汇率沟通、实际干预对人民币汇率与汇率预期的影响

The Impact of Exchange Rate Communication and Actual Intervention on RMB Exchange Rate and Exchange Rate Expectation

本文在分析汇率沟通、实际干预影响汇率机理的基础上,运用2005年7月—2014年12月间的相关数据,实证研究了汇率沟通、实际干预和货币政策操作对人民币汇率及汇率预期的影响。实证结果表明,口头汇率沟通、实际干预对人民币汇率和汇率预期的水平变动均产生合意的影响,实际干预对汇率的效力强于口头汇率沟通,而口头汇率沟通对汇率预期的效力强于实际干预。口头汇率沟通降低了人民币汇率和汇率预期的波动,实际干预却加剧了人民币汇率和汇率预期的波动。书面汇率沟通对人民币汇率和汇率预期的水平变动与波动率均无显著影响。数量型货币政策和价格型货币政策操作对人民币汇率和汇率预期均有着显著影响。进一步发现,随着人民币汇率市场化程度的提高,口头汇率沟通、实际干预对人民币汇率和汇率预期的影响显著增强。人民币单边预期会弱化口头汇率沟通、实际干预的效力,而双向预期的形成有利于增强口头汇率沟通、实际干预的有效性。口头汇率沟通的时滞较短,作用持续时间较长。央行应加强汇率沟通在管理人民币汇率和汇率预期中的重要作用,不断提高人民币汇率市场化程度,并应当关注货币政策操作的影响。

China has began to implement a managed floating exchange rate system based on market supply and demand since the July 2005 reform of the RMB exchange rate. The marketization and internationalization of the RMB exchange rate has gradually increased, and the volatility of it has reflected the changes of China＇s economic fundamentals more and more. But on the other hand, the RMB exchange rate is affected by short-term capital flows, international risk aversion, exchange rate expectations and other disturbing factors which increases the possibility of sharp fluctuations in the RMB exchange rate. This will increase the instability of the financial system and trigger macroeconomic risks. Therefore how to use actual intervention or exchange rate communication to influence exchange rate avoiding exchange rate sharp overshooting or abnormal fluctuations is a key problem for China＇s monetary authority under the condition of open economy. Monetary authorities intervene in the foreign exchange market in two ways：actual intervention and exchange rate communication. In the past two decades, the exchange rate policy of many countries has undergone significant changes. Exchange rate communication has gradually become a more and more important tool for foreign exchange market intervention. Foreign study on exchange rate policy has also began to gradually shift from the actual intervention to exchange rate communication. However, in the face of this change, domestic scholars are still mainly focused on the actual intervention in the impact on the foreign exchange market, only a few scholars explore the impact of exchange rate communication on exchange rate changes from the perspective of empirical research. The points that this study is different with the existing exchange communication literatures are ： （ 1 ） Considering the effect of exchange rate communication on exchange rate expectations; （2） The written communication also included in the scope of exchange rate communication research, rather than just oral communication. （3） Considering the impact of monetary policy operations on the RMB exchange rate and exchange rate expectations. This paper is mainly to analyze the impact of exchange rate communication, actual intervention and monetary policy operation on RMB exchange rate and exchange rate expectation, using EGARCH model. The empirical results show that： （ 1 ） Oral communication on exchange rate and actual intervention move RMB exchange rate and it＇ s expectation in the desired direction, the effect of actual intervention on RMB exchange rate is stronger than oral communication while the effect of oral communication on RMB exchange rate expectation is stronger than actual intervention. （2） Oral communication decreases the volatility of RMB exchange rate and it＇ s expectation, however, actual intervention increases the volatility of RMB exchange rate and it＇ s expectation. Written communication on exchange rate doesn＇ t exhibit a significant effect on RMB exchange rate and it＇ s expectation. （3） Quantitative and Price-based monetary policy operations exhibit a significant effect on RMB exchange rate and it＇s expectation. （4） With the exchange rate market-oriented improving, oral communication and actual intervention significantly enhance the impact on RMB exchange rate and exchange rate expectation. Unilateral RMB exchange rate expectation is ex- pected to weaken the effect of oral communication and actual intervention while bilateral RMB exchange rate expectation is expected to strengthen their effect. （5）The time delay of oraI communication is shorter,and the effect of oral communication lasts longer. The central bank should strengthen the important role of communication in the management of RMB exchange rate and exchange rate expectation, constantly improve the degree of RMB exchange rate marketization, and should pay attention to the operation of monetary policy.