中国境内人民币汇率弹性及其市场机制研究  

The RMB Exchange-rate Flexibility and Market Mechanisms in China

作　　者：何光辉[1] 杨何灿 HE Guanghui;YANG Hecan(School of Economics,Fudan University;School of Finance,Shanghai University of Finance and Economics)

机构地区：[1]复旦大学经济学院 [2]上海财经大学金融学院

出　　处：《数量经济技术经济研究》2022年第12期46-68,共23页Journal of Quantitative & Technological Economics

基　　金：自科基金项目(71773022)的资助。

摘　　要：在双循环格局构建中如何增强人民币汇率弹性以更好发挥其自动稳定器作用已迫在眉睫,然而系统且严谨的学术研究仍较贫乏。本文构建三维尺度体系来多角度评估不同外汇汇率弹性,运用GARCH模型从水平与波动两个层面寻找汇率弹性的市场基础,并进一步利用平面网格化系统分析六个汇改过程的政策效率。研究发现,境内外汇汇率水平和变动量的变动均已达到国际水平;但汇率弹性质量不高,汇率变动率变动不仅远低于国际市场,还存在美元与非美元汇率之间的结构差异,有“恐弹”或“乱弹”倾向。原因是汇率弹性市场基础脆弱,水平机制中不仅国际化程度在低位徘徊且自我调节功能尚不稳定;波动机制中不仅缺乏国际影响且自身ARCH效应起伏不定。此外,相关汇改政策缺乏整体一致性和过程连贯性。下一步的政策重心应置于提升弹性质量:尽快由当前关注汇率水平和变动量的变动向重视变动率的变动过渡,以降低“恐弹”或“乱弹”倾向;重视水平机制中的自我调节功能和波动机制中的国际市场影响,适当增加跨境交易主体;提高政策效率,防止美元与非美元汇率弹性间的“跷跷板”式低位徘徊局面再现。In the face of the complicated domestic and international environment, in order to achieve the national strategic goal of creation of a new development pattern, the central bank has announced to enhance the flexibility of the RMB exchange rate and cultivate the market mechanism, aiming at playing the role of exchange rate as an “automatic stabilizer” in macroeconomic stability and international balance of payments. The situation is extremely urgent. Developing countries, on the one hand, have the fear of the risk of exchange rate flexibility;on the other hand, may aimlessly change their currency exchange rates for fear of being criticized by the international community because of the exchange rate without fluctuations. For China, the extent that the domestic RMB exchange rate flexibility has developed is still a mystery, the characteristics of its market mechanism development are not clear, and how to formulate the exchange rate reform policy is also not clear.There are a lot of theoretical studies about exchange rate determination and prediction, but relatively few are about exchange rate flexibility.(1) There is a consensus on the definition of exchange rate flexibility, but there is no literature that analyzes flexibility from multiple perspectives as physics measures the motion of objects.(2) The “exchange-rate flexibility” constructed from the concept of economics is the response mechanism of exchange rate changes to some economic activities, but it ignores the applicable conditions of this concept.(3) Scholars have paid attention to the study of the “anchor effect” but ignored the diversity of different foreign exchange in developing countries Therefore, based on the characteristics of China’s transition market, this study takes the main domestic foreign exchange as the research object. First, from the perspective of the substantial variability of exchange rate flexibility, a three-dimensional scale system is constructed to measure the flexibility of level, variation, and rate of change of exc

关 键 词：人民币汇率 汇率弹性 市场机制 政策效率 

分 类 号：F822.2[经济管理—财政学]