【摘要】：本文在分析匯率溝通、實際干預(yù)影響匯率機理的基礎(chǔ)上,運用2005年7月—2014年12月間的相關(guān)數(shù)據(jù),實證研究了匯率溝通、實際干預(yù)和貨幣政策操作對人民幣匯率及匯率預(yù)期的影響。實證結(jié)果表明,口頭匯率溝通、實際干預(yù)對人民幣匯率和匯率預(yù)期的水平變動均產(chǎn)生合意的影響,實際干預(yù)對匯率的效力強于口頭匯率溝通,而口頭匯率溝通對匯率預(yù)期的效力強于實際干預(yù)�？陬^匯率溝通降低了人民幣匯率和匯率預(yù)期的波動,實際干預(yù)卻加劇了人民幣匯率和匯率預(yù)期的波動。書面匯率溝通對人民幣匯率和匯率預(yù)期的水平變動與波動率均無顯著影響。數(shù)量型貨幣政策和價格型貨幣政策操作對人民幣匯率和匯率預(yù)期均有著顯著影響。進(jìn)一步發(fā)現(xiàn),隨著人民幣匯率市場化程度的提高,口頭匯率溝通、實際干預(yù)對人民幣匯率和匯率預(yù)期的影響顯著增強。人民幣單邊預(yù)期會弱化口頭匯率溝通、實際干預(yù)的效力,而雙向預(yù)期的形成有利于增強口頭匯率溝通、實際干預(yù)的有效性。口頭匯率溝通的時滯較短,作用持續(xù)時間較長。央行應(yīng)加強匯率溝通在管理人民幣匯率和匯率預(yù)期中的重要作用,不斷提高人民幣匯率市場化程度,并應(yīng)當(dāng)關(guān)注貨幣政策操作的影響。
[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.
【作者單位】： 武漢大學(xué)經(jīng)濟(jì)與管理學(xué)院;
【基金】：教育部哲學(xué)社會科學(xué)研究重大課題攻關(guān)項目“經(jīng)濟(jì)發(fā)展新常態(tài)下我國貨幣政策體系建設(shè)研究”(15JZD013)
【分類號】：F832.6
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本文編號：2507855