【作者】 周维；

【导师】 白晓燕；

【作者基本信息】 武汉大学 ， 金融学， 2017， 硕士

【摘要】 新兴经济体外汇市场干预普遍频繁且不透明,因此受到外界格外的关注。中国长期奉行出口导向型发展战略,外界普遍认为中国货币当局在外汇市场上通过购入外汇来抑制本币升值,从而促进出口。同时,美国财政部在每年两次向国会提交的《国际经济和汇率政策报告》中也多次将中国认定为“汇率操纵国”、声称人民币被低估或列入“汇率操纵国监测名单”。这些均表明,中国央行从未放弃外汇市场干预行动。自2005年7月人民币汇率形成机制改革以来,人民币对美元汇率先后经历了小幅渐进升值、大幅升值、重新盯住美元、小幅渐进升值、小幅贬值、大幅贬值等阶段,在不同阶段我国央行外汇市场干预可能存在非对称性,且随着人民币汇率市场化机制改革的深入,这种非对称性以及背后隐含的货币当局汇率管理理念的变化非常值得关注。此外,外汇储备是央行实施外汇市场干预的物质基础,央行外汇市场干预会引起外汇储备的增减。因此,本文研究我国外汇市场干预的非对称以及与我国外汇储备积累的关系,进而探究我国央行的干预偏好、干预规则以及干预目标,并据此提出汇率管理和外汇市场干预的政策建议。本文首先对上世纪九十年代以来新兴经济体及我国外汇市场非对称干预的相关文献进行了梳理,通过文献梳理发现在本币升值周期下,包括我国在内的新兴经济体国家的外汇市场干预均存在非对称性,但在本币贬值周期下缺乏相关主题研究且对货币当局非对称性干预的原因缺乏解释。同时,央行干预外汇市场稳定汇率时会受到本国外汇储备规模的制约,在本币升值时汇率稳定和外汇储备积累的冲突较小,而在本币贬值时二者的矛盾加剧。然后,在构建我国货币当局外汇市场干预非对称损失函数的理论基础上,本文运用广义矩估计方法、状态空间模型和卡尔曼滤波等方法,对自2005年8月以来我国央行外汇市场干预的非对称偏好和央行损失函数中汇率的相对权重进行了估计及分析。实证分析结果表明,我国央行的外汇市场干预存在非对称性但干预的强度在不断减弱,人民币汇率市场化的程度在提高;美国当局的货币政策和美元走势对我国央行的外汇市场干预具有外溢效应,我国央行的外汇市场干预可以理解为美元主导的国际货币体系下的一种防御性汇率管理策略;随着我国外汇储备的急剧下降,以外汇储备规模的“空间”换取人民币汇率机制改革的“时间”的做法难以持续,保持合理的外汇储备规模迫在眉睫。更多还原

【Abstract】 Foreign exchange market intervention is so continual and opaque among emerging economies that it is becoming a burning issue.As china has pursued export-oriented strategy consistently,it was widely believed that the Chinese monetary authority has conducted foreign exchange market intervention against RMB appreciation to promote exports.At the same time,《Report to Congress on International Economic and Exchange Rate Policies》publicized by the US Treasury Department twice a year has repeatedly identified China as "currency manipulator"、claimed that the renminbi is undervalued and or be included on the monitoring list.All these have shown that the PBOC(People’s Bank Of China)has never given up foreign exchange market intervention.Since the reform of RMB exchange rate mechanism formation in July 2005,the exchange rate of RMB against the US dollar has experienced the appreciation、re-pegging of the US dollar、appreciation again and depreciation.At different stages,foreign exchange market intervention conducted by the PBOC may be asymmetric.As the reform of RMB exchange rate marketization is deepening,the variation of asymmetry and the exchange rate management philosophy of the PBOC deserve more attentions.In addition,the foreign exchange reserves are material basis for central bank intervention,foreign exchange market intervention conducted by the PBOC would make foreign exchange reserves increase or decrease.Therefore,this paper aims to study the asymmetry of foreign exchange market intervention and the relationship with the accumulation of foreign exchange reserves in China,and then explore the central bank’s intervention preferences.intervention rules and intervention objectives,and accordingly make reasonable suggestions on exchange rate policies.Firstly,this paper combs the literatures of asymmetric foreign exchange market intervention in both emerging economies and China since the 1990s.And we find out that during the currency appreciation period,the emerging market economies included China,have conducted foreign exchange market intervention.However,there are lack of related literatures under the currency appreciation period.Recently,with the decline of China’s foreign exchange reserves,many scholars believe that China should maintain a reasonable level of foreign exchange reserves and avoid excessive intervention in the foreign exchange market at the same time.Secondly,based on the asymmetric loss function of the PBOC,this paper estimates the loss function of the PBOC since August 2005 by Generalized Method of Moments,State Space Model and Kalman Filter.And then this paper analyze the asymmetric Preference and relative weight of exchange rate in the PBOC’s loss function.The empirical analysis show that the PBOC has conducted asymmetric foreign exchange market intervention,but the intensity of the intervention is weakening with the marketization of RMB exchange rate increases.The tendency of USD and monetary policies of the US authorities have spillover effects on the PBOC’s foreign exchange market intervention,and foreign exchange market intervention conducted by the PBOC serves as a defensive exchange rate management philosophy in the dollar-dominated international monetary system.With the sharp decline of foreign exchange reserves,it is the time to maintain reasonable scale of foreign exchange reserves.更多还原