中央银行汇率预期管理有效吗？
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| Title | Does the Central Bank Management of the Exchange Rate Expectations really Work?
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| 作者 | 刘澜飚 刘永余 王博 |
| Author | Liu Lanbiao, Liu Yongyu and Wang Bo |
| 作者单位 | 南开大学经济学院 |
| Organization | Nankai University |
| 作者Email | liulanbiao@nankai.edu.cn，nkyongyu@hotmail.com，nkwangbo@nankai.edu.cn |
| 中文关键词 | 前瞻指引 央行直接干预 套利预期 时变平滑转换模型 |
| Key Words | Forward Guidance; Central Bank Intervention; Arbitrage Expectation; TV-STR |
| 内容提要 | 本文通过选取2006年10月到2014年3月期间Consensus Forecast人民币汇率预期数据，采用门槛模型和时变平滑转换模型，探究中央银行“前瞻指引”策略和直接干预措施对于汇率预期的管理作用及其影响机制。结果表明，2008年8月和2012年4月中央银行“前瞻指引”策略的变更，使得人民币汇率预期机制发生了两次显著的结构性调整，央行直接干预措施对于汇率预期的影响机制也随之改变。其中，外汇干预对于技术预期和套利预期的抑制作用越来越显著，对于回归预期的影响则在2012年4月左右由促进作用转为削弱作用。资本管制对于套利预期具有显著抑制作用，对于回归预期和技术预期则在2008年8月之后开始具有正向影响，影响力度取决于当期汇率失调程度。 |
| Abstract | Based on the RMB Consensus Forecast Data from October 2006 to March 2014, we use the threshold model and the TV-STR model, to explore the impact of central bank forward guidance strategy and direct interventions. The results showed that, in August 2008 and April 2012, the modification of central bank’s forward guidance about RMB exchange rate are expected to make the RMB exchange rate mechanism experience significant structural adjustment. The FX intervention can actually weaken the technical expectation and arbitrage expectation, and the influence is becoming more and more obvious in recent years. Before April 2012, the FX intervention is supposed to have a catalytic role for the regression expectation, after which it is the opposite. Capital control can significantly impair the role of arbitrage expectation, and exert a positive effect on the technical expectation and regression expectation after August 2008, and the effect depends on the extent of current exchange rate misalignment. |
| 文章编号 | WP875 |
| 登载时间 | 2015-05-19 |
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