汇率波动、交易规模与托宾税有效性--基于离岸人民币汇率视角的STR模型

Exchange Rate Volatility, Trading Scale and the Effectiveness of Tobin Tax——An STR Model Analysis Based on CNH

近年来,全球外汇市场持续动荡重新引发了对托宾税的关注。本文在总结国内外托宾税相关研究理论基础上,将交易规模作为托宾税实施的代理变量,使用平滑转换回归模型,对离岸人民币外汇市场交易规模与汇率波动进行研究,进而评估托宾税的有效性。实证结果表明,在外汇市场交易规模激增的"投机主导"时期,交易规模和波动率的相关性显著增加,并兼具非对称与非线性特点。托宾税成为遏制投机和减少汇率波动的有效手段,但其稳定汇率的作用具有明显的短期性。

In this paper we use non-linear STR model to analyze the relationship between transaction scale which is used as the proxy of Tobin tax and exchange rate volatility. The results show that the impact of exchange market transaction scale shocks on exchange rate volatility is nonlinear and asymmetric, the relationship between trading volume and volatility tends to increase when the transaction scale is high. It implies that a Tobin tax would be effective for curbing speculation and reducing exchange rate volatility, even in speculation-dominated periods. However, it implies that a Tobin tax would play an obvious short-term role in stabilizing the exchange rate.