加息周期、汇率安排与储备需求

Interest Rate Cycle,Exchange Rate Arrangement and International Reserves Demand

本文将利率规则与汇率安排的不同组合纳入NK-DSGE模型,研究美元加息冲击对我国经济的整体影响及外汇储备需求规模的动态调整。研究发现,临时加息冲击时,通过外汇市场干预实施固定汇率安排,可以适度规模储备需求维持汇率目标,从而给予利率政策更大独立空间,在维持短期金融稳定和产出平稳方面优于其他备选政策组合;持续加息冲击时,通过外汇市场干预实施管理浮动汇率安排可根据逆经济风向行事原则权衡调整汇率浮动区间,比单纯使用利率规则实施管理浮动汇率更为有效,与外汇市场干预实施固定汇率安排相比,经济波动、储备需求与汇率波动程度相差不大,在持续加息周期内固定汇率安排难以有效实施时,将是适应我国资本项目日趋开放和人民币国际化稳步推进时期的可行汇率安排。

This paper studies the impact of US Dollar interest rate cycle on China＇s economy and the dynamic adjustment of international reserves demand for a policy set of the forex market intervention rule and Taylor rule through a New Keynes DSGE model. The study found that, facing unexpected temporary interest rate shock, the fixed exchange rate arrangement through forex market intervention can attain exchange rate target, which makes Taylor rule better positioned to stabilize financial environment and reduce output volatility in the short run, and thus is better than other alternatives ; while in the long run, when facing persistent interest rate shock, the man- aged floating exchange rate arrangement through forex market intervention can adjust exchange rate floating range in a ＂leaning against the wind＂ style under the monetary anthority＇s discretion with much less welfare loss in terms of real economy as well as financial volatilities compared with other ahematives, thus can be an optimal policy alternative for China during its gradual opening up of capital accounts and currency internationalization.