拓展型泰勒规则下的人民币汇率决定——基于“8·11汇改”前后汇率运行特征的研究

The Determinants of RMB Exchange Rate under the Extended Taylor Rule:A Study Based on the Operating Characteristics of RMB Exchange Rate before and after the“8·11 Exchange Rate Reform”

“8·11汇改”是央行推进汇率市场化向浮动汇率制过渡的一次尝试。通过运用拓展型泰勒规则,构建TVP-SV-BVAR模型,对人民币汇率的核心影响因素进行分析,并以人民币各阶段汇率形成机制改革为节点,对比研究“8·11汇改”前后影响因素的变化,研究表明资本账户开放程度、汇率预期、通胀差额、利率差额与产出缺口差额对人民币汇率均产生显著的时变冲击效应。央行在制定宏观政策时,应注重影响因素之间的相互联动,合理安排资本账户的开放路径,有效引导市场预期,确保经济平稳高效发展。

The“8·11 exchange rate reform”is an attempt of the central bank to promote the marketization of exchange rate to transit into the floating exchange rate system.Through employing the extended Taylor rule and constructing a TVP-SV-BVAR model,this paper conducts an analysis of the core influencing factors of RMB exchange rate.Then it takes the reform of RMB exchange rate formation mechanism in various stages as the node to compare the changes of influencing factors before and after the“8·11 exchange rate reform”.The results show that capital account openness,exchange rate expectations,inflation differences,interest rate differences and output gap differences have significant time-varying impacts on RMB exchange rates.Therefore,when formulating macro policies,the central bank should pay attention to the interaction of the influencing factors,reasonably arrange the opening path of capital account,and effectively guide the market expectations,so as to ensure the stable and effective development of China’s economy.