人民币汇率对人民币汇率中间价报价改革的响应研究

Study on the Response of RMB Exchange Rate to the Reform of RMB Central Parity

运用时间序列断点检验和自回归模型,分析了2005年人民币汇率形成机制改革以来人民币汇率对人民币汇率中间价报价改革的响应。研究发现:人民币汇率对人民币汇率中间价报价改革的响应并不完全,具体表现为人民币汇率时间序列调整机制的变化与人民币汇率中间价报价改革的推进并没有保持完全同步;人民币汇率并没有对2006年1月4日的人民币汇率中间价报价改革产生显著响应,具体表现为2006年1月4日的人民币汇率中间价报价改革并没有导致人民币汇率时间序列调整机制发生显著变化;人民币汇率对2015年8月11日的人民币汇率中间价报价改革产生了显著且即时的响应,具体表现为2015年8月11日的人民币汇率中间价报价改革导致人民币汇率时间序列调整机制发生了显著变化。在此基础上,对于进一步推进人民币汇率中间价报价改革提出了相关政策建议。

This paper analyzes the response of RMB exchange rate to the reform of RMB central parity since 2005, by using breakpoint searching and autoregressive model of time series. The study finds that： the response of RMB exchange rate to the reform of RMB central parity is not complete, the change of adjustment mechanism of the RMB exchange rate and the reform of the reform of RMB central parity do not keep completely synchronous; there is no significant response of RMB exchange rate to the reform of RMB central parity in January 4th 2006, the reform of RMB central parity in January 4th 2006 do not lead to the significant change of adjustment mechanism of the RMB exchange rate; there is significant response of RMB exchange rate to the reform of RMB central parity in August 11th 2015, the reform of RMB central parity in August 11th 2015 do lead to the significant change of adjustment mechanism of the RMB exchange rate. On this basis, the article puts forward some relevant policy recommendations to further promote the reform of the RMB exchange rate.