外汇衍生品市场对货币政策汇率传导渠道的影响--基于中国的实证分析

The Effects of Foreign Currency Derivatives on Exchange Rate Transmission Channel of Monetary Policy——An Empirical Analysis of China

随着中国外汇衍生品市场的快速发展,这一市场对央行货币政策的传导机制尤其是汇率传导渠道的影响日益凸显。通过运用普通回归模型和向量自回归模型进行实证研究,证实了中国外汇衍生品市场已经对货币政策汇率传导渠道产生了显著的影响,并且汇率传导渠道的功能出现明显的减弱迹象。最后从外汇衍生品市场的视角出发,提出改进和完善中国货币政策传导机制的相关政策建议。

With the rapid development of the foreign exchange derivatives market in China, its impact on mo- netary policy transmission mechanism, especially on exchange rate transmission channel, is increasingly appar- ent. Based on ordinary regression model and Vector Autoregression model, this paper finds there is a significant im- pact on the exchange rates transmission channels of monetary policy. Meanwhile, it also finds that the function of this channel clearly has been weakening. Finally, from the foreign exchange derivatives market perspective, it puts forward policy recommendations to improve monetary policy transmission mechanism in China.