基于汇率预期与央行外汇干预的汇率动态决定：理论分析与经验研究  

The Dynamic Determinations of Exchange Rate Expectation and Central Bank Intervention: Theory and Empirical Evidence

作　　者：司登奎[1] 江春[2] 李小林[3,4] 

机构地区：[1]武汉大学经济与管理学院 [2]武汉大学经济与管理学院金融系 [3]中国海洋大学经济学院 [4]青岛银行

出　　处：《统计研究》2016年第9期13-21,共9页Statistical Research

基　　金：国家自然科学基金“中国利率、汇率与央行资产负债及货币供应之间的交互影响:实证分析与政策意涵”(71373187);中国博士后科学基金项目“中国利率和汇率市场化对物价的影响及其政策意涵研究”(2015M570608);青岛社会科学规划项目“利率市场化冲击下中小银行信用风险防控研究”(QDSKL150507)资助

摘　　要：本文通过将央行外汇干预引入到包含风险溢价的无抛补利率平价中,并采用非线性自回归分布滞后(NARDL)模型考察了2006年10月至2015年12月汇率预期和央行外汇干预对人民币汇率的影响。结果表明:1汇率预期与央行外汇干预对人民币即期汇率具有显著的短期和长期非对称影响,且在长期和短期内,人民币即期汇率均更易受升值预期影响;2央行的正向外汇干预在遏制人民币升值方面具有一定效果,但负向外汇干预不仅不会遏制人民币贬值,反而会助推人民币进一步贬值;3中美息差的缩小短期内会导致人民币贬值,在长期则会导致人民币升值;4风险溢价下降短期内会导致人民币贬值,在长期却会导致人民币升值,且长期人民币升值容易贬值难。This paper extends Uncovered Interest Rate Parity model with risk premium and foreign exchange intervention, using nonlinear auto-regression distributed lag （NARDL） model to analysis the short and long run relationship among exchange rate expectation, foreign exchange intervention and exchange rate during the period Oct 2006 to Dec 2015. The findings are as follows. Firstly, exchange rate expectation and foreign exchange intervention of central bank have asymmetric effects on RMB exchange rate, and moreover RMB exchange rate is more likely to be affected by the expected appreciation both in the short and long run. Secondly, central bank＇ s positive intervention can prevent RMB appreciation to a certain degree. However, the negative intervention not only cannot prevent the RMB depreciation, but also would bring currency depreciation to a larger degree. Lastly, the decline of risk premium will lead to RMB devaluation in the short run while appreciation in the long run. Moreover, RMB appreciation is easier than devaluation from a long-run perspective.

关 键 词：汇率预期 外汇市场干预 中美息差 风险溢价 即期汇率 

分 类 号：C812[社会学—统计学]