本文選題：中央銀行 + 外匯干預(yù)��； 參考：《湖南大學(xué)》2015年碩士論文

【摘要】：隨著經(jīng)濟(jì)的高速發(fā)展,中國(guó)的國(guó)際收支盈余持續(xù)增加,人民幣匯率面臨不斷的升值壓力。匯率的穩(wěn)定關(guān)系到金融經(jīng)濟(jì)的健康發(fā)展和國(guó)際收支的平衡等,中央銀行外匯干預(yù)作為匯率管理的主要工具,對(duì)維持匯率均衡水平和降低匯率波動(dòng)幅度具有重要作用。自2014年中國(guó)人民銀行采取人民幣匯率雙向浮動(dòng)并增加中間價(jià)波動(dòng)區(qū)間以來(lái),人民幣匯率升值加速,而進(jìn)入2015年后則面臨人民幣匯率貶值壓力的驟然增加。為了維持人民幣匯率在規(guī)定區(qū)間浮動(dòng),中央銀行不得不對(duì)外匯市場(chǎng)進(jìn)行干預(yù)。在此背景下,深入研究中央銀行的外匯干預(yù)特征及其有效性顯然是十分重要的。本文基于TR-GARCH模型研究中央銀行的外匯干預(yù)特征,并利用VAR模型檢驗(yàn)外匯干預(yù)的有效性。首先,解釋了外匯干預(yù)的概念、方式、目的和特征,探討了中央銀行外匯干預(yù)反應(yīng)函數(shù)的內(nèi)涵,分析了中央銀行外匯干預(yù)的傳導(dǎo)渠道及其有效性。然后,結(jié)合TR模型和GARCH模型構(gòu)建了刻畫(huà)外匯干預(yù)非對(duì)稱(chēng)性和異方差性特征的中央銀行外匯干預(yù)反應(yīng)函數(shù)TR-GARCH模型。然后,利用所構(gòu)建的TR-GARCH模型對(duì)中央銀行外匯干預(yù)特征進(jìn)行實(shí)證研究,并利用VAR模型對(duì)中央銀行外匯干預(yù)的有效性進(jìn)行了檢驗(yàn)。研究結(jié)果表明,中央銀行的外匯干預(yù)具有非對(duì)稱(chēng)性、逆風(fēng)向性以及異方差性等特征,由此也證明中央銀行外匯干預(yù)的目標(biāo)為熨平匯率波動(dòng)和防止匯率過(guò)度偏離目標(biāo)匯率水平。根據(jù)平滑標(biāo)準(zhǔn),中央銀行外匯干預(yù)是有效的,即中央銀行外匯干預(yù)能起到降低匯率波動(dòng)幅度、穩(wěn)定匯率均衡水平的作用。
[Abstract]:With the rapid development of economy, China's balance of payments surplus continues to increase, and the RMB exchange rate is under constant pressure of appreciation.The stability of exchange rate is related to the healthy development of financial economy and balance of international payments. As the main tool of exchange rate management, foreign exchange intervention of central bank plays an important role in maintaining the equilibrium level of exchange rate and reducing the fluctuation of exchange rate.Since 2014, when the people's Bank of China adopted a two-way float of the yuan and increased the mid-range, the yuan's appreciation has accelerated, and since 2015, it has faced a sharp increase in pressure to devalue the yuan.The central bank had to intervene in the foreign exchange market in order to keep the yuan floating in the prescribed range.In this context, it is very important to study the characteristics and effectiveness of central bank's foreign exchange intervention.This paper studies the characteristics of central bank's foreign exchange intervention based on TR-GARCH model, and uses VAR model to test the effectiveness of foreign exchange intervention.Firstly, this paper explains the concept, mode, purpose and characteristics of foreign exchange intervention, discusses the connotation of central bank's foreign exchange intervention response function, and analyzes the transmission channel and its effectiveness of central bank's foreign exchange intervention.Then, combined with tr model and GARCH model, the TR-GARCH model of central bank's foreign exchange intervention response function is constructed to describe the asymmetry and heteroscedasticity of foreign exchange intervention.Then, the TR-GARCH model is used to study the characteristics of the central bank's foreign exchange intervention, and the VAR model is used to test the effectiveness of the central bank's foreign exchange intervention.The results show that the central bank's foreign exchange intervention has the characteristics of asymmetry, headwind and heteroscedasticity, which also proves that the goal of central bank's foreign exchange intervention is to smooth the exchange rate fluctuation and prevent the exchange rate from deviating from the target exchange rate level.According to the smoothing criterion, the central bank's foreign exchange intervention is effective, that is, the central bank's foreign exchange intervention can reduce the fluctuation of exchange rate and stabilize the equilibrium level of exchange rate.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類(lèi)號(hào)】：F832.6

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