外汇干预对汇率水平变动及波动率的影响与应对——来自全球53个经济体的证据  

The Effects of Foreign Exchange Intervention on Exchange Rate,Volatility and Coping Strategies--Evidence from 53 Economies

作　　者：易祯[1] 郝天若 朱超[1] Yi Zhen;Hao Tianruo;Zhu Chao(School of Finance,Capital University of Economics and Business)

机构地区：[1]首都经济贸易大学金融学院

出　　处：《国际金融研究》2023年第6期73-85,共13页Studies of International Finance

基　　金：北京市社会科学基金项目“全球贸易新环境下我国人民币汇率管理与评估研究”(20JJB018)资助。

摘　　要：本文检验了全球53个经济体2000年1月—2020年12月实施的外汇干预措施的有效性,并评估其对汇率水平变动及波动率的影响。结果显示:当外汇干预占GDP的比重上升1%时,名义和实际汇率水平变动幅度分别为1.12%和0.85%,名义和实际汇率波动率将分别上升36.31%和35.71%。外汇干预在不同方向上的作用效果并不对称:买入方向的外汇干预显著影响汇率水平变动,而卖出干预影响不显著;双向干预均会放大汇率波动率。进一步地,本文探究了常规货币政策、预期管理工具和财政政策等措施的效果。结果显示:调整存款准备金率、调整再贷款金额、实施口头干预能够显著平抑汇率波动,而财政政策的对冲效果不明显。本文结论表明:央行可以使用外汇干预来调整汇率,并在短期内运用口头干预,中长期运用常规货币政策工具来对冲由此引发的汇率波动。Foreign exchange intervention(FXI)is an important tool for central banks to regulate and stabilize the foreign exchange market.The effectiveness of FXI has received widespread attention from monetary authorities and academics.This paper examines the effect of this tool in regulating the foreign exchange market.Firstly,it constructs a partial equilibrium model to illustrate the mechanism by which FXI affects the exchange rate.Secondly,based on a sample of 53 economies around the world from January 2000 to December 2020,this paper employs various methods,such as the panel instrumental variables method,asymmetric loss function,and GMM estimation,to study the effect of FXI on the exchange rate and its volatility.The analysis also extends to investigate whether asymmetric preferences for FXI affect the intervention effect,and explores coping strategies for hedging exchange rate volatility caused by FXI from three perspectives:conventional monetary policy,expectations management measures,and fiscal policy.Finally,the effectiveness of FXI in China is tested.The study findings are as follows.Firstly,FXI has a significant impact on the exchange rate.A 1% change in the ratio of FXI to GDP results in 1.12% change in the nominal exchange rate and 0.85% change in the real exchange rate.Additionally,the volatility of the nominal and real exchange rates increases by 36.31% and 35.71%,respectively.Secondly,buying foreign exchange has a significant effect on the exchange rate,while selling foreign exchange does not show a significant impact.However,both buying and selling foreign exchange increase exchange rate volatility.Thirdly,approximately 18.87% of central banks exhibit asymmetric preferences for appreciation and depreciation when intervening.Depreciation-averse economies do not experience a significant intervention effect,whereas appreciation-averse economies do.Fourthly,adjusting the reserve requirement ratio,the amount of refinancing,and implementing oral intervention are effective strategies for reducing exchange rate vo

关 键 词：外汇干预 汇率 汇率波动率 

分 类 号：F830[经济管理—金融学] F831