汇改与外汇市场波动性:大玩家理论的视角  

Reforms of the Foreign Exchange Management System and the Volatility in Foreign Exchange Market:A Perspective from the Big Player Theory

作　　者：郭新帅[1] 张之玥 居姗 GUO Xin-shuai;ZHANG Zhi-yue;JU Shan(School of Management,University of Science and Technology of China,Hefei 230026,China;The People’s Bank of China Hefei Central Sub-branch,Hefei 230091,China)

机构地区：[1]中国科学技术大学管理学院,安徽合肥230026 [2]中国人民银行合肥中心支行,安徽合肥230091

出　　处：《运筹与管理》2021年第1期177-183,共7页Operations Research and Management Science

基　　金：中央高校基本科研业务费专项基金(WK2040170012)。

摘　　要：央行在外汇市场的行动对市场波动性有重要影响。本文从主观预期概念出发,基于“大玩家”理论解释了2005年和2015年中国外汇管理体制两次改革前后人民币外汇市场的波动性差异。汇改前,央行积极地承担着“大玩家”的角色,人民币对美元汇率波动性较强;汇改后,央行的“大玩家”角色减弱,汇率波动性程度显著下降,市场效率增强。利用汇率数据进行的R/S分析支持了前述解释。The central bank’s activities in foreign exchange market have a significant impact on market volatility.This paper,using the“big player theory”based on subjective expectation,explains differences of fluctuation of RMB exchange rate before and after China’s reform of the foreign exchange administration system in 2005 and 2015.The central bank just plays the role of the“big player”.After reforms of foreign exchange administration system,the central bank’s role as a“big player”has gradually weakened,causing less fluctuation and improving efficiency in the foreign exchange market.R/S analysis in the paper lends support to our explanation.

关 键 词：中央银行 外汇市场波动性 主观预期 大玩家理论 

分 类 号：F832[经济管理—金融学]