中国央行外汇预期干预的动因和多重效应  

The Motivation and Multiple Effects of China′s Central Bank′s Foreign Exchange Expectation Intervention

作　　者：潘超 程均丽 钟星星 Pan Chao;Chen Junli;Zhong Xingxing

机构地区：[1]西南财经大学中国金融研究中心 [2]西南财经大学金融学院

出　　处：《世界经济研究》2021年第1期76-90,M0003,共16页World Economy Studies

摘　　要：文章基于预期管理思想,通过建立三部门局部均衡模型推导出央行外汇预期干预反应函数,并运用TVP-VAR模型分析了央行预期干预、汇率预期、基础货币供给、经常账户差额和国内信贷规模之间的互动关系,以检验中国央行外汇预期干预的动因和多重效应。央行外汇预期干预需要权衡稳汇率与稳货币目标,央行仅使用冲销式干预政策有助于保持基础货币供给稳定,但央行预期干预与汇率预期波动在短期内有一种相互强化的作用,短期内预期干预会加剧汇率预期的波动,长期内预期干预会降低汇率预期的波动,因此央行需要运用多种政策工具及预期管理方式来达到预期目标。Based on the establishment of three departments of the local equilibrium model,we derive the expected intervention response function of central bank foreign exchange,and use TVP-VAR model to analyze the central bank intervention,exchange rate expectations,basic money supply,the current account balance,and the interaction between domestic credit scale to test the expectations of foreign exchange intervention by central bank’s motivation and multiple effect. Main conclusion is: the central bank’ s expectations of foreign exchange intervention need to balance the stable exchange rate and monetary targets. The central bank has only used a sterilized intervention policy which enables to keep a more stable basic money supply,whereas teh expected intervention of the central bank and the expected fluctuation of the exchange rate have a mutually reinforcing effect. In the short term,expected intervention will aggravate the expected fluctuation of exchange rate,while expected intervention will reduce the expected fluctuation of exchange rate in the long term. Therefore,the central bank needs to use a variety of policy tools to achieve goals and expectations.

关 键 词：预期干预 汇率预期波动 基础货币供给 TVP-VAR 

分 类 号：F832.6[经济管理—金融学]