央行汇率沟通与实际干预调节人民币汇率变动的实效与条件改进

The Effect and Improvement of Central Bank's Oral Statement and Actual Intervention Dominating RMB Exchange Rate Fluctuation

文章采用EGARCH模型,对2005年7月至2012年12月间汇率沟通与实际干预影响人民币汇率的有效性假设、政府干预的有效性条件及运用汇率沟通的时机选择问题分别进行了研究。文章发现:实际干预能够调节人民币汇率水平并提高汇率波动程度,当货币当局的信誉较高时更加具有有效性,但其影响效果远低于发达国家的干预实践;汇率沟通虽未影响人民币汇率走势,但却显著提高了人民币汇率波动程度,当货币当局拥有较高的信誉或汇率波动程度较高时更加具有有效性;外国官方的施压对人民币汇率制度的影响较显著,这表明人民币汇率形成机制受外部干扰巨大,还没真正达到"以内为主、自我决定"的改革目标。

This paper is to explore whether(Central Bank's?) oral statement and actual intervention will affect RMB exchange rate fluctuation,what conditions for their effectiveness are and when to apply oral statement,by using EGARCH model over the period of July 2005 to November 2012.(1) Actual interventions move RMB exchange rate in the desired direction and increase exchange rate volatility,but the effectiveness is poorer than in the developed countries.Actual interventions are more effective if a monetary authority has higher credibility;(2) Verbal interventions don't exhibit a significant effect on RMB exchange rate level,but significantly increase volatility.Verbal interventions which increase volatility are more effective if a monetary authority has higher credibility or exchange rate volatility is higher;(3) The RMB exchange rate system is significantly influenced by foreign political pressure.As such,the objective of RMB exchange rate system reforms which would allow China's domestic factors to determine RMB exchange rate fluctuation has notbeen met.