中国外汇市场压力和官方干预的测度

China's Exchange Market Pressure and Measuring on Exchange Market Intervention

本文参照Weymark(1997)等提出的外汇市场压力的概念和理论框架,建立了一个由三个市场和货币当局构成的中国开放经济宏观模型,利用1994年1月至2008年3月的月度宏观经济数据,估计了模型的有关参数,计算了这一期间人民币对美元的外汇市场压力指数和人民银行对外汇市场的干预指数。发现1994年以来,除了东亚金融危机时期的个别月份,人民币对美元都面临升值压力。1994年汇率并轨后,在汇率的决定中,市场机制一度发挥过一定作用,但政府干预程度越来越重,亚洲金融危机之后至2005年汇改以前,干预指数接近于1。2005年7月新一轮汇改之后,汇率决定的市场化程度显著提高。

Based on Exchange Market Pressure concept and analytical framework put forward by Weymark （ 1997 ）, this paper constructs a China＇s open economy model consisting of three markets and the monetary authority. Using monthly data from January 1994 to March 2008, the author estimates model coefficients and gauges EMP and foreign exchange market intervention index for China. This research finds that renminbi was confronted with appreciation pressure against US dollar after 1994 except several months during East Asian financial Crisis. After 1994, China＇s monetary authority was increasingly involved in foreign exchange market and the intervention index approaches nearly one before the latest exchange rate regime reform in 2005. After the reform, renminbi＇s exchange rate regime is getting more and more market- oriented.