中央银行外汇干预:操作方式与效用评价  

Central Bank Foreign Exchange Intervention:Operation and Effectiveness Evaluation

作　　者：王爱俭 邓黎桥 

机构地区：[1]中国滨海金融协同创新中心,天津300222 [2]天津财经大学经济学院,天津300222

出　　处：《金融研究》2016年第11期15-31,共17页Journal of Financial Research

基　　金：国家社科基金重大项目(11&ZD017);国家自然科学基金项目(71173151)资助

摘　　要：本文将外汇干预、货币政策转型纳入到NK-DSGE理论模型框架中,引入风险规避的外汇交易者,在传统非抛补利率平价表达中加入资本管制因素,研究不同类型冲击、不同外汇干预情景下宏观经济变量的反应。研究结果表明:中央银行进行外汇干预时,采用不同的干预方式对汇率波动程度的影响有所不同;相较于任意干预,基于规则的干预对汇率的调整过程更为稳健,且比任意干预成本更小;在应对冲击方面,任意干预效果不显著,基于规则的干预则具有较强的稳定作用;外汇干预与货币政策在一般均衡框架下具有很强的互动性。中央银行应构建外汇干预策略框架,建立外汇干预目标体系,设定人民币汇率干预区间,并在此基础上选择合理的干预方式,量化干预效果,做好外汇干预的事后评估,以保障宏观经济的稳健运行。This paper portrays FX intervention and monetary policy transition factors into NK - DSGE theoretical model framework, introducing risk - averse foreign exchange trader, adding capital controls factor in the conventional UIP to study the impact of macroeconomic variables under different types of shocks and different foreign exchange intervention scenarios. The results show that ： the effects on the extent of fluctuations in exchange rates are not the same; contrast to discretional intervention, rule - based intervention would be more robust and cost saving; in response to shocks, discretional intervention had no significant effect, and rule -based intervention had stronger stabilization power; in addition, the foreign exchange intervention and monetary policy has a strong interaction in general equilibrium framework. Central bank should build foreign exehange intervention strategy, establish foreign exchange intervention target system, set the RMB exchange rate intervention interval, and select a reasonable and transparent intervention on this basis, quantify the effect of the intervention in order to guarantee the steady operation of the macro economy.

关 键 词：外汇干预 汇率动态 货币政策 

分 类 号：F832.6[经济管理—金融学] F832.31