汇改前后人民币汇率预期的波动特征研究

Research on the Fluctuation Characteristics of RMB Exchange Rate Expectation before and after Exchange Rate Regime Reform

本文通过剥离并分析不同频度人民币无本金交割远期汇率(NDF)的数据特征,探寻汇改前后NDF市场所发生的变化,并依据分析结果选取了相对较优的一系列ARCH模型进一步比较汇改前后NDF汇率波动特征。研究表明,不同频度的NDF汇率波动特征存在显著差异,且在汇改之后,正负相关性、偏度差异等数据特征发生了根本性转变;虽然汇改的确使得NDF市场的有效性得到了显著增强,但同时该市场仍存在着风险偏好等异象。货币当局必须充分考虑改革对NDF市场产生的冲击及其造成的反作用力,重点关注升值预期可能对国内造成的诸多影响。

The paper focuses on analyzing the changes in RMB NDF market before and after exchange rate regime reform by stripping the inner character of different frequency NDF rate data. In accordance with detailed statistical properties of the processed data, the paper selects a range of ARCH model relatively better to compare the features of NDF rate fluctuation before and after the reform. The result reveals that there are significant differences among the characteristics of NDF rate fluctuations with different frequency. When we take the reform into consideration, a series of data characteristics such as positive and nega- tive correlations as well as skewness have been fundamentally reversed. In addition, although NDF market efficiency has been significantly enhanced after RMB exchange rate regime reform, it has been accompanied by lots of market vision such as risk preference. It is urgent for monetary authority to take fuU account of the effect on NDF market when implementing a new policy and its counterforce, especially focusing on RMB appreciation expectation＇s impact on domestic market.