央行政策对汇率稳定的非线性调控效果——来自中国、日本和英国的证据

The Nonlinear Control Effect of Central Bank Policies on Foreign Exchange Rate Stabilization——Evidence from China,Japan,and the United Kingdom

如何有效调控汇率稳定是推动高质量发展和高水平对外开放的重要现实议题之一。本文构建了包含央行汇率稳定政策的内生理论模型,并基于时变参数结构向量自回归模型(TVP-SVAR),采用1985—2021年我国、日本和英国的季度数据集,检验了价格型货币政策、数量型货币政策和外汇干预三类央行政策对汇率的非线性影响效应和传导效率,得出如下结论:(1)我国货币政策对宏观经济的整体调控效果优于日本和英国,且数量型货币政策优于价格型货币政策;(2)与其他国家不同,我国价格型货币政策对本国汇率的平均调控效果优于数量型货币政策,体现出稳定的逆向调控作用;(3)外汇干预与货币政策协调,能够有效维护人民币汇率稳定,但其调控效果具有短期性和“靶向性”。基于此,本文进一步从优化货币政策调控机制、加强外汇干预的定向性和时机选择、制定长期战略规划等方面提出了政策建议,旨在为有效调控汇率,防范化解重大风险提供政策启示。

How to effectively regulate and stabilize the exchange rate is an important practical issue promoting high-quality development and high-level opening-up.This paper constructs an endogenous theoretical model including the central bank's exchange rate stabilization policies.Based on the time-varying parameter structural vector autoregressive model(TVP-SVAR),this paper tests the nonlinear effects and transmission efficiency of price-based monetary policy,quantity-based monetary policy,and foreign exchange intervention on the exchange rate using quarterly data sets from China,Japan,and the United Kingdom from 1985 to 2021.The following conclusions are drawn:(1)The overall regulatory effect of China's monetary policy on the macro economy is better than that of Japan and the UK,and quantity-based monetary policy is superior to price-based monetary policy;(2)Different from other countries,the average regulatory effect of China's price-based monetary policy on its exchange rate is better than quantity-based monetary policy,showing a stable reverse regulatory effect;(3)Coordination between foreign exchange intervention and monetary policy can effectively maintain the stability of the RMB exchange rate,but its regulatory effect is short-term and"targeted",Based on this,this paper further proposes policy suggestions from optimizing the monetary policy regulatory mechanism,strengthening the directionality and timing selection of foreign exchange intervention,and developing long-term strategic planning to provide policy insights for effectively regulating the exchange rate and preventing and mitigating major risks.