我国中央银行外汇干预有效性的事件分析研究  

Study on the Event Analysis of Effectiveness of Foreign Exchange Intervention of China’s Central Bank

作　　者：王霞[1] 

机构地区：[1]兰州商学院金融学院,甘肃兰州730020

出　　处：《华东经济管理》2013年第5期77-81,共5页East China Economic Management

基　　金：教育部新世纪人才计划(NCET-11-0907)

摘　　要：文章利用2002年1月-2011年12月期间我国中央银行外汇干预的月度数据,估计出外汇市场压力并采用事件分析法对我国央行外汇干预的有效性进行了研究。结果表明,我国央行的外汇干预是有效的,但干预效果具有不对称性,央行卖出美元支持人民币升值的效果好于买入美元引导人民币贬值的效果;参考一篮子货币的汇率制度下的干预效果好于盯住美元汇率制度下的效果。Selecting the monthly data from January 2002 to December 2011, the paper estimates the exchange market pres-sure and conducts an empirical analysis of the effectiveness of foreign exchange intervention by Chinese central bank through the event study method. The results reveal that, firstly, intervention is effective, but the effects are asymmetric, the inven- tion of buying U.S. dollars to support RMB appreciation is more effective than the invention of selling US dollars to induce RMB depreciation. Secondly, the effects is better under the exchange rate regime of referring to a basket of currencies than peggingto US dollars.

关 键 词：中央银行 外汇干预 有效性 事件分析法 

分 类 号：F832[经济管理—金融学]