统计研究

本文基于开放经济框架构建了包含央行外汇干预、投资者情绪与汇率变动的内生动态系统,从理论层面阐述了三者传导的微观机制。理论分析表明,央行外汇干预、投资者情绪与汇率变动之间存在非线性的内生联动效应。为刻画这一效应,本文选取TVP-SV-BVAR模型分别从全局性及多重情景进行实证分析,研究发现:央行外汇干预能够在短期内起到稳定人民币汇率的作用,但在长期会加剧汇率波动。同时,央行外汇干预短期内会加剧投资者情绪波动而使得干预效果减弱,但在长期投资者情绪对汇率的影响不明显。鉴于央行外汇干预对汇率稳定的有效性逐渐下降,且投资者情绪对汇率的冲击易受非预期外部环境的影响。因此,随着人民币汇率形成机制的不断完善,如何在审慎、适当的外汇干预中保持投资者情绪稳定,进而实现人民币汇率在合理均衡的区间内波动应成为制定货币政策时需要考虑的一项重要内容。

This paper constructs an endogenous dynamic system including central bank intervention, investor sentiment and exchange rate fluctuation under the open economic framework, and illustrates the micro-transmission mechanisms among the three variables from the theoretical perspective. The theoretical analysis shows that there is non-linear endogenous relationship among foreign exchange intervention, investor sentiment and exchange rate fluctuation. In order to measure the endogenous effects among our concerned variables, we apply TVP-SV-BVAR model to undertake empirical analysis from a global and from multiple scenarios, respectively. We find that the foreign exchange intervention can stabilize the RMB exchange rate in the short term, but will aggravate the fluctuation of exchange rate in the long run. At the same time, the central bank foreign exchange intervention can increase the volatilities of investor sentiment, and thus may weaken the intervention effectiveness in the short term. Note that the direct impact of investor sentiment on the exchange rate is not obvious in the long run. Generally, the effectiveness of central bank foreign exchange intervention on exchange rate stabilization is gradually declining, and the impacts of investor sentiment on exchange rates will easily be affected by externally unexpected factors. In view of this, with the improvement of the RMB exchange rate formation mechanism, monetary authority should seriously consider how to guide investor sentiment and further achieve its stability and thus to keep exchange rate fluctuating within a reasonable and balanced range by implementing prudential and appropriate foreign exchange interventions.