外汇宏观审慎政策能够引导机构投资者汇率预期吗?:基于彭博汇率预期调查数据的经验分析  

Can FX-Related Macroprudential Policies Guide Institutional Investors′Exchange Rate Expectations?:Empirical Evidence from the Bloomberg Exchange Rate Expectation Survey

作　　者：谷宇[1] 段欣 王丽男 GU Yu;DUAN Xin;WANG Linan

机构地区：[1]大连理工大学经济管理学院

出　　处：《世界经济研究》2025年第2期59-72,88,M0003,共16页World Economy Studies

基　　金：国家社会科学基金项目“异质主体视角下宏观审慎政策引导汇率预期的机理及效应研究”(项目编号:22BJY247)的阶段性成果。

摘　　要：中国人民银行汇率预期管理的重点之一是国际金融机构的人民币汇率预期管理。文章基于外汇市场异质主体理论和宏观审慎政策理论,提出了外汇宏观审慎政策通过影响机构投资者对基本面、技术及利差预测规则的赋权进而逆周期调节其汇率预期的理论假说。在此基础上,文章以彭博发布的国际金融机构人民币汇率预期调查数据为样本,分别采用变系数面板模型和局部投影模型考察了审慎工具对各机构汇率预期的政策效应。研究结果表明,外汇存款准备金率、外汇风险准备金率对多数机构向前9、12个月的预期都施加了符合政策意图的影响,且政策效应持续期较长,是引导机构中长期预期的有效工具;而逆周期因子对机构预期不能持续施加符合政策意图的影响,加大了预期波动,无法起到预期引导作用。One of the key areas of focus for PBoC in managing exchange rate expectations is the anticipation of international financial institution regarding the RMB exchange rate.Based on the theory of FX-market heterogeneous agents and the theory of macroprudential policy,this paper proposes a theoretical hypothesis that FX-related macroprudential policies can adjust counter-cyclically the institutional investor expectations by influencing the investor′s empowerment in fundamental,technical and interest rate forecasting rule.On this basis,this paper takes the RMB exchange rate expectation survey of international financial institutions released by Bloomberg as the research sample,and examines the policy effects of FX-related macroprudential tools on the exchange rate expectations of institutions by using variable coefficients panel models and local projection models respectively.The results show that the foreign exchange deposit reserve ratio and the foreign exchange risk reserve ratio exert a consistent policy effect on the nine-month and tweleve-month forecast horizon expectations of most institutions in the sample,both of which are ideal tools for guiding the expectations of the institutions.However,the countercyclical factor doesnot impact exchange rate expectations in accord with the intention of policy authority consistently,which enlarge the fluctuations in expectations instead and fails to guide them effectively.

关 键 词：外汇宏观审慎政策 汇率预期 变系数面板模型 局部投影模型 

分 类 号：F832.6[经济管理—金融学]