论人民币汇率波动的"弹性

On the "Elasticity" of Volatility of Renminbi Exchange Rate

冲击对汇市波动产生的影响持续有多长,可以知道汇市的弹性的强弱。本文通过自回归条件异方差(ARCH)模型证明了亚洲金融危机后中国汇市在干预下的弹性。中央银行出于多种原因还在频繁地进入汇市。可以说中国干预外汇市场是成功的,但是这不能一直照搬下去。政府与企业的角色要换位。要逐步让企业承担汇市波动的风险。企业要"走出去"以获得更多的信息。这样企业在汇市上的运作才能消化冲击,促使汇市趋于平稳。

The strength of the elasticity of the exchange market can be told by the duration of the effect of shock to the volatility in the exchange market. This paper proves the elasticity of China's exchange market under interference after the Asian financial crisis by adopting Autoregressive Conditional Heteroscedasticity (ARCH) model. The central bank has kept intervening in the exchange market frequently for various reasons. Although the intervention has been very successful up to now, it cannot be practised forever. The role of the government and home enterprises has to be changed. The enterprises are gradually to undertake the risks of volatility in the exchange market. The enterprises should go to the international market to have access to more information so as to cover and minimize the shocks in the operation in the foreign exchange market and to ensure a stable exchange market.