SDR权重调整对人民币汇率与汇率预期的影响研究  

Research on the Impact of SDR Weight Adjustment on RMB Exchange Rate and Exchange Rate Expectations

作　　者：龚秀国[1] 王琳[1] GONG Xiu-guo;WANG Lin(School of Economics,Sichuan University,Chengdu 610065,China)

机构地区：[1]四川大学经济学院,四川成都610065

出　　处：《经济体制改革》2024年第2期138-147,共10页Reform of Economic System

基　　金：四川省科技厅软科学项目“美国经济刺激计划对成渝经济圈影响及应对”(2022JDR0054);四川大学研究生培养教育创新改革项目“国际货币理论与政策”(GSGJHKC2021001)。

摘　　要：以国际货币基金组织发布的SDR权重调整相关公告为基础,运用事件分析法探讨SDR权重调整对人民币汇率和汇率预期水平的影响,以及不同公告类型的异质性。研究发现:SDR权重调整对在岸和离岸人民币汇率贬值均起到一定程度的抑制作用;SDR权重调整使在岸和离岸人民币在窗口期内出现了明显的汇率升值预期,且汇率升值预期与汇率回升时间高度重合。从不同公告类型看,人民币汇率对金额调整公告的反应更为即时,对权重调整公告的反应存在“时滞效应”。SDR权重调整对汇率的影响主要是通过影响市场情绪,进而影响汇率预期发挥作用的。鉴于此,应加强外汇预期管理,丰富人民币外汇产品和工具,进一步强化人民币在SDR当中的作用,为人民币汇率保持基本稳定提供有力支撑。This article is based on the announcement related to the SDR weight adjustment issued by the International Monetary Fund,and uses the event analysis method to explore the impact of the SDR weight adjustment on the RMB exchange rate and exchange rate expectations,as well as the heterogeneity of different announcement types.The study finds that the SDR weight adjustment has a certain inhibitory effect on the depreciation of the onshore and offshore RMB exchange rates.The SDR weight adjustment has caused obvious exchange rate appreciation expectations for the onshore and offshore RMB during the window period,and the exchange rate appreciation expectations.It highly coincides with the exchange rate recovery time.Looking at different announcement types,the RMB exchange rate responds more immediately to the amount adjustment announcement,while there is a"time lag effect"in the response to the weight adjustment announcement.The impact of SDR weight adjustment on the exchange rate mainly affects market sentiment and thus exchange rate expectations.In view of this,we should strengthen the management of foreign exchange expectations,enrich RMB foreign exchange products and tools,further strengthen the role of RMB in SDR,and provide strong support for the RMB exchange rate to maintain basic stability.

关 键 词：SDR权重调整 人民币汇率 汇率预期 事件分析法 

分 类 号：F832[经济管理—金融学]