不同市场状态下中央银行汇率干预有效性分析
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摘要
在人民币国际化程度不断提升和汇率形成机制市场化改革不断推进的背景下,中央银行汇率干预对引导市场预期、维持汇率体系稳定起到日益重要的作用。考虑到不同市场状态对中央银行汇率干预行为有效性的可能影响,本文利用EGARCH模型结合Markov机制转换模型进行实证分析。研究发现:(1)从整体上看,中央银行的汇率干预对汇率波动程度的影响要大于对汇率水平的影响;(2)中央银行干预对汇率波动的抑制作用要部分依赖于干预事件发生时的汇率市场状态;(3)不同市场状态下,汇率沟通中传递出的政策取向会影响其作用效果。中央银行汇率干预在很大程度上可以降低汇率市场的波动程度,将传统干预手段与汇率沟通相结合,并依据汇率市场状态恰当调整干预方式及沟通内容,才能更好引导市场预期、达成政策目标。
With the continuous improvement of the degree of internationalization of RMB and the marketization of RMB exchange rate formation mechanism, intervention from PBOC is playing a major part in guiding the market expectations and stabilizing the exchange rate system. This paper combined the EGARCH model and the Markov switching model together to analyze the effectiveness of PBOC's actual intervention and policy communication under different market conditions. The empirical results show that:(1) Both actual intervention and policy communication have more significant influence on RMB exchange rate's volatility than on its spot rates.(2) The effectiveness of PBOC's intervention on RMB volatility depends on the market conditions to some extent.(3) Under different market conditions, the directions of PBOC's policy communication will have a certain level of influence on its effectiveness. Overall, intervention from the PBOC is still of great importance to reduce the volatility of exchange rate system. In order to guide positive market expectations and optimize policy effects, traditional actual intervention should be combined with policy communication and market conditions should be taken into consideration when making policy decisions.
With the continuous improvement of the degree of internationalization of RMB and the marketization of RMB exchange rate formation mechanism, intervention from PBOC is playing a major part in guiding the market expectations and stabilizing the exchange rate system. This paper combined the EGARCH model and the Markov switching model together to analyze the effectiveness of PBOC's actual intervention and policy communication under different market conditions. The empirical results show that:(1) Both actual intervention and policy communication have more significant influence on RMB exchange rate's volatility than on its spot rates.(2) The effectiveness of PBOC's intervention on RMB volatility depends on the market conditions to some extent.(3) Under different market conditions, the directions of PBOC's policy communication will have a certain level of influence on its effectiveness. Overall, intervention from the PBOC is still of great importance to reduce the volatility of exchange rate system. In order to guide positive market expectations and optimize policy effects, traditional actual intervention should be combined with policy communication and market conditions should be taken into consideration when making policy decisions.
引文
[1]丁剑平,马俊玲,钱小燕.单方干预与联合干预效应对中国的启示[J].复旦学报(社会科学版),2014(6):49-55.
[2]干杏娣,杨金梅,张军.我国央行外汇干预有效性的事件分析研究[J].金融研究,2007(9):82-89.
[3]谷宇,王轶群,翟羽娜.中国央行汇率沟通的有效性及作用渠道研究[J].经济科学,2016(1):66-75
[4]韩峰,谢赤,孙柏.基于IV-GARCH模型的外汇干预有效性实证研究[J].金融研究,2011(6):71-85.
[5]李小平,冯芸,吴冲锋.金融危机前后的汇率波动特征[J].管理科学学报,2012(4):40-49.
[6]李晓峰,陈华.人民币即期汇率市场与境外衍生市场之间的信息流动关系研究[J].金融研究,2008(5):14-24.
[7]李云峰.中央银行沟通、实际干预与通货膨胀稳定[J].国际金融研究,2012(4):15-23.
[8]李云峰,李仲飞.汇率沟通、实际干预与人民币汇率变动—基于结构向量自回归模型的实证分析[J].国际金融研究,2011(4):30-37.
[9]卢新生,孙欣欣.中央银行政策沟通的市场效应:基于人民币汇率的实证研究[J].金融研究,2017(1):22-34.
[10]王自锋,白玥明,何翰.央行汇率沟通与实际干预调节人民币汇率变动的实效与条件改进[J].世界经济研究,2015(3):15-26.
[11]赵华,燕焦枝.汇改后人民币汇率波动的状态转换行为研究[J].国际金融研究,2010(1):60-67.
[12]朱孟楠,闫帅.政府公开表态与短期人民币汇率波动[J].经济与管理研究,2015(10):33-39.
[13]朱宁,许艺煊,邱光辉.中央银行沟通对人民币汇率波动的影响[J].金融研究,2016(11):32-46.
[14]Beine,M.,A.B.Quéréand C.Lecourt.Central bank intervention and foreign exchange rates:new evidence from FIGARCH estimations[J].Journal of International Money and Finance,2002,21:115-144.
[15]Beine,M.,G.Janssen and C.Lecourt.Should central bankers talk to the foreign exchange markets?[J].Journal of International Money and Finance,2009,28:776-803.
[16]Brunetti,C.,C.Scotti and R.S.Mariana,A.H.H.Tan.2008,Markov switching GARCH models of currency turmoil in Southeast Asia[J].Emerging Markets Review,2008,9:104-128.
[17]Charles,E.and J.D.Hamilton.Long swings in the dollar:are they in the data,and do the markets know it[J].American Economic Review,1990,80(4):689-713.
[18]Fatum,R.and Hutchison,M.M.ECB foreign exchange intervention and the Euro:Institutional framework,news,and intervention[J].Economies Review,2002,13:413-425.
[19]Fratzscher,M..Oral interventions versus actual interventions in FX markets—An event-study approach[J].The Economic Journal,2008,118:1079-1106.
[20]Fratzscher,M..Communication and exchange rate policy[J].Journal of Macroeconomics,2008,30(4):1651-1672.
[21]Hu,M.,Y.Li,J.Yang and C.Chao.Actual intervention and verbal intervention in the Chinese RMB exchange rate[J].International Review of Economics and Finance,2016,43:499-508.
[22]Jansen,D.J.and J.Hann.Were verbal efforts to support the euro effective?A high frequency analysis of ECB statements[J].European Journal of Political Economy,2007,23:245-259.
[23]Watanabe,T.,and K.Harada.Effects of the Bank of Japan’s intervention on yen/dollar exchange rate volatility[J].Journal of the Japanese and International Economics,2006,20:99-111.
[24]Wilfling,B..Volatility regime-switching in European exchange rates prior to monetary unification[J].Journal of International Money and Finance,2009,28:240-270.
(1)因篇幅限制,此处省略回归结果。如有需要,可来函索取。
(1)为尽可能降低个人判断对分类和赋值的影响、提高准确程度,本文采用让两个人独立地分析这些新闻报道的方法,结合报道中的关键字或关键词、以及权威新闻解读和评论,然后对其内容进行赋值;如果出现赋值不一致的情况,则重新分析判断,以尽可能达成一致意见,或在某些极端情况下,从样本中剔除该数据。例如,将周小川行长在2015年11月25日撰文谈金融“十三五”规划时提出要“扩大人民币双向浮动区间、增强人民币汇率弹性”的表述赋值为1、将李克强总理在2016年6月7日会见美国国务卿克里时强调“中国有能力保持人民币汇率在合理均衡水平上的基本稳定”的表述赋值为0。
[2]干杏娣,杨金梅,张军.我国央行外汇干预有效性的事件分析研究[J].金融研究,2007(9):82-89.
[3]谷宇,王轶群,翟羽娜.中国央行汇率沟通的有效性及作用渠道研究[J].经济科学,2016(1):66-75
[4]韩峰,谢赤,孙柏.基于IV-GARCH模型的外汇干预有效性实证研究[J].金融研究,2011(6):71-85.
[5]李小平,冯芸,吴冲锋.金融危机前后的汇率波动特征[J].管理科学学报,2012(4):40-49.
[6]李晓峰,陈华.人民币即期汇率市场与境外衍生市场之间的信息流动关系研究[J].金融研究,2008(5):14-24.
[7]李云峰.中央银行沟通、实际干预与通货膨胀稳定[J].国际金融研究,2012(4):15-23.
[8]李云峰,李仲飞.汇率沟通、实际干预与人民币汇率变动—基于结构向量自回归模型的实证分析[J].国际金融研究,2011(4):30-37.
[9]卢新生,孙欣欣.中央银行政策沟通的市场效应:基于人民币汇率的实证研究[J].金融研究,2017(1):22-34.
[10]王自锋,白玥明,何翰.央行汇率沟通与实际干预调节人民币汇率变动的实效与条件改进[J].世界经济研究,2015(3):15-26.
[11]赵华,燕焦枝.汇改后人民币汇率波动的状态转换行为研究[J].国际金融研究,2010(1):60-67.
[12]朱孟楠,闫帅.政府公开表态与短期人民币汇率波动[J].经济与管理研究,2015(10):33-39.
[13]朱宁,许艺煊,邱光辉.中央银行沟通对人民币汇率波动的影响[J].金融研究,2016(11):32-46.
[14]Beine,M.,A.B.Quéréand C.Lecourt.Central bank intervention and foreign exchange rates:new evidence from FIGARCH estimations[J].Journal of International Money and Finance,2002,21:115-144.
[15]Beine,M.,G.Janssen and C.Lecourt.Should central bankers talk to the foreign exchange markets?[J].Journal of International Money and Finance,2009,28:776-803.
[16]Brunetti,C.,C.Scotti and R.S.Mariana,A.H.H.Tan.2008,Markov switching GARCH models of currency turmoil in Southeast Asia[J].Emerging Markets Review,2008,9:104-128.
[17]Charles,E.and J.D.Hamilton.Long swings in the dollar:are they in the data,and do the markets know it[J].American Economic Review,1990,80(4):689-713.
[18]Fatum,R.and Hutchison,M.M.ECB foreign exchange intervention and the Euro:Institutional framework,news,and intervention[J].Economies Review,2002,13:413-425.
[19]Fratzscher,M..Oral interventions versus actual interventions in FX markets—An event-study approach[J].The Economic Journal,2008,118:1079-1106.
[20]Fratzscher,M..Communication and exchange rate policy[J].Journal of Macroeconomics,2008,30(4):1651-1672.
[21]Hu,M.,Y.Li,J.Yang and C.Chao.Actual intervention and verbal intervention in the Chinese RMB exchange rate[J].International Review of Economics and Finance,2016,43:499-508.
[22]Jansen,D.J.and J.Hann.Were verbal efforts to support the euro effective?A high frequency analysis of ECB statements[J].European Journal of Political Economy,2007,23:245-259.
[23]Watanabe,T.,and K.Harada.Effects of the Bank of Japan’s intervention on yen/dollar exchange rate volatility[J].Journal of the Japanese and International Economics,2006,20:99-111.
[24]Wilfling,B..Volatility regime-switching in European exchange rates prior to monetary unification[J].Journal of International Money and Finance,2009,28:240-270.
(1)因篇幅限制,此处省略回归结果。如有需要,可来函索取。
(1)为尽可能降低个人判断对分类和赋值的影响、提高准确程度,本文采用让两个人独立地分析这些新闻报道的方法,结合报道中的关键字或关键词、以及权威新闻解读和评论,然后对其内容进行赋值;如果出现赋值不一致的情况,则重新分析判断,以尽可能达成一致意见,或在某些极端情况下,从样本中剔除该数据。例如,将周小川行长在2015年11月25日撰文谈金融“十三五”规划时提出要“扩大人民币双向浮动区间、增强人民币汇率弹性”的表述赋值为1、将李克强总理在2016年6月7日会见美国国务卿克里时强调“中国有能力保持人民币汇率在合理均衡水平上的基本稳定”的表述赋值为0。