人民币汇率预期特征研究--基于调查数据的实证分析

Research on the Characteristics of RMB Exchange Rate Expectations — an Empirical Study Based on Survey Data

持续的人民币汇率升值预期是影响我国汇率机制改革和金融稳定的一个难题。本文首次采用国际知名金融机构的调查数据,考察了人民币汇率预期的特征,研究发现:(1)金融机构对人民币汇率的预期是非理性的;(2)汇率预期具有异质性,70%以上的金融机构基于汇率过去的走势进行预测,平均25%左右的金融机构基于宏观基本面预测;同时,它们对相同信息的关注程度有所不同。这为进一步认识人民币汇率预期特征和制定汇改方案提供了新的依据。

Continuous appreciation expectation of RMB currency causes challenge to China＇s exchange rate mechanism reform and financial stability. In this paper, we use the survey data from well-known international financial institutions to analyze the characteristics of RMB exchange rate expectation and obtain two major findings： （ 1 ） financial institutions＇ expectation towards exchange rate is irrational; （2） their exchange rate expectation is heterogeneous, in that more than 70% of financial institutions forecast exchange rate movements based on its past trend, while an average of 25% of financial institutions revert to macro fundamental; what＇s more, their degrees of attention differ when facing the same information. The above findings provide new reference to understand the characteristics of RMB exchange rate expectation and thus to conduct exchange rate mechanism reforms.