投资者关注会影响个体投资者的汇率预期吗?--基于银行代客结售汇数据的实证分析  

Will Investor Attention Affect the Exchange Rate Expectation of Individual Investors?--Evidence from Foreign Exchange Settlement and Sales Data of Banks on Behalf of Clients

作　　者：谷宇[1] 郭苏莹 Gu Yu;Guo Suying(School of Economics and Management,Dalian University of Technology)

机构地区：[1]大连理工大学经济管理学院

出　　处：《国际金融研究》2020年第2期77-86,共10页Studies of International Finance

基　　金：国家自然青年科学基金项目“异质主体视角下汇率沟通对人民币汇率预期的作用机制及效应研究”(71703013);教育部青年基金项目“异质主体视角下汇率沟通对人民币汇率预期的作用机制及效应研究”(17YJC790043);辽宁省经济社会发展课题“套息交易的模式识别、收益率测算及其对跨境资本流动的影响研究”(2020lslktwzz-009);国家社科重大项目“‘一带一路’国家资金融通机制设计及资金配置效率评价体系研究”(18ZDA095)资助。

摘　　要：为考察个体投资者汇率预期的非理性及形成机制,本文基于外汇市场异质主体理论和行为金融学观点,构建了包含投资者关注的个体投资者汇率预期形成模型,并采用远期和即期银行代客结汇售汇比作为个体投资者汇率预期的替代指标,进行了实证分析。结果表明,远期结售比受到前一期汇率变动和境内外利差的影响,而即期结售比受前一期汇率变动影响。进一步引入投资者关注,采用MS-FTP和MS-TVTP模型的实证研究表明,投资者关注对远期和即期结售比的影响是时变的。在人民币贬值阶段,投资者关注对结售比存在显著的负向冲击,会导致更大的结售汇逆差;而在人民币升值阶段,投资者关注对结售比则无显著影响。本文的结论表明,个体投资者汇率预期具有显著的非理性特征,符合动量原则和套息规则,同时还受到投资者关注的影响。央行在人民币处于持续贬值区间时,应通过汇率沟通作用于投资者关注,稳定汇率预期。With the development of RMB exchange rate marketization, the individual investors are playing increasingly important role in Chinese FX market, and their exchange rate expectation and trading behaviors have direct impact on the fluctuation of RMB exchange rate as well as the stability of cross-border capital flow. Therefore, it is necessary to examine the irrational characteristics and formation mechanism of individual investors’ exchange rate expectation.Based on FX market heterogeneous agent theory and viewpoints of behavior finance, this paper constructs the model of individual investors’ exchange rate expectation formation model including the variable of investor attention. And this paper conducts the empirical study, by using the ratio of forward and spot foreign exchange settlement to sale of banks on behalf of clients as proxy variables for individual investor exchange rate expectation.The results show that the ratio of forward foreign exchange settlement to sale is affected by RMB exchange rate change of previous period and the interest rate spread of domestic country and foreign country, and the spot one is affected only by RMB exchange rate change of previous period. The empirical results of MS-FTP and MS-TVTP models conclude that investor attention exert time-varying influence on the ratio of forward foreign exchange settlement to sale. At the depreciation stage of RMB exchange rate, investor attention exerts significant negative impacts on the ratio of forward and spot foreign exchange settlement to sale, which will lead to a larger deficit. At the appreciation stage of RMB exchange rate, investor attention has no significant impacts on the ratio of settlement to sale.The main contribution of this paper is finding the proxy variable of individual investors’ exchange rate expectation and discovering the irrational characteristics of individual investors’ exchange rate expectation. The policy suggestion of this paper is that the central bank should pay more attention to the individual investors

关 键 词：汇率预期 投资者关注 个体投资者 银行代客结售汇 MS-TVTP模型 

分 类 号：F830[经济管理—金融学]