外汇宏观审慎工具能够管理人民币汇率预期吗?——基于TVP-SV-VAR模型的经验检验

Can FX-Related Macroprudential Tools Manage RMB Exchange Rate Expectations?--Empirical Evidence from TVP-SV-VAR Model

本文将外汇宏观审慎工具纳入汇率预期管理的研究框架,剖析了宏观审慎工具基于交易、信号及投资者情绪渠道影响外汇市场微观主体交易行为及市场预期的理论机制,并应用TVP-SV-VAR模型实证检验了外汇存款准备金率、外汇风险准备金率及逆周期因子在2015年1月—2022年6月期间影响人民币汇率预期的作用路径及政策效果。结果表明:外汇存款准备金率和外汇风险准备金率对汇率预期起到了合意的政策效果,而逆周期因子主要在2020年6月以前发挥作用。外汇存款准备金率通过交易、信号和投资者情绪渠道进行政策传导,而外汇风险准备金率通过交易和信号渠道进行政策传导,逆周期因子通过交易渠道进行政策传导。

With the increasing marketization of the RMB exchange rate formation mechanism,the expectations of microagents play a crucial role in pricing the RMB exchange rate.These expectations are closely linked to the stability of the FX market and the overall macro-financial system in China,given the procyclical effects on cross-border capital flows,asset prices and liquidity.Consequently,managing exchange rate expectations has become a key concern for the central bank.Simultaneously,the central bank has gradually implemented FX-related macroprudential tools to manage the FX market and has achieved some policy objectives.This paper aims to investigate the effectiveness and transmission mechanism of FX-related macroprudential policy tools on RMB exchange rate expectations by integrating them into the research framework of exchange rate expectation management.This paper presents a theoretical hypothesis on the policy functional mechanisms and effects of FX-related macroprudential tools.It examines how these tools influence the transaction behavior of micro agents and shape exchange rate expectations in the FX market through transaction,signal and investor sentiment channels.To empirically test the policy transmission paths and effects of three specific FX-related macroprudential tools(reserve requirement ratio for foreign currency deposits and risks,and countercyclical factor,abbreviatecl as RRFD,RRFR and CCF)on exchange rate expectations,a TVP-SV-VAR model is employed using data from January 2015 to June 2022.The results indicate that RRFD and RRFR have desirable effects on exchange rate expectations,while CCF is primarily effective before June 2020.Additionally,RRFD transmits through transaction,signal and investor sentiment channels,RRFR through transaction and signal channels,and CCF solely through the transaction channel.This paper contributes to the ongoing research on the implementation of macroprudential policy tools in the FX market.Building on the previous findings,several suggestions are proposed.Given the persistent impact of rising uncertainties on the FX market,the People's Bank of China(PBC)should proactively and promptly utilize FX-related macroprudential policy tools while optimizing the transmission channels to stabilize expectations.Additionally,the PBC could consider integrating FXrelated macroprudential tools with other policy instruments,such as exchange rate communication and the issuance of offshore central bank bills,to maximize the effectiveness of policies.