美联储货币政策对人民币外汇市场压力的非对称效应

Asymmetric Effects of Federal Reserve's Monetary Policy on RMB Exchange Market Pressure

本文构建了因子扩展马尔科夫向量自回归模型MS-FA-VAR,并对16个模型做了对比研究,从中选择MSI AH(2)-FA(2)-VAR(2)模型研究了1997年Q1到2015年Q3美联储货币政策对人民币外汇市场压力的影响。研究发现:(1)美联储货币政策对人民币外汇市场压力具有非对称效应,在区制一,美联储货币政策对人民币外汇市场升值压力具有缓解作用,影响程度大、时滞短、波动性大;在区制二,美联储货币政策对人民币外汇市场升值压力具有推动作用,影响程度小、时滞长、波动性小。(2)在区制一,美联储货币政策对人民币外汇市场压力的影响主要通过利率进行传导,中国人民银行应该警惕美联储紧缩性货币政策对人民币升值压力以及中国金融市场的冲击,实施上调利率与缩减广义货币供应量并行的紧缩性货币政策以及卖出外汇资产是最佳货币政策。(3)在区制二,美联储货币政策对人民币外汇市场压力的影响主要通过价格进行传导,中国人民银行应该警惕美联储紧缩性货币政策对人民币贬值压力以及中国价格体系的冲击,实施上调利率与缩减广义货币供应量并行的紧缩性货币政策以及买入外汇资产是最佳货币政策。

In this paper, we construct a factor-augmented Markov regime switching vector autoregressive model, and take a comparative study on the 16 models. Among them, MSIAH（2）-FA（2）-VAR（2） was chosen to analysis the influence of Federal Reserve＇s monetary policy on RMB exchange market pressure between the first quarter of 1997 and the third quarter of 2015. It is found that： the first, there are asymmetric effects of Federal Reserve＇ s monetary policy on RMB exchange market pressure. In the regime 1, there are relief effects of Federal Reserve＇s monetary policy on RMB exchange market pressure, and the degree of the effects is larger, delay is shorter, vol- atility is bigger; in the regime 2, there are promoting effects of Federal Reserve＇s monetary policy on RMB exchange market pressure, and the degree of the effects is less, delay is longer, volatility is smaller. The second, in the regime 1, the influence of Federal Reserve＇s monetary policy on ~ exchange market pressure taking place by interest rate mechanism, the PBOC should be alert to the influence of Federal Reserve＇s tight monetary policy shocks on the RMB exchange market appreciation pressure and China＇ s finance market, the tight monetary policy of raising interest rate, reducing M2, and selling foreign exchange assets may be the optimal monetary policy. The third, in the regime 2, the influence of Federal Reserve＇s monetary policy on RMB exchange market pressure taking place by price mechanism, the PBOC should be alert to the influence of Federal Reserve＇s tight monetary policy shocks on the RMB exchange market depreci- ation pressure and China＇s price system, the tight monetary policy of raising interest rate, reducing M2, and buying foreign exchange assets may be the optimal monetary policy.