以防泡沫为目标的汇率管理模型

Anti-Bubble Foreign Exchange Rate Management Model

在有管理的浮动汇率制度下中央银行如何管理汇率一直是一个难题。本文基于外汇市场异质性预期,提出了以"防泡沫"为目标、结合央行直接干预和外汇市场宏观审慎政策的央行汇率管理模型——"防泡沫的双工具模型"。通过宏观冲击随机游走的模拟,我们证明了相较于传统的外汇干预模型,防泡沫的双工具模型在防范泡沫风险和降低干预成本方面都显著更优,而且结果稳健,是有管理的浮动汇率制度下央行管理汇率的最佳方法。

Foreign exchange rate management under managed floating exchange rate regime is always a difficult problem. Based on the heterogeneous expectations, we develop an anti-bubble dual tool foreign exchange management model in the foreign exchange market. This model combines the central bank foreign exchange intervention with the macro-prudential policy against speculators. Through stochastic simulations, we verify that compared to the traditional foreign exchange intervention models, anti-bubble dual tool intervention model is significantly better for preventing the bubble risks and reducing the intervention costs and is the optimal choice for the central bank in markets with speculators.