我国外汇衍生品市场对货币政策影响的研究——基于汇率传导渠道的实证分析

Effects of Chinese Foreign Currency Derivatives Market on Monetary Policy——Positive Study on Exchange-rate Transmission Channel

自人民币汇率形成机制改革以来,我国外汇衍生品市场发展迅猛,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现。通过对2000-2012年的月度数据运用普通回归模型和对2006-2012年的月度数据采用向量自回归模型分别进行实证研究,发现我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,提出改进和完善我国货币政策传导机制的相关政策建议。

Since the reform of Chinese currency regime, the Chinese foreign exchange derivatives market developed rapidly. Its impact on monetary policy transmission mechanism, especially on exchange rate transmission channel, is increasingly apparent. Based on ordinary regression model using data from 2000 to 2012 and Vector Autoregression model using data from 2006 to 2012, this paper finds there is a significant impact 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.