策操作对人民币汇率和汇率预期均有着显著影响。进一步发现,随着人民币汇率市场化程度的提高,口头汇率沟通、实际干预对人民币汇率和汇率预期的影响显著增强。人民币单边预期会弱化口头汇率沟通、实际干预的效力,而双向预期的形成有利于增强口头汇率沟通、实际干预的有效性。口头汇率沟通的时滞较短,作用持续时间较长。央行应加强汇率沟通在管理人民币汇率和汇率预期中的重要作用,不断提高人民币汇率市场化程度,并应当关注货币政策操作的影响。
[Abstract]:Based on the analysis of exchange rate communication and the mechanism of actual intervention affecting exchange rate, this paper empirically studies the influence of exchange rate communication, actual intervention and monetary policy operation on RMB exchange rate and exchange rate expectation by using the relevant data from July 2005 to December 2014. The empirical results show that the oral exchange rate communication and the actual intervention have a satisfactory impact on the RMB exchange rate and the expected level change of the exchange rate. The effect of the actual intervention on the exchange rate is stronger than that of the oral exchange rate communication, while the effect of the oral exchange rate communication on the exchange rate expectation is stronger than the actual intervention. Oral exchange rate communication reduces the fluctuation of RMB exchange rate and exchange rate expectation, while the actual intervention aggravates the fluctuation of RMB exchange rate and exchange rate expectation. Written exchange rate communication has no significant effect on the expected level change and volatility of RMB exchange rate and exchange rate. Quantitative monetary policy and price monetary policy operation have a significant impact on RMB exchange rate and exchange rate expectations. It is further found that with the improvement of RMB exchange rate marketization and oral exchange rate communication, the impact of actual intervention on RMB exchange rate and exchange rate expectations is significantly enhanced. The unilateral expectation of RMB will weaken the oral exchange rate communication and the effectiveness of the actual intervention, while the formation of the two-way expectation is beneficial to enhance the oral exchange rate communication and the effectiveness of the actual intervention. The time lag of oral exchange rate communication is short and the effect lasts for a long time. The central bank should strengthen the important role of exchange rate communication in the management of RMB exchange rate and exchange rate expectation, constantly improve the degree of RMB exchange rate marketization, and should pay attention to the influence of monetary policy operation.
【作者单位】： 武汉大学经济与管理学院;
【基金】：教育部哲学社会科学研究重大课题攻关项目“经济发展新常态下我国货币政策体系建设研究”(15JZD013)
【分类号】：F832.6
，
本文编号：2507855
[Abstract]:Based on the analysis of exchange rate communication and the mechanism of actual intervention affecting exchange rate, this paper empirically studies the influence of exchange rate communication, actual intervention and monetary policy operation on RMB exchange rate and exchange rate expectation by using the relevant data from July 2005 to December 2014. The empirical results show that the oral exchange rate communication and the actual intervention have a satisfactory impact on the RMB exchange rate and the expected level change of the exchange rate. The effect of the actual intervention on the exchange rate is stronger than that of the oral exchange rate communication, while the effect of the oral exchange rate communication on the exchange rate expectation is stronger than the actual intervention. Oral exchange rate communication reduces the fluctuation of RMB exchange rate and exchange rate expectation, while the actual intervention aggravates the fluctuation of RMB exchange rate and exchange rate expectation. Written exchange rate communication has no significant effect on the expected level change and volatility of RMB exchange rate and exchange rate. Quantitative monetary policy and price monetary policy operation have a significant impact on RMB exchange rate and exchange rate expectations. It is further found that with the improvement of RMB exchange rate marketization and oral exchange rate communication, the impact of actual intervention on RMB exchange rate and exchange rate expectations is significantly enhanced. The unilateral expectation of RMB will weaken the oral exchange rate communication and the effectiveness of the actual intervention, while the formation of the two-way expectation is beneficial to enhance the oral exchange rate communication and the effectiveness of the actual intervention. The time lag of oral exchange rate communication is short and the effect lasts for a long time. The central bank should strengthen the important role of exchange rate communication in the management of RMB exchange rate and exchange rate expectation, constantly improve the degree of RMB exchange rate marketization, and should pay attention to the influence of monetary policy operation.
【作者单位】： 武汉大学经济与管理学院;
【基金】：教育部哲学社会科学研究重大课题攻关项目“经济发展新常态下我国货币政策体系建设研究”(15JZD013)
【分类号】：F832.6
，
本文编号：2507855
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