中央银行沟通管理跨境资本流动有效性研究:以异质性汇率预期为视角

Empirical Study on the Effectiveness of Central Bank Communication in Managing Cross border Capital Flows-from the Perspective of Guiding Heterogeneous Exchange Rate Expectations

基于中央银行沟通的市场预期管理措施是调控跨境资本流动的重要手段。结合中央银行沟通特点和人民币外汇市场上交易主体异质性特征,文章构建了在中央银行沟通影响下的外汇市场均衡模型,并利用时变参数法探讨不同形式和内容的中央银行沟通在不同时期通过引导异质性外汇交易主体汇率预期对跨境资本流动进行管理的有效性。研究结果表明:中央银行针对宏观基本面和汇率沟通的管理效果要优于针对利率的沟通;不同形式中央银行沟通的管理有效性与异质性外汇交易主体所占市场比率及外部环境密切相关;多项沟通内容同时实施所产生的交叉性效应在危机时期能够有效增强对跨境资本流动的调控。文章的研究结论为进一步完善跨境资本流动管理政策提供了重要参考。

Market expectation management measures based on central bank communication are an important means of regulating crossborder capital flows.Combining the characteristics of central bank communication and the heterogeneity of foreign exchange traders in the RMB foreign exchange market,this paper constructs a foreign exchange market equilibrium model under the influence of central bank communication,and uses the time-varying parameter method to explore the effectiveness of central bank communication in different forms and contents in managing cross-border capital flows by guiding the exchange rate expectations of heterogeneous foreign exchange traders in different periods.The research results indicate that management the effects of the central bank's communication on macro fundamentals and exchange rate is better than that on interest rate;the management effectiveness of different forms of central bank communication is closely related to the ratios of heterogeneous traders and the external environment;the cross cutting effect generated by the simultaneous implementation of multiple communication contents can effectively enhance the regulation of cross-border capital flows during crisis periods.This article provides important references for further improving cross-border capital flow management policies.