8·11汇改后的汇率管理政策及效果——基于外汇干预反应函数的检验  

Exchange Rate Management Policy and Effectiveness after“8.11 Exchange Rate Reform”—An Empirical Test Based on FX Intervention Function

作　　者：李艳军 彭欣怡 鲁瑜婷 Li Yanjun;Peng Xinyi;Lu Yuting

机构地区：[1]歌斐资产管理有限公司,上海201100

出　　处：《上海金融》2025年第1期3-13,共11页Shanghai Finance

摘　　要：本文运用2010年以来的月度数据实证检验8·11汇改后我国汇率政策思路的变化。本文利用汇率中间价与影子市场价的偏离度构建外汇干预指标,在此基础上估计我国的外汇干预政策反应函数。结果显示,汇改前我国外汇干预旨在降低汇率波动;汇改后,人民币汇率弹性大幅增强,但在重要点位时,外汇干预政策会做出强烈反应;门限回归结果显示人民币兑美元汇率的门限值为7.16。以上结果说明汇改后我国基本上已经克服“浮动恐惧”,汇率政策目标转变为防止人民币超调贬值。进一步,本文检验稳汇率政策的效果,结果显示外汇干预有利于减弱汇率单边贬值的惯性;作用机制上,外汇干预政策可以抑制结售汇市场上的顺周期性,能够降低人民币汇率的超调贬值风险。This paper employs monthly data since 2010 to empirically examine the changes in China’s exchange rate policy orientation since the“8.11 Exchange Rate Reform”.We construct a foreign exchange intervention index based on the deviation between the central parity rate and the shadow market price.Then,we estimate China’s exchange rate intervention policy reaction function.The results indicate that prior to the reform,China's exchange rate interventions aimed to reduce exchange rate volatility.After the reform,the flexibility of the RMB exchange rate has significantly increased however,the exchange rate intervention policy exhibit strongly responses when the RMB depreciates to critical levels.The threshold regression results show that the threshold value for the RMB/USD exchange rate is 7.16.These findings suggest that after the reform,China has largely overcome the“fear of floating”,and the exchange rate policy objective has shifted to preventing the overshooting depreciation of the RMB.Furthermore,this paper evaluates the effectiveness of the exchange rate stabilization policy,and the results indicate that foreign exchange interventions help mitigate the inertia of unilateral depreciation.Mechanistically,exchange rate intervention policy can suppress pro-cyclicality in the foreign exchange settlement and sales market,thereby reducing the risk of RMB overshooting depreciation.

关 键 词：8·11汇改 外汇干预 汇率波动 浮动恐惧 

分 类 号：F832[经济管理—金融学]