扩展型泰勒规则与人民币汇率变动：理论机理与实证检验

The Extended Taylor Rule and RMB Exchange Rates Changes:Theoretical Mechanism and Empirical Evidence

本文将汇率预期、国际资本流动与风险溢价纳入到扩展的开放型泰勒规则汇率模型之中,从理论上阐释了人民币汇率动态变化的成因,并结合非线性自回归分布滞后模型(NARDL)展开实证分析。研究发现,扩展型泰勒规则对人民币汇率的影响具有显著的非对称性,且在长期与短期内相异。具体而言,中美息差、产出缺口差、物价差及汇率预期(特别是在贬值预期的环境下)能够对人民币即期汇率产生较强的"叠加"影响。在扩展的泰勒规则汇率模型中,国际资本流动影响作用较大,其次是汇率预期,投资者的逆向选择使得风险溢价波动对人民币汇率的影响具有非对称性特征。因此,货币当局应建立可预期的货币政策框架、有效监管资本流动、降低风险溢价,避免公众形成对人民币汇率的贬值预期。

In order to explain the causes of exchange rate changes, we extend the open Taylor rule with exchange rate expectation, international capital flow and risk premium from the perspective of theoretical analysis. Further, this paper proposes nonlinear autoregressive distribution lag model to investigate the relationship between extended Taylor rule and RMB exchange rate. We find that the asymmetry effect of the extended Taylor rule on RMB exchange rate is significant, but is different in the long and short run. In particular, the Sino-US interest rate difference, output gap difference, inflation difference and exchange rate expectation produces a strong superposition effect on RMB exchange rate, and the kind of effect is also obvious in the depreciation environment. The impact of international capital flows on RMB exchange rate is greater, followed by the exchange rate expectation. The asymmetric effect of risk premium on exchange rate is mainly caused by investors＇ reverse selection. Therefore, in order to avoid forming the depreciation expectation and keep exchange rate in the balance range fluctuations, the authorities should build a predictable monetary policy framework and take effective measures to regulate capital flows and reduce risk premium.