“8·11汇改”推动了人民币汇率更加浮动吗?--基于反事实方法的量化评估  

Does the“8·11 exchange rate reform”promote the floating of RMB exchange rate?A quantitative evaluation based on counterfactual approach

作　　者：王伟[1] 谭娜 陈平[1] WANG Wei;TAN Na;CHEN Ping(Lingnan College,Sun Yat-sen University,Guangzhou 510275,China;Research Center for International Trade and Economics,Guangdong University of Foreign Studies,Guang-zhou 510006,China;Research Center for Cross-Border M&A and Innovation Strategy,Guangdong University of Foreign Studies,Guangzhou 510006,China)

机构地区：[1]中山大学岭南学院,广州510275 [2]广东外语外贸大学国际经济贸易研究中心,广州510006 [3]广东外语外贸大学跨国并购与创新战略研究中心,广州510006

出　　处：《管理科学学报》2022年第6期47-66,共20页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71703173,71603291,72003050);广东省自然科学基金资助项目(2019A1515110196,2021A1515011698,2021A1515011355);中山大学“三大”建设专项资金资助项目(99123-18823306)。

摘　　要：使用面板数据下的“反事实”分析方法,通过剔除国际金融市场变动等共同潜在因子的影响,量化评估“8·11汇改”对人民币汇率波动的影响.研究发现:“8·11汇改”确实大幅提升了人民币兑美元汇率的波动率,这体现在“8·11汇改”之后真实波动率曲线始终高于反事实波动率曲线,处理效应均值为0.0077且在1%水平下显著;其次,逆周期因子政策实施后,处理效应的下降趋势并不明显,这说明逆周期因子的引入并未改变“8·11汇改”后人民币汇率弹性显著提升的事实.上述结论在替换汇率波动率指标、安慰剂检验、增加控制组变量、改用BIC准则选择最优控制组、使用半参数估计等一系列的稳健性检验中始终保持成立.进一步机制分析表明,“8·11汇改”后人民币汇率形成机制更加透明,央行对中间价的直接干预减弱,且2017年后央行通过外汇储备进行冲销干预的力度减弱是人民币汇率波动程度提高的重要原因.This paper uses the counterfactual approach of panel data to quantitatively evaluate the impact of the"8,11 exchange rate reform"on RMB exchange rate volatility,after eliminating the potential infuence of common factors such as changes from the international financial markets.The study finds that the"8·11 exchange rate reform"significantly increases the volatility of the exchange rate of RMB against US dollar.Firslly,the real volatility curve is always higher than the counterfactual volatility curve after the"8.11 exchange rate reform".The average treatment effect is 0.0077 and is significant at 1%level.Secondly,after the implementation of the counter-cyclical factor of RMB exchange rate,the downward trend of the treatment effect is not obvious.The robustness analysis also finds that the treatment effect is not significant during the period of implementing the counter-cyelical factor,which indicates that the introduction of the counter-cyelical factor does not change the fact that the RMB exchange rate is more floating after the"8·11 exchange rate reform".The above conclusion remains consistent in a series of robustness tests,such as replacing the exchange rate volatility indicators,running placebo tests,adding more control variables,changing to BIC criteria to select optimal control groups,and using semi-parametric estimation.The further mechanism analysis shows that after the"8.11 exchange rate reform",the formation mechanism of RMB exchange rate is more transparent and the direct intervention of the central bank on the middle price is weakened.An important reason for the increase of RMB exchange rate volatility is the central bank weakened the degree of foreign exchange sterilization after 2017.

关 键 词：“8·11汇改” 人民币汇率波动 反事实分析 量化评估 

分 类 号：F830.9[经济管理—金融学]