交易者预期异质性、央行干预效力与人民币汇率变动——汇改后人民币汇率的形成机理研究

Trader Expectation Heterogeneity,Effect of Central Bank Intervention and RMB Exchange Rate Movement:A Study on the Mechanism of RMB Exchange Rate Movement after Reform

本文从交易者预期具有异质性特征的微观假定入手,考察交易者异质性预期及其交易行为在人民币汇率形成中的作用,以及央行干预对异质性交易者行为的影响效力,为理解汇改后人民币汇率的形成机理提供进一步的依据。研究发现,人民币汇率预期存在显著的异质性特征,在人民币汇率变动幅度扩大的2006年7月至2008年9月期间,央行干预强度的减弱,提高了技术分析者保持原来特征的概率和其相对于基本面分析者的比重。据此,本文认为,从市场机理的角度来看,央行干预强度的减弱,及其所导致的外汇市场中持有不断加强升值预期的技术分析者占主导地位等因素是推动人民币汇率变动幅度扩大的重要原因。

This paper studies the influence of traders＇ heterogeneous expectations and activity on RMB exchange rate movement based on the assumption of trader expectations heterogeneity, as well as the effect of central bank intervention on heterogeneous traders＇ behavior, to provide further evidence on the mechanism of RMB exchange rate movement after RMB exchange rate system reform in 2005. It＇s showed that, there＇s significant expectations heterogeneity for RMB exchange rate, and from July 2006 to Sep. 2008 RMB exchange rate volatility increased when the central bank intervention become less intense. Finally, it＇s concluded that RMB exchange rate＇s volatility increase after the reform is mainly due to the domination of technology analysts who have strengthened appreciation expectations that is caused by less-intensified intervention of the central bank.