中国外汇市场干预的区间和非对称偏好研究

Target Range and Asymmetric Preference of China's Foreign Exchange Market Intervention

文章运用区间二次偏好损失函数证实了2005年7月到2015年12月期间中国中央银行在外汇市场上采用区间目标干预,该区间将原始数据粗略地分为大幅升值、温和升值和贬值三个区间。进一步的门限回归结果表明,不同区间内汇率偏离、汇率波动率、中美利率差、货币政策的国内经济目标偏离以及滞后干预对外汇市场干预的影响有很大差异,而且中央银行的确进行了显著干预大幅升值而接受温和升值和贬值的非对称外汇市场干预。文章也指出这种外汇市场干预偏好的前提是样本期间人民币汇率被低估了,但在中国已不存在"人民币被低估"的现实情况下,人民币汇率形成机制的未来改革方向是对升值压力和贬值压力均做出灵活响应,真正实施更加灵活、由市场决定的汇率。

Using zone quadratic preference loss function,this paper confirms that China's central bank conducts foreign exchange market intervention with a target range from July 2005 to December 2015. This range roughly divides the original data into significant appreciation,mild appreciation and depreciation ranges. Estimation results of the threshold regression show that the effect of exchange rates deviation,exchange rate volatility,interest rate differentials between China and the US,domestic economic goals of monetary policy deviation and lagged intervention on foreign exchange market intervention varies in the three ranges. Besides,the central bank does conduct asymmetric foreign exchange market intervention that it defends substantial appreciation,but tolerates mild appreciation and depreciation. This paper also points out that the prerequisite of this kind of foreign exchange market intervention preference is that RMB is undervalued during the sample period. However,under current situation that RMB is no longer undervalued,the future direction of the reform in RMB exchange rate formation mechanism allows RMB to respond flexibly to appreciation as well as depreciation pressures.