中央银行的前瞻性指引有效吗——基于人民币汇率市场的实证检验

Is the Central Bank's Forward Guidance Effective?--Empirical Test based on RMB Exchange Rate Market

公开发布宏观经济前景的预测信息,并以此对未来的货币政策立场进行展望的前瞻性指引日益重要,它逐步成为中央银行新的货币政策工具。本文选取人民币在岸与离岸市场汇率数据,实证检验了中央银行前瞻性指引的有效性。研究发现:(1)中央银行的前瞻性指引可在合意方向上引导汇率,且平抑了汇率波动,总体上,前瞻性指引对在岸市场的效果弱于离岸市场;(2)在岸与离岸市场间存在双向的均值溢出和波动溢出效应,这进一步强化了前瞻性指引的效果;(3)不同货币政策取向的前瞻性指引在效果上具有显著差异,紧缩取向的前瞻性指引对在岸市场汇率的引导作用更强,而宽松取向的前瞻性指引在平抑汇率波动上更具优势。因此,将前瞻性指引纳入我国货币政策的工具箱,并增强其透明度和可信性,可丰富国内货币政策操作的组合菜单,进一步提升货币政策的效果。

Forward guidance,which publicly releases forecast information of macroeconomic prospects and uses this to look forward to the future monetary policy stance,has become increasing important and gradually becomes a new monetary policy tool of the central bank.This paper empirically tests the effectiveness of the central bank's forward guidance by using the data of RMB onshore and offshore market exchange rates.The study finds that:(1)the central bank's forward guidance can guide ex⁃change rates in a desirable direction and calm exchange rate fluctuations,in general,the effect of forward guidance on the on⁃shore market is weaker than the offshore market;(2)two-way mean spillover and volatility spillover effects exist between the on⁃shore and offshore markets,which further strengthens the effect of forward guidance;(3)there are significant differences in the ef⁃fect of forward guidance with different monetary policy orientations,the tightening oriented forward guidance has a stronger guid⁃ance effect on the exchange rate of onshore market,while the loose oriented forward guidance has more advantages in calming the exchange rate fluctuations.Therefore,integrating forward guidance into China′s monetary policy toolbox,enhancing its trans⁃parency and credibility can enrich the portfolio menu of domestic monetary policy operations and further enhance the effective⁃ness of monetary policy.