基于拓展泰勒规则汇率模型的人民币汇率动态决定:理论分析与经验研究

The Dynamic Determinations of RMB Exchange Rate based on Extend Taylor Rule Model: Theory and Empirical Evidence

文章将股价、央行外汇干预及汇率预期纳入拓展的泰勒规则汇率模型之中,在两国开放泰勒规则汇率模型分析框架下阐释人民币汇率变动的微观机理,采用平滑转换模型并选择2005年7月至2016年7月研究样本进行实证分析。结果发现拓展泰勒规则汇率模型中的变量对人民币汇率的影响具有显著的区制转换特征,人民币汇率的动态变化会依托于异质性区制环境而呈现非对称性特点。我们进一步采用含随机波动的贝叶斯时变向量自回归模型从时变演进视角刻画了人民币汇率的动态变化,发现拓展泰勒规则汇率模型中的变量对人民币汇率的影响既存在一定的滞后,又在短期与长期内存在显著差异。我们还发现拓展的泰勒规则汇率模型对于中国短期货币政策的操作和执行具有较强的解释力。本研究为公众在新的人民币汇率形成机制条件下认识人民币汇率动态变化规律、波动成因提供启示。

This paper extends the Taylor rule theoretical model with stock price,central bank intervention and exchange rate expectation,and investigates the microscopic mechanisms under the two-country model of Taylor rule exchange rate framework. For this purpose,we further apply smooth transition auto-regression model from the view of regime-switching during the period from July 2005 to July 2016. Our result shows that the impact of extend Taylor rule on exchange rate is significantly regime-switching and asymmetric. We also employ Bayesian time-varying VAR model with stochastic volatility to depict the dynamic determination of RMB exchange rate,and find that the extend Taylor rule has a certain lagged effect on RMB exchange rate and such an effect is different between short and long run. Besides,we also find that extended Taylor rule exhibits much higher power in explaining the conduction of monetary policy of China in the short term. Our paper provides a new insight for the public to understanding the regularity and causes of RMB exchange rate fluctuation.