我国人民币汇率政策调整的时机选择研究
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摘要
2005年7月的人民币汇率形成机制改革标志着我国人民币汇率市场化进程的加快,这一汇率政策调整的目标实质上将人民币汇率从单一的美元钉住向钉住一篮子货币,最终向浮动汇率制度过渡。近些年的美国次贷危机和欧洲主权债务危机等全球性的风险事件爆发,使得这一改革推行的步伐有所放缓,央行一度重启了钉住美元的汇率政策。可见推行人民币汇率市场化改革不会是一蹴而就的,需要处理好与由全球风险事件引起的资本流动偏好转变、币值预期及货币政策协调等一系列问题之间的关系——适时控制改革推进的进程,合理选择政策调整的时机作到相机抉择是解决这一问题的突破口。
理论与政策层面的研究较多集中在从宏观均衡汇率水平、市场机制存在空间等角度对汇率升值区间及形成机制进行研究,但对如何把握经济周期及全球风险因素与汇率政策调整时机之间关系选择影响的研究并不多,本文从风险溢价视角为这个领域的研究开辟了新的探讨空间。
研究人民币相对于美元的风险溢价波动及与之相关的宏观因素变动特征是确定人民币汇率政策调整时点的事实基础；第三章采用Hamiltion和Susmel提出马尔科夫状态转换的ARCH模型对2002年1月至2010年10月期间偏离UIP假说的人民币汇率风险溢价波动行为进行了状态划分发现：在美国次贷危机和欧洲债务危机对全球金融市场产生重大冲击的阶段的2007年9月至2008年8月和2010年7月至10月者两个时期偏离UIP假说的汇率风险溢价处于高波动状态,其余时间段处于低波动状态。相应地,宏观变量在这两种状态下也存在差异性：货币性因素包括汇率、利率、物价水平及其波动性在高波动状态显著增加；但非货币因素如生产和消费的波动性在两种状态下并不存在显著性差异。而且资本管制和汇率稳定政策能够降低人民币汇率风险溢价的波动性。
风险因素及溢价对汇率预期的影响效果为人民币汇率政策调整时机确定提供了现实依据。第四章通过对影响汇率预期形成的宏观及市场因素梳理后发现在汇率预期形成的过程中,外汇市场投资者对市场干预者具有“学习效应”,在外汇市场干预者在一定时期采用相同的干预策略时,外汇市场参与者的汇率预期差将会逐渐降低。实证研究发现不同的宏观因素对汇率预期影响的期限和强度存在差异,汇率风险溢价对汇率预期存在明显的期限效应：随着期限增加,汇率风险溢价对汇率预期形成影响偏差也就越大。并且利用马尔科夫状态转换自回归模型,发现汇率政策调整等制度性因素根据风险因素、人民币汇率风险溢价水平及美元指数走势择时调整时,恰是人民币汇率预期差在高与低两种状态间转换的拐点。
第五章是讨论利率政策和汇率政策如何协调搭配能够使得我国的宏观政策走出蒙代尔-弗莱明的“不可能三角”的选择约束,为货币政策的有效性创造空间。通过探讨货币与资产市场风险收益波动的互动关系,将货币市场风险溢价与实体经济(股市)风险溢价加入到对宏观开放经济的模型中,构建最优利率反应函数,为货币政策水平调整及如何实现与汇率政策相协调提供理论依据。研究成果表明央行在制定利率政策时,如果考虑汇率风险溢价,这会为最优利率水平赋予了一个向下调整的驱动力。当投资者预期乐观时,央行通过加息方法来抑制通货膨胀,汇率风险溢价水平的提高吸引境外资金流入,带动投资情绪改善,刺激实体经济的复苏。而当投资者对未来经济前景担忧时,国际流动资本仅在货币市场享受较高的汇率风险溢价,对风险资产(如股票)的溢价回报需求降低,这时应适当控制加息节奏,并推进人民币汇率市场化改革。
为了维护金融市场及资本市场的稳定,还需要及时观察国内外经济环境中的风险因素与风险溢价水平的波动,选择时机利用外汇干预手段来稳定汇率水平。本文就我国汇率政策调整的时机选择提出的政策建议如下：汇率市场化进程的改革步伐调整应相机抉择,在国际风险事件频发时期,适时选择钉住美元汇率政策也是可取的；需适时参照人民币汇率的预期及其变动方向,重视汇率预期中拐点的出现及汇率政策调整对汇率预期形成的“学习效应”,根据投资者对经济未来预期情况对汇率政策与货币政策进行相机抉择,提高了我国货币政策实施的有效性。在对汇率制度改革推行进行进程控制的同时,逐步推进利率市场化、资本项目开放以及丰富人民币离岸与在岸市场的金融市场工具等,最终实现我国汇率改革的长远目标,建立一个更有弹性的人民币汇率形成机制。
The reformation of RMB exchange rate formation mechanism in Jul.2005 marks the acceleration of marketization of China's RMB exchange rate. Substantially the target of the exchange rate policy adjusted from pegging to a single dollar to a basket of currencies, and ultimately to the floating exchange rate system. The outbreak of global risk in recent years, such as the U.S. subprime mortgage crisis and the European sovereign debt crisis, has slowed down such reform. PRC has again restarted the policy to peg on dollars. So the implementation of the RMB exchange rate market-oriented reforms will not be easy, need to deal with capital flows caused by the global risk event preferences change, It is a discretionary choice of the timing of policy adjustments that is a breakthrough i to handle the relationship between a range of issues-currency expectations and monetary policy coordination and timely control of the Reform process.
The focus of the study on both theory and policy level has long been the appreciation space and the pace of formation, processing from angles such as macro equilibrium exchange rate and market mechanism. However, there is still an absence of the research on the interaction between the business cycle, global risk factors and the opportunity of exchange rate policy adjustment. This thesis explores this area from the aspect of risk premium.
It is the factual fundamentals to point the time for the adjustments in the exchange rates policies that to study the fluctuation of characteristic in the risk premium of exchange rate and macroeconomic factors. The third chapter using Hamiltion and Susmel Markov-regimes-switching-ARCH model, detected the behavior of fluctuations in RMB-exchange rate risk premium from Jan.2002 to Oct. 2010 and finds there was obvious regimes-switching in fluctuations of risk premium deduced as the deviations from uncovered interest parity on the pair of RMB/US dollar. During two periods in the global financial crisis,one was from the Sep.2007-Aug.2008 and the other from Jul. to Oct.2010 of 2007, the fluctuations of risk premium was in the high-fluctuation regime. In other periods they stayed in the low-fluctuation regime. After comparing the volatility of several macroeconomic variables in the two regimes, we find that the volatilities of the monetary variables such as exchange rate, the interest rate, the price level showed significant difference in the two regimes, while those of the non-monetary variables such as the production and the consumption didn't. And both capital-control and exchange-rate-stabilization policy could reduce the volatility of RMB exchange rate risk premium.
The effect of risk factors and the premium on the exchange rate expectation provides a realistic basis for the adjustment of the RMB exchange rate policy. The fourth chapter has combed macro and market factors in the processes of exchange rates expectation formation mechanism and the foreign exchange market investors take the market intervention into their expectation formation by the "learning effect", When the foreign exchange market intervention taking the same intervention strategies in a certain period, the exchange rates expected deviation will be reduced. The empirical study found that the effects of macro-factors on the exchange rate is differently on duration and intensity while the on the exchange rate there is a "period effect" existing in the effects of risk premium on exchange rate expectation. With the duration increasing, the expected deviation is greater. Using the MSVAR model, the timing of the exchange rate policy adjustment based on risk factors, the RMB exchange rate risk premium and the US dollar index is exactly the inflection point of conversion of high and low states of RMB exchange rate expected deviations.
The fifth chapter is to discuss how to coordinate the interest rate and exchange rate policies in order to drag the China out from the macro-policy selection constraints of the Mundell-Fleming's "impossible triangle" while to create space for the effectiveness of monetary policy.Explore the interaction between risk and return in currency and asset markets and, and insert the currency market risk premium and the real economy (stock market) risk premium into a macro open economy model to build the optimal interest rate reaction function. So it provides a theoretical support to adjust the level of monetary policy and how to coordinate with the exchange rate policy.The central bank's rate-setting policy, if exchange rate risk premium is taken into consideration, a downward adjustment in the driving force for the optimal level of interest rates would be given. When investors are optimistic about the economy future, it is proper to increase interest rates to ease inflation and attract "hot money" inflows lowering premium in risk assets for economic recovery. And when investors worried about the economic outlook, the international capital flows into the money market to enjoy a higher exchange rate risk premium, it is the time to accelerate the pace of market-oriented reform of RMB exchange rate.
In order to maintain the stability of financial markets and capital markets, it is necessary to timely observe risk factors in domestic and international economic environment and the fluctuations of the risk premium. choose the timing of the foreign exchange market intervention to maintain a stable exchange rate。The policy recommendations for timing the adjustment of China's RMB Exchange Rate Policies are as follows:the pace marketization of China's RMB exchange rates should be discretionary, especially when the international risky events frequently happened exchange rate is desirable to peg against the dollar policy; When coordinating exchange rate and monetary policies discretionally so as improved the effectiveness of monetary policy implementation, it is need to refer to the RMB exchange rate expectations and the inflection point in the exchange rate expectation and "learning effect" mentioned above. While controlling the process of exchange rate reformation, it is important to promote the marketization of interest rates, open capital account and enrich financial instruments in RMB offshore and onshore markets gradually and ultimately the long-term goal of China's exchange rate reform, to establish a more flexible RMB exchange rate formation mechanism will be realized.
理论与政策层面的研究较多集中在从宏观均衡汇率水平、市场机制存在空间等角度对汇率升值区间及形成机制进行研究,但对如何把握经济周期及全球风险因素与汇率政策调整时机之间关系选择影响的研究并不多,本文从风险溢价视角为这个领域的研究开辟了新的探讨空间。
研究人民币相对于美元的风险溢价波动及与之相关的宏观因素变动特征是确定人民币汇率政策调整时点的事实基础；第三章采用Hamiltion和Susmel提出马尔科夫状态转换的ARCH模型对2002年1月至2010年10月期间偏离UIP假说的人民币汇率风险溢价波动行为进行了状态划分发现：在美国次贷危机和欧洲债务危机对全球金融市场产生重大冲击的阶段的2007年9月至2008年8月和2010年7月至10月者两个时期偏离UIP假说的汇率风险溢价处于高波动状态,其余时间段处于低波动状态。相应地,宏观变量在这两种状态下也存在差异性：货币性因素包括汇率、利率、物价水平及其波动性在高波动状态显著增加；但非货币因素如生产和消费的波动性在两种状态下并不存在显著性差异。而且资本管制和汇率稳定政策能够降低人民币汇率风险溢价的波动性。
风险因素及溢价对汇率预期的影响效果为人民币汇率政策调整时机确定提供了现实依据。第四章通过对影响汇率预期形成的宏观及市场因素梳理后发现在汇率预期形成的过程中,外汇市场投资者对市场干预者具有“学习效应”,在外汇市场干预者在一定时期采用相同的干预策略时,外汇市场参与者的汇率预期差将会逐渐降低。实证研究发现不同的宏观因素对汇率预期影响的期限和强度存在差异,汇率风险溢价对汇率预期存在明显的期限效应：随着期限增加,汇率风险溢价对汇率预期形成影响偏差也就越大。并且利用马尔科夫状态转换自回归模型,发现汇率政策调整等制度性因素根据风险因素、人民币汇率风险溢价水平及美元指数走势择时调整时,恰是人民币汇率预期差在高与低两种状态间转换的拐点。
第五章是讨论利率政策和汇率政策如何协调搭配能够使得我国的宏观政策走出蒙代尔-弗莱明的“不可能三角”的选择约束,为货币政策的有效性创造空间。通过探讨货币与资产市场风险收益波动的互动关系,将货币市场风险溢价与实体经济(股市)风险溢价加入到对宏观开放经济的模型中,构建最优利率反应函数,为货币政策水平调整及如何实现与汇率政策相协调提供理论依据。研究成果表明央行在制定利率政策时,如果考虑汇率风险溢价,这会为最优利率水平赋予了一个向下调整的驱动力。当投资者预期乐观时,央行通过加息方法来抑制通货膨胀,汇率风险溢价水平的提高吸引境外资金流入,带动投资情绪改善,刺激实体经济的复苏。而当投资者对未来经济前景担忧时,国际流动资本仅在货币市场享受较高的汇率风险溢价,对风险资产(如股票)的溢价回报需求降低,这时应适当控制加息节奏,并推进人民币汇率市场化改革。
为了维护金融市场及资本市场的稳定,还需要及时观察国内外经济环境中的风险因素与风险溢价水平的波动,选择时机利用外汇干预手段来稳定汇率水平。本文就我国汇率政策调整的时机选择提出的政策建议如下：汇率市场化进程的改革步伐调整应相机抉择,在国际风险事件频发时期,适时选择钉住美元汇率政策也是可取的；需适时参照人民币汇率的预期及其变动方向,重视汇率预期中拐点的出现及汇率政策调整对汇率预期形成的“学习效应”,根据投资者对经济未来预期情况对汇率政策与货币政策进行相机抉择,提高了我国货币政策实施的有效性。在对汇率制度改革推行进行进程控制的同时,逐步推进利率市场化、资本项目开放以及丰富人民币离岸与在岸市场的金融市场工具等,最终实现我国汇率改革的长远目标,建立一个更有弹性的人民币汇率形成机制。
The reformation of RMB exchange rate formation mechanism in Jul.2005 marks the acceleration of marketization of China's RMB exchange rate. Substantially the target of the exchange rate policy adjusted from pegging to a single dollar to a basket of currencies, and ultimately to the floating exchange rate system. The outbreak of global risk in recent years, such as the U.S. subprime mortgage crisis and the European sovereign debt crisis, has slowed down such reform. PRC has again restarted the policy to peg on dollars. So the implementation of the RMB exchange rate market-oriented reforms will not be easy, need to deal with capital flows caused by the global risk event preferences change, It is a discretionary choice of the timing of policy adjustments that is a breakthrough i to handle the relationship between a range of issues-currency expectations and monetary policy coordination and timely control of the Reform process.
The focus of the study on both theory and policy level has long been the appreciation space and the pace of formation, processing from angles such as macro equilibrium exchange rate and market mechanism. However, there is still an absence of the research on the interaction between the business cycle, global risk factors and the opportunity of exchange rate policy adjustment. This thesis explores this area from the aspect of risk premium.
It is the factual fundamentals to point the time for the adjustments in the exchange rates policies that to study the fluctuation of characteristic in the risk premium of exchange rate and macroeconomic factors. The third chapter using Hamiltion and Susmel Markov-regimes-switching-ARCH model, detected the behavior of fluctuations in RMB-exchange rate risk premium from Jan.2002 to Oct. 2010 and finds there was obvious regimes-switching in fluctuations of risk premium deduced as the deviations from uncovered interest parity on the pair of RMB/US dollar. During two periods in the global financial crisis,one was from the Sep.2007-Aug.2008 and the other from Jul. to Oct.2010 of 2007, the fluctuations of risk premium was in the high-fluctuation regime. In other periods they stayed in the low-fluctuation regime. After comparing the volatility of several macroeconomic variables in the two regimes, we find that the volatilities of the monetary variables such as exchange rate, the interest rate, the price level showed significant difference in the two regimes, while those of the non-monetary variables such as the production and the consumption didn't. And both capital-control and exchange-rate-stabilization policy could reduce the volatility of RMB exchange rate risk premium.
The effect of risk factors and the premium on the exchange rate expectation provides a realistic basis for the adjustment of the RMB exchange rate policy. The fourth chapter has combed macro and market factors in the processes of exchange rates expectation formation mechanism and the foreign exchange market investors take the market intervention into their expectation formation by the "learning effect", When the foreign exchange market intervention taking the same intervention strategies in a certain period, the exchange rates expected deviation will be reduced. The empirical study found that the effects of macro-factors on the exchange rate is differently on duration and intensity while the on the exchange rate there is a "period effect" existing in the effects of risk premium on exchange rate expectation. With the duration increasing, the expected deviation is greater. Using the MSVAR model, the timing of the exchange rate policy adjustment based on risk factors, the RMB exchange rate risk premium and the US dollar index is exactly the inflection point of conversion of high and low states of RMB exchange rate expected deviations.
The fifth chapter is to discuss how to coordinate the interest rate and exchange rate policies in order to drag the China out from the macro-policy selection constraints of the Mundell-Fleming's "impossible triangle" while to create space for the effectiveness of monetary policy.Explore the interaction between risk and return in currency and asset markets and, and insert the currency market risk premium and the real economy (stock market) risk premium into a macro open economy model to build the optimal interest rate reaction function. So it provides a theoretical support to adjust the level of monetary policy and how to coordinate with the exchange rate policy.The central bank's rate-setting policy, if exchange rate risk premium is taken into consideration, a downward adjustment in the driving force for the optimal level of interest rates would be given. When investors are optimistic about the economy future, it is proper to increase interest rates to ease inflation and attract "hot money" inflows lowering premium in risk assets for economic recovery. And when investors worried about the economic outlook, the international capital flows into the money market to enjoy a higher exchange rate risk premium, it is the time to accelerate the pace of market-oriented reform of RMB exchange rate.
In order to maintain the stability of financial markets and capital markets, it is necessary to timely observe risk factors in domestic and international economic environment and the fluctuations of the risk premium. choose the timing of the foreign exchange market intervention to maintain a stable exchange rate。The policy recommendations for timing the adjustment of China's RMB Exchange Rate Policies are as follows:the pace marketization of China's RMB exchange rates should be discretionary, especially when the international risky events frequently happened exchange rate is desirable to peg against the dollar policy; When coordinating exchange rate and monetary policies discretionally so as improved the effectiveness of monetary policy implementation, it is need to refer to the RMB exchange rate expectations and the inflection point in the exchange rate expectation and "learning effect" mentioned above. While controlling the process of exchange rate reformation, it is important to promote the marketization of interest rates, open capital account and enrich financial instruments in RMB offshore and onshore markets gradually and ultimately the long-term goal of China's exchange rate reform, to establish a more flexible RMB exchange rate formation mechanism will be realized.
引文
1详见平新乔.微观经济学十八讲[M].北京：北京大学出版社：2001.4,62
4全称为芝加哥期权交易所波动率指数(Chicago Board Options Exchange Market Volatility Index),数据来源：彭博数据库。
5双重风险溢价与热钱和VIX指数的协整效应详见附录5.6.1
6陈蓉、郑振龙(2009)也通过实证研究观察到对于美元投资者而言,美元资产存在负向的风险溢价,而人民币资产存在正向的风险溢价。
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4全称为芝加哥期权交易所波动率指数(Chicago Board Options Exchange Market Volatility Index),数据来源：彭博数据库。
5双重风险溢价与热钱和VIX指数的协整效应详见附录5.6.1
6陈蓉、郑振龙(2009)也通过实证研究观察到对于美元投资者而言,美元资产存在负向的风险溢价,而人民币资产存在正向的风险溢价。
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