人民币境内外市场汇率价格差异的收敛路径——基于汇率预期、资本流动和央行干预

Convergence path of gap between CNY and CNH——Based on exchange rate expectation, capital flows and central bank intervention

境内外人民币汇率走势基本一致且价差维持在较小范围内,但在某些特殊阶段,出现了境内外人民币汇率大幅偏离的情况。在价差收敛过程中,央行干预发挥了重要作用。央行对价差的干预效果取决于汇率预期类型及其导致的资本流动特征。均衡值回复预期下,境内外汇率自动收敛;适应性预期下,央行干预速度不宜过快,避免引发市场过度反应;理性预期下,央行需掌握全面的市场信息,从而充分对冲投机资本流动。从实践看,不同时期境内外人民币市场参与主体的预期类型不同,央行应因地制宜决定是否对价差过大实施干预。

This paper investigates the relationship among exchange rate,expectation,capital flow and exchange rate stability,discusses the role of central bank in the decrease of gap between CNY and CNH by way of mathematics modeling,empirical study and calibration.The models reach the following results:if the speculators have adapting expectation or combined expectations,the central bank's adjustment must meet some conditions to make the exchange rate path stable,if the speculator have rational expectation,the central bank must tale fixed exchange rate or perfectly sterilize the hot money to make the exchange rate path stable.