央行外汇干预、人民币汇率与信用利差  

Central bank intervention,RMB exchange rate and credit spreads

作　　者：熊亚辉 周荣喜[1] 郑晓雨 XIONG Ya-hui;ZHOU Rong-xi;ZHENG Xiao-yu(School of Banking and Finance,University of International Business and Economics,Beijing 100029,China)

机构地区：[1]对外经济贸易大学金融学院,北京100029

出　　处：《管理科学学报》2021年第6期1-21,共21页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71871062,71631005);教育部人文社会科学研究规划基金项目(16YJA630078).

摘　　要：基于开放经济框架构建了包含央行外汇干预、人民币汇率变动与信用利差变化的内生动态系统,从理论层面阐述了三者的微观联动机理,理论分析表明,央行外汇干预、人民币汇率变动与信用利差变化之间存在非线性的内生联动效应,为刻画这一效应,本文选取带有随机波动的时变参数结构向量自回归(SV-TVP-SVAR)模型对2010年〜2018年的月度数据进行实证分析,研究发现:央行外汇干预、人民币汇率变动与信用利差变化的非线性联动效应具有较强的时变特征;央行外汇干预稳定人民币汇率的作用在下降;央行外汇干预、人民币汇率变动分别与不同期限、不同评级债券信用利差变化之间的联动效应具有不对称性.研究有助于加深对汇率与信用利差之间关系的理解,为债券市场各方参与者防范风险提供理论支撑,也对人民币汇率调控具有一定启示.Under the framework of open economy,this paper develops an endogenous dynamic system consisting of the foreign exchange interventions of the central bank,the fluctuations of the RMB exchange rate and changes in credit spreads.The theoretical analysis explains the micro-linkage mechanism among the three factors and reveals non-linear endogenous relations among them.To capture the non-linear linkage effect,an empirical study is conducted utilizing the time-varying parameter structural vector autoregression model with stochastic volatility(SV-TVP-SVAR)with monthly data from 2010 to 2018.The empirical findings suggest that the non-linear linkage effect has distinct time-varying characteristics.The stabilizing effect of the central bank’s interventions on the RMB exchange rate is decreasing.The linkage effect of the credit spreads variations among bonds with different maturities and ratings are asymmetricly related with the other two factors.The findings can deepen the understanding of the relationship between the exchange rate and the credit spread,provide theoretical support for all participants in the bond market to prevent risks,and have some enlightenment for the central bank to control RMB exchange rate.

关 键 词：外汇干预 人民币汇率 信用利差 SV-TVP-SVAR模型 

分 类 号：F830.9[经济管理—金融学]