【作者】 张媛媛；

【导师】 谢赤；

【作者基本信息】 湖南大学 ， 管理科学与工程， 2008， 硕士

【摘要】 汇率稳定对国家的宏观经济运行至关重要。汇率频繁地、大幅度地波动会给国家的经济带来不利影响。在这种情况下,为了抵制汇率的短期变化趋势、将汇率引导至符合经济基本面的合理水平,中央银行对外汇市场进行干预。外汇市场干预分为冲销干预和非冲销干预。冲销干预的有效性是金融领域长期关注的问题。冲销干预通过资产组合平衡和信号预期两个渠道影响汇率。资产组合平衡渠道假定市场参与者将本国和外国资产看作是不完全替代的,风险厌恶的市场参与者由于在干预后持有次优的资产组合而要求补贴;信号预期渠道是中央银行通过冲销干预的方法来传递政策意图的信号,传达未来货币价值面信息,以此影响市场参与者的预期。本文在中央银行外汇干预和冲销操作的相关理论基础上,首先分析两种主要的冲销干预渠道及其优缺点。然后,从宏观视角出发分析资产组合渠道在中国市场的外汇冲销干预的有效性。再次,从市场交易的角度分析信号预期渠道的外汇冲销干预的有效性。该研究将微观因素——期货市场的订单流数据引入中央银行的宏观干预操作,考察中央银行在外汇市场上的冲销干预效果。本文主要研究外汇市场干预操作与货币政策改变之间是否存在相关性。具体以期货市场的投机净头寸数据作为预期的代理变量,因为净头寸的改变反映了市场参与者对公开以及私有信息的理解。同时使用GARCH时间序列模型,选择代表宏观因素的美联储联合干预条件下日元市场的干预量为研究对象,对期货市场与外汇市场冲销干预的有效性之间的关系进行分析。最后,本文针对实证研究的结论,根据中国实际情况,改进中国外汇冲销干预的效率,在借鉴国外冲销干预经验的基础上提出了相应的政策建议。更多还原

【Abstract】 The stabilization of exchange rate plays an important role in the macro-economy operation. The wave propagation gives the economy much harmful effects. Under the circumstance, in order to‘resist short-run trends’and‘seek to return exchange rates to fundamental values’, central bank put in place intervention operation. Intervention in foreign exchange market can be divided into sterilized intervention and un-sterilized intervention. It has always been one of the issues concerned by financial experts whether sterilized intervention is effective. Sterilized interventions may affect the exchange rate through two channels: portfolio balance and signaling channel. In the portfolio balance channel, domestic assets and foreign assets are assumed to be imperfectly substitutable. Risk-averse market participants need to be compensated for holding sub-optimal portfolios following the intervention. The signaling channel allows sterilized intervention to affect prices by conveying not only information on policy intentions, but also fundamental information about the future value of the currency.Beginning with the concept and theoretical basis of foreign exchange sterilized intervention, the thesis introduced two channels with the advantages and disadvantages. Then theory frame of the portfolio balance channel is discussed including the analysis of China’s central bank sterilized intervention, based on macro-background and specific operation. Next we investigate whether daily intervention operations are related to changes in expectations over the stance of future monetary policy, where expectations are proxied by speculative net position in the foreign exchange future market changes in net position reflect the actions of speculators. Intervention depends on how speculators had their positions in the past with a GARCH time-series model. Finally the last part is demonstration, for the sake of improving the efficient of China’s foreign exchange intervention, taking the international experience as reference. This thesis puts forwards to the policy suggestions directed at the existing problems.更多还原