【摘要】 本文在构建央行外汇干预政策反应函数基础上,利用可变参数状态空间模型针对市场预期引起的中央银行外汇干预变动进行了实证分析。结果表明:中央银行外汇干预政策在国际金融危机前后对于市场预期的反应有很大的不同。在2008年9月之前,中央银行对于外汇市场上人民币升值或贬值市场预期的干预反应不是很敏感;而在2008年10月之后,市场预期对中央银行外汇干预产生了越来越大的影响。更多还原

【Abstract】 On the basis o f constructing the policy response function of the central bank’s foreign exchange intervention,the article uses variable parameter state space model to empirically study the change in foreign exchange intervention of central bank caused by market expectation.The results show that the response of central bank’s foreign exchange intervention policy to market expectation is different before and after the international financial crisis.Before September 2008,central bank’s intervention policy was not very sensitive to the market expectation of RMB appreciation or depreciation;while market expectation has much more influence on central bank’s foreign exchange intervention after October 2008.更多还原