外汇市场冲击持续性及其对外汇干预效果的影响

An Empirical Study on the Persistence of the Shocks to the Exchange Rates of Chinese and American Foreign Exchange Markets

中央银行为减小汇率波动幅度往往会对外汇市场进行干预,但这种干预的效果取决于外汇市场是否存在冲击持续性。本文采用GPH法和HD法对人民币和美元汇率的冲击持续性分别进行了考察,发现中美两国的外汇市场均存在显著的冲击持续性,说明央行进行外汇干预的市场条件是存在的。然而如果央行进行方向不当的外汇干预,则反而会导致汇率大幅度偏离均衡水平,为此本文就我国央行的外汇干预提出了相应的建议。此外,本文的比较分析表明,对于相同样本,在检验冲击的持续性方面HD法要优于GPH法。

This paper uses the plug-in method of Hurvich and Deo(1998)to estimate the different parameters for testing the persistence of shocks to the Euro Dollar,Great Britain Pound and Japanese Yen exchange rates in Chinese and American foreign exchange markets and then compares the results with estimated values of d's of the same data series that are based onμ=0.5,0.55 and 0.6 as suggested in Geweke and Porter-Hudak(1983).This paper finds that based on the same sample,HD method is always better than GPH method and secondly there are significant persistence effects of shocks in the foreign exchange markets.At last, this paper also brings forward some suggestions on the intervention of the foreign exchange markets by the central banks.