实际干预和预期引导对汇率调控效果的比较研究

The Effects of Actual Intervention and Exchange Rate Communication on RMB Exchange Rate

文章使用2010年8月至2017年12月的月度数据,在考虑人民币升贬值阶段差异和汇率形成机制变化的情况下,对外汇市场实际干预和预期引导的调控效果进行了比较研究。研究发现:外汇市场实际干预和预期引导均能起到调节汇率走势的效果。实际干预有助于平抑汇率波动,且在人民币贬值时期和"811"汇改后影响效果更加明显。预期引导在人民币贬值时期和"811"汇改后,对调节汇率走势的影响效果相较于人民币升值时期和"811"汇改前变得更大。研究结论启示:在人民币汇率市场化改革不断推进和人民银行已退出常态化汇率干预的背景下,为保持人民币汇率在合理均衡水平上的基本稳定,人民银行仍需坚持底线思维,警惕突发事件或极端情景导致的外汇市场"羊群行为",此时应根据不同的市场环境灵活搭配工具组合,对人民币汇率进行必要的调控。当人民币处于升值趋势且汇率发生异常波动甚至超调时,建议通过预期引导稳定市场情绪,减少不必要的实际干预,即"多说(预期引导)少做(实际干预)";当人民币处于贬值趋势且汇率发生异常波动甚至超调时,建议在采取预期引导调节汇率走势的同时,实施适当的实际干预平抑汇率波动,即"边说(预期引导)边做(实际干预)"。

Using the monthly data of RMB exchange rate from August 2010 to December 2017,this paper empirically studies the effects of actual intervention and exchange rate communication on RMB exchange rate,and finds that:(1)both actual intervention and exchange rate communication play important roles in adversely adjusting exchange rate;(2)Actual intervention appears to be effective on smoothing the fluctuations of exchange rate,and the effect becomes stronger in the period of depreciation or after the reform event in August 11,2015.(3)During a depreciatory trend or after the exchange rate reform,exchange rate communication has a greater influence on adversely adjusting exchange rate than over other periods.In the process of the market-oriented reform of RMB exchange rate regime,while withdrawing from normal exchange rate intervention,it is also necessary for the central bank to flexibly use the combination of intervention tools under unexpected circumstances to prevent abnormal fluctuation of exchange rate,such as"herding behavior"in foreign exchange markets.Particularly,when RMB exchange rate is in a unilateral appreciation trend,the central bank may stabilize market sentiment by more exchange rate communication and less actual intervention,which means"more talks(exchange rate communication)and less operations(actual intervention)".When the exchange rate is in a unilateral depreciation trend or appears to be overshooting,the central bank may actively carry out both exchange rate communication and actual intervention to adjust trends and smooth fluctuations,which means"talking(exchange rate communication)while taking action(actual intervention)".