人民币汇率中间价“逆周期因子”的政策效果研究  

Research on the Policy Effects of Counter-Cyclical Factor in RMB Central Parity

作　　者：朱鲁秀[1] 傅丽媛 陈祖全 ZHU Lu-xiu;FU Li-yuan;CHEN Zu-quan

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《生产力研究》2018年第10期43-47,161,共6页Productivity Research

基　　金：校级大学生创新创业训练计划项目(XJ10252119)

摘　　要：文章在Chow断点检验结果基础上,使用Granger因果检验和脉冲响应分析,研究了在原有"前日收盘价+一篮子货币汇率变化"人民币汇率中间价定价模型中加入"逆周期因子"的政策效果。研究发现:"逆周期因子"加入后,人民币汇率中间价序列发生结构突变,且人民币汇率中间价对美元指数波动的反应程度降低,过激反应现象消失。进一步研究表明:"逆周期因子"通过削弱收盘价对中间价的影响,引导市场预期,过滤了外汇市场中的羊群效应,减少美元指数波动对人民币汇率中间价的干扰,有助于人民币汇率走出独立走势。Based on the results of the Chow breakpoint test,this paper uses the Granger causality test and impulse response analysis,to study the policy effect of"counter-cyclical factor"in the original"closing price plus a basket of currencies"RMB Central Parity price model.The study finds that after the"counter-cyclical factor"was added,the structure of the RMB central parity sequence was changed,and the reaction rate of the RMB central parity to the U.S.dollar index was reduced,where the overreaction phenomenon also disappeared.Further research shows that"counter-cyclical factor",by weakening the closing price,influences RMB Central Parity to guide market expectations,thus to filter the herd behavior in the foreign exchange market and reduce the disturbance of U.S.dollar index fluctuation on RMB central parity,contributed to independence movement of RMB exchange rate.

关 键 词：逆周期因子 人民币汇率中间价 货币篮子 羊群效应 美元指数 

分 类 号：F832.6[经济管理—金融学]