汇率沟通、实际干预与人民币汇率变动--基于结构向量自回归模型的实证分析

Exchange Rate Communication,Actual Intervention and Change of RMB Exchange Rate:An Empirical Study Based on the SVAR Model

近年来,汇率沟通已成为货币当局一个重要的货币政策工具。本文评估了汇率沟通在人民币汇率变动中的效力,并就其效力与实际干预的效力进行了比较。经验结果表明:汇率沟通时滞短,能使汇率朝着货币当局合意的方向变化,且汇率沟通冲击对人民币汇率变动的解释力较强;然而实际干预时滞较长,其效力明显弱于汇率沟通,对汇率变动的解释力弱。这两种政策工具的差别表明,汇率沟通在汇率市场是个有效的货币政策工具。

Exchange rate communication has become to play an increasingly important role as a policy for monetary authorities over the past decade.The paper assesses the effectiveness of communication as well as actual intervention.The empirical results indicate that communication has not only exhibited a significant effect on exchange rate,but also has moved exchange rate in the desired direction.Moreover,communication is found to be more effective than actual interventions in the desired direction.Overall this underlines a key difference between these two policy tools and suggests that communication tends to be a fairly effective policy tool.