全球金融冲击下中国央行的外汇市场调节与汇率预期

Foreign Exchange Market Adjustment and Exchange Rate Expectation of China’s Central Bank under the Impact of Global Financial Shock

基于2010年6月至2017年12月的月度数据,使用SVAR模型考察全球金融冲击、中国央行的外汇市场调节与人民币汇率和汇率预期之间的动态关系,研究发现:全球金融冲击可以通过资本流动渠道影响人民币名义汇率以及外汇市场参与者对人民币的汇率预期,相较而言对汇率预期的影响力度更大。全球金融风险上升(下降)会使外汇市场参与者形成人民币贬值(升值)预期;央行的外汇市场调节决策受到人民币汇率和汇率预期的影响,具有"逆风向调节"的特征;央行的外汇市场调节至少在短期内是有效的,不仅可以稳定汇率,也可以引导汇率预期朝着央行期望的方向变化。

Based on the monthly data from June 2010 to December 2017, this study examines the dynamic relationships among the global financial shock, foreign exchange market adjustment of People’s Bank of China, RMB exchange rate and the expectation of the exchange rate by using the SVAR model. The paper finds that global financial shock does have influence on RMB nominal exchange rate and exchange rate expectation through the capital flow channel, with stronger impact on exchange rate expectation. An increase(decrease) of global financial risk will cause foreign exchange market participants to form expectations of RMB depreciation(appreciation). Both the exchange rate and the exchange rate expectation have influence on the central bank’s adjustment decision of foreign exchange market, with the feature of "leaning against the wind". The foreign exchange adjustment of the central bank is effective at least in the short-term, which can not only stabilize exchange rate but also direct foreign exchange expectation to move in the direction expected by the central bank.