外汇市场中的干预效力:汇率沟通与实际干预

The Effectiveness of Intervention in Foreign Exchange Market:Exchange Rate Communication and Actual Intervention

汇率沟通与实际干预是货币当局影响汇率的两种政策工具。基于EGARCH模型,本文估计了汇率市场中沟通与实际干预的效力。经验结果表明,汇率沟通会使汇率朝着货币当局合意的方向变化,且影响可以长达四个月,但同时也造成汇率波动增大;实际干预在汇率市场中不能使汇率朝着货币当局合意的方向变化,并造成汇率波动增大。这表明汇率沟通是一个有效的货币政策工具。

Exchange rate communication and actual intervention are two policy tools available to monetary authorities to influence exchange rate.Based on an EGARCH model,this paper assesses the effectiveness of communication as well as actual intervention.The empirical results indicate that communication will cause exchange rate to move in the desired direction for up to 4 months,and at the same time increase the volatility of exchange rate.Actual intervention seems not able to move exchange rate in the desired direction,and also increase the volatility of exchange rate.In general,exchange rate communication is an effective monetary policy tool.