人民币升贬值预期压力期间识别:基于马尔可夫机制转换模型的实证分析

Identifying the Period of RMB Appreciation or Depreciation Expectation Pressure with Markov Regime-Switching Model

针对汇率预期变化的非线性特征,应用三状态马尔可夫机制转换模型(MS),通过对美国次贷危机以来3月期和1年期人民币无本金交割远期汇率(CNYNDF)的波动机制进行实证分析,揭示人民币升贬值预期压力的积聚期间及交易型和投机型市场参与者的预期差异。研究结果显示:(1)2007年下半年至2009初的金融危机期间,CNYNDF先后处于升值高波动和贬值高波动的异常压力机制,且长期CNYNDF受美元先贬后升的影响更为显著,说明汇率投机者的预期更易受到国际金融市场的冲击;(2)2010年6月19日央行二次汇改之后,CNYNDF由升值高波动的异常机制逐步转入升值低波动的稳定机制,存在一个升值预期压力集中释放的阶段,说明汇率制度改革取得了稳定预期的成效。上述结论对央行适时干预以稳定人民币汇率预期具有重要的参考价值。

In this paper the fluctuation characteristics of RMB non-deliverable forward rate （CNYNDF） has been analyzed using three states Markov regime-switching model, by which the non-linear characteristic of the fluctuation of exchange rate expectation was considered. Empirical analysis shows that ： （1） During the international financial crisis from the second half of 2007 to the beginning of 2009, CNYNDF exchange rate abnormally fluctuated and successively in appreciation and depreciation, also that the long-term CNYNDF volatility was more significantly affected by ＂U-shape＂ trend of USD, which reveals that the expectation of speculators was more sensitive to the fluctuation of international financial markets~ （2） Around June 19th 2010 at which time China＇s central bank secondarily reformed the exchange regime, CNYNDF exchange rate experienced a period of abnormal regime with high volatility before it reinstated in the stable regime characterized by low fluctuation, and there was a period of time when the appreciation expectation pressure of RM/3 was intensively released. The results above identify the period during which appreciation or depreciation expectation pressures are accumulated, and show the different expectations of different market players. It is believed that the results provide a valuable reference of stabilizing RMB exchange rate expectation for China＇s central bank.