资本项目开放进程中的外汇干预函数研究

Research of Foreign Exchange Intervention Reaction Function under Capital Account Liberalization

本文首先建立了开放经济下涵盖产品市场、货币市场、国内外资产市场的一般均衡分析框架,并建立了外汇干预反应函数的理论模型,在此基础上选取我国外汇市场和宏观经济相关月度数据对我国中央银行外汇干预的反应函数进行了实证分析。通过研究我国外汇干预反应函数的构成以及外汇干预目标实现的影响因素,从而对我国外汇干预政策的调整提出如下政策建议:外汇干预目标由影响、稳定汇率水平逐步向稳定市场秩序转变,逐渐减少外汇干预频率和规模,重点发挥外汇市场最后贷款人和维护金融市场稳定的作用。同时伴随着资本项目逐步开放,协调推进汇率体制进一步市场化,提高人民币汇率弹性。

This paper builds a general equilibrium model in open economies covering product market, money market and the domestic and foreign asset mar- kets to analyze the link of domestic and foreign asset markets through the uncov- ered interest rate parity theory. Selecting the macroeconomic monthly data in Chi- na, the paper conducts an empirical analysis on China＇ s central bank foreign ex- change intervention reaction. Through the study of factors affecting the realization of China＇ s FX intervention reaction function and composition of foreign ex- change intervention targets, the paper concludes that the following adjustment poli- cies can be made towards the FX intervention policy. First, China＇ s central bank should shift gradually from affecting and stabilizing the exchange rate level to stabilizing the market order and gradually reduce the frequency and scale of FX intervention. Second, the central bank should give full play to the key lender of the last resort and maintain the stability of the financial market. At the same time, China＇ s central bank should improve the RMB exchange rate flexibility along with its gradual opening of capital projects.