央行外汇干预与汇率预期  

Central Bank Foreign Exchange Intervention and Exchange Rate Expectation

作　　者：缪延亮 程坦 谭语嫣 Miao Yanliang;Cheng Tan;Tan Yuyan(China International Capital Corporation;National School of Development,Peking University;GMF Research;China Financial 40 Forum)

机构地区：[1]中金公司研究部 [2]北京大学国家发展研究院 [3]坦途宏观 [4]中国金融四十人论坛

出　　处：《管理世界》2025年第1期32-50,共19页Journal of Management World

摘　　要：我们发现人民币汇率预期呈现“外推型”特征,且“外推系数”——为即期汇率变化对汇率预期的影响大小——曾发生过数次结构性变化。2015年“8·11”汇改前,人民币汇率预期呈现“即期贬(升)值缓解贬(升)值压力”的收敛态势,对应外推系数为负;但汇改后曾一度出现“即期越贬,预期越跌”的发散情形,对应外推系数转正;2017年以来,伴随央行逐步退出外汇市场常态化干预,外推系数趋向于0。本文通过构建包含央行外汇干预与汇率预期形成的动态均衡模型,发现汇率预期形成同时受央行外汇干预力度和规则清晰度的影响。当即期汇率贬值,央行外汇干预若强力且规则清晰,则可通过缩减外汇市场的人民币供给,使预期收敛;但若干预规则不清晰,则会加剧市场中人民币供给的不确定性,削弱干预效果。基于模型推论构建的央行外汇干预力度与清晰度的实证指标显示,干预规则清晰度的下降能够解释汇改后外推系数上升幅度的37%~44%。We document that RMB exchange rate expectation follows an extrapolative pattern,and the"extrapolative coefficient",defined as the relationship between RMB spot exchange rate and its expectation,have experienced several structural changes since 2013.Before Au⁃gust 2015,RMB exchange rate expectation behaved in a"self-stabilizing"manner in the sense that the extrapolative coefficient was negative.However,since August 2015,RMB expectation turned"self-destabilizing"in the sense that the extrapolative coefficient became positive until the end of 2016.Since 2017,as The People's Bank of China gradually ended regular foreign exchange(forex)intervention,the extrapolative co⁃efficient diminished to zero.By developing an infinite-period Noisy-Rational-Expectation-Equilibrium model incorporating forex intervention,we show that the sign of the extrapolative coefficient is affected by both the intensity and the clarity of central bank intervention.Intensive in⁃tervention can keep RMB exchange rate expectation in the"self-stabilizing zone"by counter-cyclically adjusting forex supply,but lack of clar⁃ity may destabilize exchange rate expectation by increasing the risk premium required by forex investors.We then show empirically that the temporary deterioration of clarity in the forex intervention could explain 37%-44%of the jump in the extrapolative coefficient after August 2015.

关 键 词：汇率预期 央行外汇干预 干预规则清晰度 

分 类 号：F832.6[经济管理—金融学]