中央银行政策沟通的市场效应:基于人民币汇率的实证研究

The Effect of Central Bank's Communication:Evidence from Chinese RMB Exchange Rates

本文采用2007年1月4日至2016年6月30日间人民币兑美元即期和远期汇率数据,运用单元及多元GARCH拓展模型实证检验中国中央银行政策沟通及常规货币政策操作对人民币汇率市场的影响。实证结果显示,1)政策沟通影响远期汇率水平而常规货币政策调整影响即期汇率水平,中央银行政策沟通与常规货币政策调整降低了人民币即期汇率的波动;2)不同方向的政策沟通对人民币汇率市场的影响有一定的差异性;3)中央银行政策沟通熨平了人民币在岸和离岸远期差价以及人民币即期与远期汇差的波动。央行政策沟通在货币政策实施过程中的效力在很大程度上有赖于政策沟通策略的选择与适时调整,实现政策沟通和传统货币政策操作的密切配合则是达成引导市场预期目的之关键。

Using a sample data starting from January 4, 2007 to June 30, 2016, this paper investigates the impact of PBOC＇ s policy communications and monetary policy operations on RMB spot and forward exchange rate markets by adopting both univariate and multivariate GARCH models. The empirical results show that ： 1 ） Monetary policy operations and communications have significant impact on RMB spot and forward exchange rate markets with both decreasing the markets＇ volatility. 2） Different directions of PBOC＇ s policy communications have differential impacts on RMB exchange rate markets. 3 ） The differential effect of the PBOC＇ s poticy communication on the onshore and offshore RMB exchange rate markets are also substantial. Our empirical results indicate that the effect of the Central Bank＇ s communication depends largely on the strategic policy selection and the timely adjustment on the policy communication. A carefully designed combination of the Central Bank＇ s communications and its regular monetary policy operations is thus the key for the Bank to be successful in guiding market expectations and reducing market volatility.