中国经济基本面、央行干预与人民币汇率预期

China’s Economic Fundamentals,Foreign Exchange Intervention and Renminbi Exchange Rate Expectations

本文采用随机波动时变系数向量自回归模型考察中国宏观经济基本面与央行干预,对人民币汇率的市场整体预期和机构个体预期异质性的时变影响。结果表明,中国宏观经济基本面对汇率预期的影响相对有限,而央行干预冲击持续性更长,会显著强化汇率预期。在以外推或适应性预期参与者个体为主导的外汇市场,宏观经济基本面对个体预期异质性的影响不显著。央行干预则通过在市场释放维持汇率稳定的信号,使市场参与者统一形成单边预期,降低了预期异质性。未来中国应进一步增强汇率弹性,降低外汇市场干预,使人民币汇率波动反映更多宏观经济基本面信息。

This paper investigates the time-varying impact of macroeconomic fundamentals and foreign exchange intervention on the overall market expectation and individual expectation heterogeneity of the RMB exchange rate using a vector autoregression model of time-varying parameters with stochastic volatility(TVP-VAR-SV model).The results show that,China’s macroeconomic fundamentals have a relatively limited impact on exchange rate expectations,while the impulse response to central bank intervention shocks is of greater magnitude,volatility and persistence,significantly strengthening exchange rate expectations.Central bank intervention could enforce market exchange rate expectations regardless of the state of RMB exchange rate volatility.In the foreign exchange market,which is dominated by individual participants who adopt extrapolative or adaptive expectations,macroeconomic fundamentals have imperceptible effects on the heterogeneity of individual expectations.In order to stabilise exchange rate volatility,the central bank sends signals to the market through foreign exchange intervention to help its participants achieve conformity,thereby reducing the heterogeneity in expectations.In the future,China should further improve its exchange rate flexibility and reduce its foreign exchange intervention,especially in times of economic stability,so that RMB exchange rate volatility can reflect more information on economic fundamentals.