外汇储备、外汇交易量与CHIBOR利率的VAR模型(2000～2004)——兼论“三元悖论”下冲销干预与货币政策的独立性  

A VAR Model of Foreign Exchange Reserve, Foreign Exchange Trading Volume and CHIBOR:2002～2004

作　　者：张荔[1] 田岗[2] 侯利英[2] 

机构地区：[1]辽宁大学经济学院金融系 [2]南开大学经济学院金融系

出　　处：《国际金融研究》2006年第10期55-63,共9页Studies of International Finance

摘　　要：本文以“三元悖论”为切入点,从总量与结构两方面考察当前结售汇制度对商业银行外汇头寸及外汇交易量的影响,进而考察在货币政策时滞的影响下央行冲销干预的效果以及货币政策的独立性。结论认为:我国外汇储备成因中政策性制度安排(结售汇)作用突出,现行结售汇业务导致外汇交易量受到外汇储备的冲击,冲销干预的有效性十分有限且不确定性很强。在CHIBOR利率的波动中,外汇储备和外汇交易量的作用不可忽视,同时外汇交易量的波动中,外汇储备与CHIBOR利率的冲击作用贡献明显,货币政策独立性受到侵蚀。The paper concludes that, under the current exchange rate regime, compulsory selling of foreign exchange lead to susceptibility of foreign exchange reserves to trading volume of foreign exchange, limited effectiveness and high uncertainty of sterilized intervention. Moreover, reserves and trading volume of foreign exchange play a critical role in the movement of CHIBOR. Foreign exchange reserves and CHIBOR also influence the trading volume of foreign exchange. In the end, the independency of monetary policy is damped.

关 键 词：外汇储备 外汇市场交易量 CHIBOR 三元悖论 货币政策独立性 

分 类 号：F831[经济管理—金融学]