央行汇率干预行为研究:基于香港离岸人民币汇率的影响

Study on the Central Bank's Exchange Rate Intervention: based on the Influence of Hong Kong Offshore RMB Exchange Rate

汇率干预是央行避免外部冲击、保持内部经济健康发展的重要工具。但是,随着离岸市场规模的扩张,离岸和在岸汇率的联动势必影响央行汇率干预行为的效果。本文通过对汇率干预指数的测算来反映我国央行公开市场操作的行为,引入香港离岸人民币汇率(CNH)建立央行反应函数,进而研究CNH对央行汇率干预行为的影响。结果发现,由于目前市场的广度与深度不足,离岸人民币汇率对央行汇率干预行为的影响还未充分显现。因此,本文继而以经历了完整的国际货币离岸市场发展过程的德国马克为例,研究离岸马克汇率与德意志联邦银行汇率干预行为的关系,预测未来CNH将会对央行汇率干预行为产生实质性影响。

Exchange intervention is an important tool for the Central Bank to avoid external shocks and to keep the sound development of internal economy. However, with the expansion of offshore market, the co-movement of the offshore ex- change rate will influence the exchange intervention of the Central Bank. This thesis calculates the exchange intervention in- dex, reflecting the open market operation of the Central Bank, introduces the Hong Kong＇s offshore RMB exchange rate （CNH） to establish a Central bank reaction function and further analyzes the influence that CNH has on the exchange inter- vention activities of the Central Bank. It is discovered that the influence that CNH has on exchange intervention activities of the Central Bank is not quite evident due to the insufficient breadth and depth of the current market. Thus, this thesis studies the interrelationship between offshore Mark rate and the exchange intervention of Deutsche Bundesbank on the basis of Deutsche Mark which has been through the complete development of international currency offshore market, and predicts the CNH future influence on the exchange intervention of the Central Bank.