最优干预规则下的人民币汇率动态——基于双门限变量自回归模型的实证分析  

Dynamics of RMB Exchange Rate under Optimal Intervention Rules:An Empirical Analysis Using Threshold Autoregression Model with Two Threshold Variables

作　　者：石凯[1] 聂丽[2] 刘力臻[1] 

机构地区：[1]东北师范大学经济学院 [2]日本一桥大学商学研究科

出　　处：《财经科学》2014年第5期32-43,共12页Finance & Economics

基　　金：国家社科基金重大项目"中国积极参与国际货币体系改革进程研究"(10&ZD054);教育部人文社科青年项目"均衡外汇管理框架下我国外汇储备的风险;收益研究"(11YJC790181)

摘　　要：管理浮动制下,外汇市场干预普遍存在,汇率动态具有结构门限特征。本文章使用双门限变量自回归模型考察了人民币兑美元汇率的非线性特征,率先揭示了随机冲击影响汇率变化及汇率波动的"互反"特性:前者持续时间有限时,后者持续时间则较长;反之亦然。实证结果表明,随机冲击对人民币汇率变化的影响不大,持续时间不超过两周,其对汇率波动的影响一般不超过两个月。在极少数情况下,随机冲击不随时间而消逝,因此,对中国而言,平稳的外汇市场干预是能够实现的。Interventions in foreign exchange market under managed floating mechanism are common. There is a structural threshold feature in daily exchange rate dynamics. This paper employs newly proposed Threshold Au- toregression model with two threshold variables in the investigation about RMB exchange rate nonlinearity. For the first time, we reveals the reciprocal feature between the persistence of stochastic shocks on the daily ex- change rate difference and on detrended daily exchange rate fluctuations, which means while stochastic shocks influence the former over a limited time, they impact the later relatively long. Empirical results show that the influence on daily exchange rate difference is not that large and the persistent time does not exceed two weeks; although in some exceptional circumstance the influence on exchange rate fluctuation does not die out as time passes, it usually does not last over two months. Generally speaking, stationary interventions in Chinese foreign exchange market are feasible.

关 键 词：人民币汇率 随机干预 双门限变量自回归模型 非线性 

分 类 号：F832.6[经济管理—金融学] F224