行为金融视角下的汇率波动特征研究
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摘要
传统的汇率理论是构建在有效市场与理性预期假设基础上的，近年来，该理论不断遭受人们的质疑与挑战。汇率的行为金融理论从挑战传统汇率决定理论的市场有效性假设与理性预期假设两大理论前提出发，以外汇市场复杂性与交易者行为的异质性为切入点，对外汇交易进行建模、计量乃至模拟分析研究，对于认识外汇交易市场的非理性波动，研究一国央行如何对外汇市场进行适度干预，以实现影响本国货币即期汇率，消除或平抑短期经济波动对汇率预期影响的目的，此类研究具有重要的理论创新意义。
2002年以来，国际社会开始出现人民币升值的呼声，随后，由于美国政府的积极施压，升值呼声逐步形成国内外对人民币升值的强烈预期。2005年7月21日人民币汇率制度改革后，人民币升值开始走上现实历程。自此，人民币汇率经历了三年对美元持续升值过程，累计升值幅度超过20％，但国际市场对人民币的升值预期并未消失。2008年三季度，受美国次贷危机演化成全球金融危机的影响，中国对外出口面临严峻挑战，国际市场又突现较为强烈的人民币贬值预期。预期的形成与逆转具有典型的行为金融学意义上的羊群效应特征，在此背景下，对行为金融视角下的汇率波动与央行干预策略进行研究，具有重要的现实意义。
本文首先对汇率决定理论进行系统回顾与梳理，并从市场交易者的心理及行为入手，立足于外汇市场交易者的异质预期与选择行为特征，介绍早期行为金融学框架下的汇率模型。其次，在对“汇改”后人民币外汇市场结构体系特征进行描述的基础上，对人民币汇率的波动性特征、市场的有效性及基本面因素影响程度三个方面进行了实证研究，研究表明，人民币汇率不符合传统汇率决定理论所描述的特征。然后，通过引入与修正行为金融框架下的汇率决定模型，采用计算机编程模拟方法，考察了汇率变化轨迹与规律，并加入央行干预进行模型扩展，进而总结央行对汇率的不同干预策略。最后，就完善外汇市场，提高外汇市场流动性、稳定性和市场效率以及改进央行外汇市场干预策略等方面提出了相关政策建议。
本文在研究视角与方法上具有一定的创新。研究视角方面，本文摈弃了传统汇率理论的有效市场假设与理性预期假设，把行为金融理论纳入了汇率动态模型研究之中。研究方法方面，由于模型的非线性以及随机扰动，借助计算机程序设计并进行仿真模拟，可以更为深入地研究汇率波动的内在机理。当然，受限于时间与精力以及能力等因素，本文还存在很多不足，可能的不足及未来研究方向是，构建具有人民币市场特征的特定模型或寻找人民币汇率准确特征参数，以更好刻画人民币汇率动态变化的特征，研究更为有效而具体的央行干预策略。
The traditional exchange rate theory basing on the hypotheses of efficient market and rational expectations has in recent years been the victim of people's doubts and challenges. Challenging the validity of the two major theoretical premise—the assumptions of efficient market and rational expectations of traditional exchange rate theory, Behavioral finance theory of exchange rate takes the complexity of foreign exchange market and trading behavior heterogeneity as the breakthrough point, and carries out modeling, quantitative and simulation analysis on foreign exchange transactions. Which is helpful for us to gain the knowledge of non-rational fluctuation of foreign exchange market and the central bank moderate intervention that can eliminate or smooth the exchange rate expectation affected by short-term economic fluctuation having effect on the exchange rate. Which is an important theoretical innovation.
Since 2002, the international community began to voice the appreciation of the RMB, followed by the U.S. government positive pressure, the appreciation voice gradually turned into the strong expectation of RMB appreciation at home and broad. The appreciation of RMB then embarked on the course of reality since the exchange rate system reform on July 21 2005, thereafter the RMB exchange rate against the U.S. dollars has experienced more than three years course of continued appreciation, the cumulative appreciation exceeded 20% meanwhile, but appreciation expectation of RMB in the international market has not disappeared. Since the 3rd quarter of 2008, subject to the sub-loan crisis in the United Sates into the global financial crisis, the exports of China are facing severe challenges, accordingly the relatively strong devaluation expectation of RMB burst out in the international market. Formation and reversal of the expected behavior of a typical financial study on the significance of herding characteristics, in this context, the research on the exchange rate fluctuations and the central bank intervention strategies from behavioral finance perspective has important practical significance.
This paper has a systematic review on exchange rate decide theory firstly, and based on heterogeneity expectation and selection behavioral characteristics of the foreign exchange traders' and from the market traders' psychological and behavioral approach, this paper introduces early exchange rate models in the framework of the behavioral finance. Secondly, this paper describes the characteristics of structural system of RMB foreign exchange market after the reform of the RMB exchange rate system, followed by empirical research on the volatility of the RMB exchange rate features, the effectiveness of foreign exchange market and the impact of fundamental factors on the exchange rate, and the results show that the RMB exchange rate is inconsistent with the characteristics the traditional exchange rate theory described. Therefore this paper introduces and amends the exchange rate model under the framework of behavioral finance, using computer program to simulate the trace of the exchange rates and study on its regular change pattern, then expands the model by adding the central bank intervention into the model, this paper summarizes the different intervention strategies the central bank has on the exchange rate. Finally, this paper proposes the relevant policies such as strengthening the building of the foreign exchange market, improving the foreign exchange market liquidity, stability, market efficiency, and improving the central bank foreign exchange market intervention strategies.
The research perspective and methods are innovative in this paper. From research perspective, the traditional theory of efficient market hypothesis and rational expectations hypothesis are abandoned in this paper and behavioral finance theory is put into the dynamic model of the exchange rate study. Because of the nonlinear and the random disturbance of the model, computer program design and simulation are introduced, through which, we can look more deeply into the inherent mechanism of exchange rate fluctuations. Of course, limited by time, energy and ability, there is still a lot of shortages. The paper shortage and the possible future research direction is to build models with the characteristics of the RMB foreign exchange market or looking for a specific parameters of RMB exchange rate model in order to better characterize the dynamic changes of RMB exchange rate features and give more effective and concrete central bank intervention strategies.
2002年以来，国际社会开始出现人民币升值的呼声，随后，由于美国政府的积极施压，升值呼声逐步形成国内外对人民币升值的强烈预期。2005年7月21日人民币汇率制度改革后，人民币升值开始走上现实历程。自此，人民币汇率经历了三年对美元持续升值过程，累计升值幅度超过20％，但国际市场对人民币的升值预期并未消失。2008年三季度，受美国次贷危机演化成全球金融危机的影响，中国对外出口面临严峻挑战，国际市场又突现较为强烈的人民币贬值预期。预期的形成与逆转具有典型的行为金融学意义上的羊群效应特征，在此背景下，对行为金融视角下的汇率波动与央行干预策略进行研究，具有重要的现实意义。
本文首先对汇率决定理论进行系统回顾与梳理，并从市场交易者的心理及行为入手，立足于外汇市场交易者的异质预期与选择行为特征，介绍早期行为金融学框架下的汇率模型。其次，在对“汇改”后人民币外汇市场结构体系特征进行描述的基础上，对人民币汇率的波动性特征、市场的有效性及基本面因素影响程度三个方面进行了实证研究，研究表明，人民币汇率不符合传统汇率决定理论所描述的特征。然后，通过引入与修正行为金融框架下的汇率决定模型，采用计算机编程模拟方法，考察了汇率变化轨迹与规律，并加入央行干预进行模型扩展，进而总结央行对汇率的不同干预策略。最后，就完善外汇市场，提高外汇市场流动性、稳定性和市场效率以及改进央行外汇市场干预策略等方面提出了相关政策建议。
本文在研究视角与方法上具有一定的创新。研究视角方面，本文摈弃了传统汇率理论的有效市场假设与理性预期假设，把行为金融理论纳入了汇率动态模型研究之中。研究方法方面，由于模型的非线性以及随机扰动，借助计算机程序设计并进行仿真模拟，可以更为深入地研究汇率波动的内在机理。当然，受限于时间与精力以及能力等因素，本文还存在很多不足，可能的不足及未来研究方向是，构建具有人民币市场特征的特定模型或寻找人民币汇率准确特征参数，以更好刻画人民币汇率动态变化的特征，研究更为有效而具体的央行干预策略。
The traditional exchange rate theory basing on the hypotheses of efficient market and rational expectations has in recent years been the victim of people's doubts and challenges. Challenging the validity of the two major theoretical premise—the assumptions of efficient market and rational expectations of traditional exchange rate theory, Behavioral finance theory of exchange rate takes the complexity of foreign exchange market and trading behavior heterogeneity as the breakthrough point, and carries out modeling, quantitative and simulation analysis on foreign exchange transactions. Which is helpful for us to gain the knowledge of non-rational fluctuation of foreign exchange market and the central bank moderate intervention that can eliminate or smooth the exchange rate expectation affected by short-term economic fluctuation having effect on the exchange rate. Which is an important theoretical innovation.
Since 2002, the international community began to voice the appreciation of the RMB, followed by the U.S. government positive pressure, the appreciation voice gradually turned into the strong expectation of RMB appreciation at home and broad. The appreciation of RMB then embarked on the course of reality since the exchange rate system reform on July 21 2005, thereafter the RMB exchange rate against the U.S. dollars has experienced more than three years course of continued appreciation, the cumulative appreciation exceeded 20% meanwhile, but appreciation expectation of RMB in the international market has not disappeared. Since the 3rd quarter of 2008, subject to the sub-loan crisis in the United Sates into the global financial crisis, the exports of China are facing severe challenges, accordingly the relatively strong devaluation expectation of RMB burst out in the international market. Formation and reversal of the expected behavior of a typical financial study on the significance of herding characteristics, in this context, the research on the exchange rate fluctuations and the central bank intervention strategies from behavioral finance perspective has important practical significance.
This paper has a systematic review on exchange rate decide theory firstly, and based on heterogeneity expectation and selection behavioral characteristics of the foreign exchange traders' and from the market traders' psychological and behavioral approach, this paper introduces early exchange rate models in the framework of the behavioral finance. Secondly, this paper describes the characteristics of structural system of RMB foreign exchange market after the reform of the RMB exchange rate system, followed by empirical research on the volatility of the RMB exchange rate features, the effectiveness of foreign exchange market and the impact of fundamental factors on the exchange rate, and the results show that the RMB exchange rate is inconsistent with the characteristics the traditional exchange rate theory described. Therefore this paper introduces and amends the exchange rate model under the framework of behavioral finance, using computer program to simulate the trace of the exchange rates and study on its regular change pattern, then expands the model by adding the central bank intervention into the model, this paper summarizes the different intervention strategies the central bank has on the exchange rate. Finally, this paper proposes the relevant policies such as strengthening the building of the foreign exchange market, improving the foreign exchange market liquidity, stability, market efficiency, and improving the central bank foreign exchange market intervention strategies.
The research perspective and methods are innovative in this paper. From research perspective, the traditional theory of efficient market hypothesis and rational expectations hypothesis are abandoned in this paper and behavioral finance theory is put into the dynamic model of the exchange rate study. Because of the nonlinear and the random disturbance of the model, computer program design and simulation are introduced, through which, we can look more deeply into the inherent mechanism of exchange rate fluctuations. Of course, limited by time, energy and ability, there is still a lot of shortages. The paper shortage and the possible future research direction is to build models with the characteristics of the RMB foreign exchange market or looking for a specific parameters of RMB exchange rate model in order to better characterize the dynamic changes of RMB exchange rate features and give more effective and concrete central bank intervention strategies.
引文
①见边绪宝．新外汇管理条例有助于防范和打击热钱[N]．证券时报，2008-8-8。
①麦金农(2003)《罗纳德．麦金农谈中国的汇率》，“人民币汇率问题国际研讨会”大会材料，原载《亚洲华尔街日报》2003年6月27日。
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