央行干预导致了人民币汇率均衡还是失衡?——基于STR模型的综合效应分析

Does Central Bank Intervention Cause RMB Exchange Rate Equilibrium or Misalignment? An Analysis of Combined Effect Based on STR Model

中央银行长期对外汇市场的干预会持续影响汇率的变化,从而可能导致汇率的失调。央行干预对汇率的影响不仅会通过直接改变外汇资产的供求结构以及给市场释放出的信号效应起作用,还会通过影响决定长期均衡汇率的基本经济变量对汇率产生间接作用。文章基于行为均衡汇率理论,运用2005年8月至2015年11月的月度数据,借助平滑转换模型测算了人民币均衡汇率及实际汇率的失衡程度,并分析了央行干预对人民币实际有效汇率的直接影响和间接影响以及由此导致的人民币汇率失衡。实证结果表明,央行在外汇市场的干预行为对人民币实际有效汇率有显著的直接影响和间接影响,但央行干预对人民币汇率的总体影响程度并不大,且间接效应影响大于直接效应;另外,虽然央行干预在部分时期加大了人民币汇率失衡,但在大部分时期起到了促进汇率均衡的作用。

Continuous central bank intervention on foreign exchange market could affect exchange rate changes persistently,which may cause the misalignment of exchange rate. Central bank intervention not only changes the supply-demand relationship of foreign exchange assets and releases signals to market which affects exchange rate directly,but also influences the basic economic determinants of long-term equilibrium exchange rate which impacts exchange rate indirectly. Based on BEER,this paper calculates RMB equilibrium exchange rate and the degree of real exchange rate misalignment in 2005M8 to 2015M11,and analyzes the direct and indirect impact of central bank intervention on RMB real effective exchange rate and exchange rate misalignment,with the help of STR model. The result shows that central bank intervention has small but significant direct and indirect effect on RMB real effective exchange rate,among which the indirect impact is larger. The result also shows that central bank intervention helps RMB exchange rate approach its equilibrium level for most of the period.