新常态背景下汇率市场化改革与汇率波动性研究

Research on the Marketization and Volatility of Exchange Rate in the New Normal Economy

基于中国与世界经济联系日益密切和汇率波动幅度不断加大的背景,本文分析了新常态条件下人民币汇率波动的典型化事实,基于TGARCH、杠杆SV、Granger因果关系检验、BVAR模型实证检验了人民币汇率的波动性特征,利用Markov机制转化模型做了进一步的实证检验,并基于经济新常态进行了人民币汇率波动性分析。结论如下:第一,人民币市场化和国际化加大了汇率波动幅度,人民币汇率将由过去的单向升值波动转变为双向波动。第二,杠杆SV模型优于TGARCH模型,T分布优于N分布,无论对于美元对人民币汇率,还是人民币汇率有效指数,最适用于测度波动项的模型都是杠杆SV-T模型。第三,人民币汇率的波动具有较强的持续性,人民币升值,波动性会加大。第四,金融强国必须汇率市场化和国际化,经济新常态需要金融创新来形成新的驱动因素,增强中国在国际金融市场的规则制定权和话语权。

The paper analyzes the stylized facts of RMB exchange rate in the new normal economy based on the real background that the relationship between China and the world is getting closer and the volatility of exchange rate is increas- ing. The volatility of RMB exchange rate is tested empirically based on models of TGARCH, Leverage SV, Granger causality test and BVAR. And the further empirical tests are carried out by using the Markov lnodel. And then the following trends of RMB exchange rate is analyzed. Conclusions are drawn as follows： first, the volatility range is becoming larger with the inter- nationalization and marketization of RMB exchange rate, and the volatility of RMB exchange rate will transform from one-way appreciation to two-way appreciation; second, the leverage SV model is superior to the TGARCH model. T distribution is su- perior to N distribution. The leverage SV-T model, suited both with the U.S. dollar against RMB and the real effective RMB exchange tale index, is the best for measuring the RMB exchange rate volatilily; third, the RMB exchange rate volatility has a strong persistence, and the volatility will increase with the RMB appreciation; fourth, to build a financial power requires the internationalization and marketization of exchange rate, and financial innovation is needed to make up the new driving factor in the new normal economy, so as to strengthen China＇s rule making and discourse authority in the international financial markets.