不同市场状态下中央银行汇率干预有效性分析

Analysis on the Effectiveness of Central Bank's Exchange Rate Intervention under Different Market Conditions

在人民币国际化程度不断提升和汇率形成机制市场化改革不断推进的背景下,中央银行汇率干预对引导市场预期、维持汇率体系稳定起到日益重要的作用。考虑到不同市场状态对中央银行汇率干预行为有效性的可能影响,本文利用EGARCH模型结合Markov机制转换模型进行实证分析。研究发现:(1)从整体上看,中央银行的汇率干预对汇率波动程度的影响要大于对汇率水平的影响;(2)中央银行干预对汇率波动的抑制作用要部分依赖于干预事件发生时的汇率市场状态;(3)不同市场状态下,汇率沟通中传递出的政策取向会影响其作用效果。中央银行汇率干预在很大程度上可以降低汇率市场的波动程度,将传统干预手段与汇率沟通相结合,并依据汇率市场状态恰当调整干预方式及沟通内容,才能更好引导市场预期、达成政策目标。

With the continuous improvement of the degree of internationalization of RMB and the marketization of RMB exchange rate formation mechanism, intervention from PBOC is playing a major part in guiding the market expectations and stabilizing the exchange rate system. This paper combined the EGARCH model and the Markov switching model together to analyze the effectiveness of PBOC＇s actual intervention and policy communication under different market conditions. The empirical results show that：（1） Both actual intervention and policy communication have more significant influence on RMB exchange rate＇s volatility than on its spot rates.（2） The effectiveness of PBOC＇s intervention on RMB volatility depends on the market conditions to some extent.（3） Under different market conditions, the directions of PBOC＇s policy communication will have a certain level of influence on its effectiveness. Overall, intervention from the PBOC is still of great importance to reduce the volatility of exchange rate system. In order to guide positive market expectations and optimize policy effects, traditional actual intervention should be combined with policy communication and market conditions should be taken into consideration when making policy decisions.