中国外汇市场压力与货币市场压力测算及互动影响关系研究

A Study on the Measurement and Interaction Relationship of Exchange Market Pressure and Money Market Pressure in China

针对系统性风险管理中不同金融市场压力指标间的相关性问题,本文考察了近年来中国外汇市场压力(EMP)与货币市场压力(MMP)的动态变化及互动影响关系。首先采用模型独立法对EMP和MMP指数进行测算,其次构建包含共同因素的VAR模型分析两者的动态影响关系。研究发现:中国的EMP与MMP之间存在显著的相互影响关系,EMP对MMP具有强化作用,MMP对EMP具有弱化作用,且EMP对MMP的影响具有滞后效应。该结论揭示了中国维持汇率稳定条件下外汇市场压力和货币市场压力的传导关系,对于构建宏观审慎监管框架、协调货币政策和汇率政策以实现金融稳定具有实际价值。

Considering the relationships of different financial market pressure, we investigate the dynamic changes of exchange market pressure（EMP）and money market pressure（MMP）and the interaction between them in China. First, a model independent approach is used to estimate EMP index and MMP index. Then the VAR model with common influencing factors is applied to analyze the dynamic relationship between these two indices. The results show that there is a significant interaction relationship between EMP and MMP in China. EMP has a positive impact on MMP while there is a negative influence from MMP to EMP. And EMP has lagging effect on MMP. The conclusions reveal the dynamic transmission relationship between EMP and MMP under the condition of maintaining the exchange rate stability, which is of great significance for constructing macro-prudential supervision framework and coordinating monetary policy and exchange rate policy to achieve the goal of financial stability.