汇率波动下的汇率预期不确定性测度研究——基于潜在预期信息的视角

Measuring RMB Exchange Rate Expectation Uncertainty Based on Potential Expected Information

随着汇率市场化程度的提升,汇率波动的频率和幅度与经济主体的预期不确定性紧密相关。本文通过构建含已实现波动率的不可观测成分随机波动模型(UCSVRV),加入NDF市场中存在的潜在汇率预期信息,对人民币汇率预期不确定性进行测度并验证其有效性。结果发现:与传统GARCH模型测度的汇率预期不确定性相比,UCSV-RV模型所测度的汇率预期不确定性能够更加有效地反映市场对汇率预期产生的动态偏差。此外,人民币汇率预期不确定性能够较好地反映出汇率的顺周期变化趋势,且与经济政策和贸易政策不确定性密切相关。中央银行在使用逆周期因子调节汇率变化时,可关注汇率预期不确定性变化,以防范汇率预期不确定性急剧上升对经济的不利冲击、降低外汇市场风险。

With RMB exchange rate liberalization,the frequency and amplitude of exchange rate fluctuations are closely related to the expectation uncertainty of economic entities.In this paper,a stochastic volatility model with unobstructed components including realized volatility is constructed,and potential exchange rate expectation information existing in the NDF market is added to measure the expectation uncertainty of RMB exchange rate and verify its validity.The results show that compared with the RMB exchange rate expectation uncertainty measured by the traditional GARCH model,the expectation uncertainty measured by the UCSV-RV model can more effectively reflect the dynamic deviation of the market from the expected exchange rate.In addition,the RMB exchange rate expectation uncertainty can better reflect the trend of the pro-cyclical change of exchange rate,and is closely related to the uncertainty of economic and trade policies.When the central bank uses counter-cyclical factors to adjust the exchange rate changes,it should pay attention to the changes in the exchange rate expectation uncertainty,so as to prevent the adverse impact of the sharp rise in the exchange rate expectation uncertainty on the economy and reduce the risks in the foreign exchange market.