行为金融视角下的人民币汇率决定模型研究

Modeling RMB exchange rate determination from the perspective of behavioral finance

从行为金融的视角出发,构建了包含央行干预、宏观经济基本面及微观个体异质性行为等决定因素的人民币汇率决定理论模型.基于这一模型,利用Unscented卡尔曼滤波方法,实证研究了汇改后人民币外汇市场上交易者的异质性行为特征及其对汇率变动的影响.其研究结果表明,汇改后人民币外汇市场存在着显著的异质性交易者:持有回归预期的基本面分析者和持有推断预期的技术分析者,并且技术分析者的风险厌恶程度明显高于基本面分析者.在汇改后的主要时期内,基本面分析者在外汇市场上占据了主导地位,但在2009年4月以后,外汇交易者对交易策略的选择陷入"迷茫"的状态.当2010年6月央行重启人民币汇率形成机制改革时,技术分析者占据了主导地位,其噪音交易给人民币带来了升值的压力.

From the perspective of behavioral finance, this paper models the determination model of RMB ex- change rate with cosideration of factors like central bank intervention, macroeconomic fundamentals and micro- individual heterogeneity behavior. Based on the model, this paper applies unscented Kalman filter method to study the traders＇ heterogeneity behavior in RMB foreign exchange market after the reform of RMB foreign ex- change rate regime in 2005, as well as the influence of traders behavior on exchange rate fluctuation. The re- sults showed that remarkable traders＇ heterogeneity existed in RMB foreign exchange market after the reform, and that there are two categories of traders--Fundamentalists with regressive expectation and Chartists with ex- trapolating expectation. The results show that the Chartists are more risk averse than the Fundamentalists that dominated in the market most of the time after the reform. However, the choice of trading strategies for the trades was uncertain after April 2009. Chartist dominated in the market, whose and their noisy trade put pressure on RMB appreciation when China Central Bank restanted the refrom of RMB foreign exchange rate regime in July 2010.