人民币汇率的动态决定:实际干预与汇率沟通的差异化判断  

Dynamic Determination of RMB Exchange Rate:Differential Judgment of Actual Intervention and Exchange Rate Communication

作　　者：张艾莲[1,2] 王莎 刘柏[2] Zhang Ai-lian;Wang Sha;Liu Bai

机构地区：[1]吉林大学数量经济研究中心 [2]吉林大学商学院

出　　处：《经济学家》2022年第1期66-76,共11页Economist

基　　金：国家社会科学基金项目“金融市场开放环境下的金融风险生成逻辑、风险测度和防范机制研究”(18BJY232);吉林大学种子基金项目“金融科技视角下商业银行风险度量与防范研究”(2021ZZ019)。

摘　　要：汇率稳定是高水平开放促进高质量发展的有效保障。在顺应市场力量的同时,汇率适当引导不仅取决于短期波动和长期均衡的动态调整,而且依赖于汇率升贬值区间的完整分布。采用分位数自回归分布滞后方法,本文从时间和波动幅度两个维度分别刻画了从2009年1月至2020年12月外汇实际干预和汇率沟通对汇率水平的差异化影响。研究结果表明,在长期和短期视角下实际干预和汇率沟通在不同汇率波动区间呈现出时变和非对称特征。无论是长期均衡还是短期波动,实际干预都显著正向影响汇率水平,而汇率沟通在汇率升值和贬值区间的影响方向相异。因此,有效的外汇市场引导要同时兼顾汇率波动幅度和长短期影响,尤其是汇率沟通的短期影响引致长期的逆向变动。Exchange rate stability is the effective guarantee for high-level opening-up to promote high-level development.While conforming to market forces,the appropriate guidance of exchange rate depends not only on the dynamic adjustment of short-term fluctuations and long-term equilibrium,but also on the complete distribution of exchange rate rise and fall ranges.Using the quantile autoregressive distribution lag method,this paper describes the differential impact of foreign exchange actual intervention and exchange rate communication on the exchange rate level from January 2009 to December 2020.The research results show that actual intervention and exchange rate communication show time-varying and asymmetric characteristics in different exchange rate fluctuation ranges from the long-term and short-term perspectives.Whether it is long-term equilibrium or short-term fluctuations,actual interventions have a significant positive impact on the exchange rate level,while exchange rate communication has different directions in the range of exchange rate appreciation and depreciation.Therefore,effective foreign exchange market guidance must take into account both the range of exchange rate fluctuations and the short-term and long-term impacts.In particular,the short-term impact of exchange rate communication leads to long-term adverse changes.

关 键 词：汇率均衡 外汇实际干预 汇率沟通 分位数回归 

分 类 号：F832.6[经济管理—金融学]