央行外汇市场调节对汇率预期的影响——基于学习效应的研究

The Impact of Central Bank’s Foreign Exchange Market Adjustment on Exchange Rate Expectations——A Study Based on Learning Effect

央行市场调节对汇率预期管理的有效性依赖于市场存在的学习效应。本文利用1999—2019年不同期限人民币汇率预期月度数据,通过"央行前期调节是否成功"和"央行政策措施是否一致"反映市场的学习效应,分析了学习效应在央行外汇市场直接调节对汇率预期管理中的作用。结果表明,当央行前期对即期市场的调节不成功或央行政策措施不一致时,央行当期的调节无法对汇率预期进行有效引导;当央行前期调节成功或者央行政策措施一致时,当期调节对汇率预期影响的有效性明显增强。相对于政策的一致性,央行前期调节成功对当期调节效果的提升作用更明显。本文认为,为提高预期管理的有效性,央行需要重视市场的学习效应,运用多种预期管理措施,并尽可能保证政策的一致性。

Strengthening the management of exchange rate expectations is essential for stabilizing the RMB exchange rate and the macro economy.The central bank’s foreign exchange market adjustment is an important way for the central bank to manage exchange rate expectations and the effective management of the central bank’s adjustment on the foreign exchange market expectations depends on the learning effects in the market.By using RMB exchange rate expectations data for different periods from 1999 to 2019 and reflecting the learning effect in two ways,namely,"whether the central bank’s early adjustment is successful"and"whether the central bank’s adjustment is consistent with its supporting measure",this paper analyzes the impact of central bank adjustment on exchange rate expectations considering the learning effect.The results show that when the central bank’s early adjustment is unsuccessful or the central bank’s other monetary policy is inconsistent,the central bank’s adjustment cannot effectively guide the exchange rate expectations;however,when the central bank’s previous adjustment is successful or the central bank’s policy is consistent,the central bank’s adjustment can guide exchange rate expectations effectively.Compared with the consistency of policies,the success of early adjustment has a more obvious effect on the improvement of the current adjustment effect.The analysis considering the differences of expectation term and learning window does not change the above basic conclusion,but the learning effect has been not obvious since August2015 when the central bank reduced adjustment on foreign exchange market.According to the research conclusion,this paper puts forward that in order to improve the effectiveness of exchange rate expectations management,the central bank should pay attention to the learning effect in the market,use a variety of measures to manage exchange rate expectations,and ensure the consistency of various monetary policies as much as possible.