异质预期条件下中央银行沟通对人民币汇率波动的影响

The Influence of Central Bank Communication on RMB Exchange Rate Volatility Based on Heterogeneous Expectation Assumption

在外汇市场交易者预期异质性的假设条件下,以2005年7月至2015年12月中国人民银行沟通频数和人民币汇率数据为样本,采用异质预期汇率模型考察中央银行沟通对人民币汇率波动的总体影响。研究发现:在异质预期条件下,中央银行沟通通过信息机制和协调机制影响外汇市场交易者的异质预期,从而对人民币汇率波动产生较为显著的影响,但由于我国外汇交易者预期向基本面预期转换的发生概率小于技术分析交易者预期,中央银行沟通对人民币汇率波动的平稳作用效力受到一定的局限。

With open economic environment and heterogeneity of expectations from foreign ex change market traders, this paper attempts to introduce the variable of central bank communica- tion indicator into the traditional heterogeneous exchange rate forecasting model to conduct theo- retical derivation analysis. Take the People＇s Bank of China communication and RMB exchange rate from July, 2005 to December, 2015 as sample, use the heterogeneous expected exchange rate model which adopts the transformation rules of central bank communication mechanism to imple- ment empirical test regarding the overall impact of central bank communication on exchange rate volatility. In this paper, the study found, under heterogeneous expectation, the central bank in- fluences the expectations of foreign exchange market traders through information and coordina- tion mechanism with much volatility. But the trader expectations are more of fundamentalist than that of the chartist. Thus, this limits the effectiveness of central bank communication on stabili- zing RMB exchange rate.