人民币汇率预期的阶段性特征研究

Research on the Phase Features of the RMB Exchange Rate Expectation

本文以人民币NDF作为汇率预期的代理变量,以我国渐进性汇率形成机制改革为背景并结合国际金融危机事件,把样本期间划分成8个阶段,采用GARCH模型研究人民币汇率预期的阶段性特征。主要研究结论为:第一,在盯住美元的汇率制度下,人民币汇率预期具有稳定性特征,冲击的持续性较强;第二,在外汇市场一体化或市场化程度较高时期,人民币汇率预期的稳定性降低,冲击的持续性较弱。建议增加汇率制度灵活性,加强外汇市场的市场化与一体化建设,避免形成单边预期。

In this paper,RMB non-deliverable forward is taken as the proxy variables of RMB exchange rate expectation and GARCH model is employed.In order to examine the detailed features of RMB exchange rate expectation,the sample period is divided into eight stages in according to the gradual progress of China＇s exchange rate system reform and evolution of international financial crises.The main conclusions of the paper are ：firstly,under the crawling peg to the dollar regime,the expectation of RMB exchange rate is stable and the shocks to it＇s volatility will last a long time;secondly,in the period of high degree marketing or more integration of exchange market,the expectation of RMB exchange rate is less stable and shocks to it＇s volatility will last a short time.So,we should increase the flexibility of exchange rate and improve the degree of marketing and integration of exchange market to avoid the formation of unilateral expectation.