【作者】 张新；

【导师】 唐吉平；

【作者基本信息】 浙江大学 ， 金融， 2020， 硕士

【摘要】 货币汇率是影响一国经济发展的重要指标,涉及国民经济方方面面。随着中国经济实力显著增强,人民币国际化进程不断加速,人民币世界地位逐步提升。在中国改革开放向“深水区”前进的背景下,人民币汇率制度也在沿着汇率市场化的方向不断前行,由单一盯住美元浮动到盯住”一篮子”货币,人民币汇率的市场生成机制越发灵活,与之相应的人民币汇率预期机制也在不断变革。人民币汇率的重要性更加显现,因此研究人民币汇率预期机制,对于防控汇率风险、优化资源配置、维护金融稳定,丰富人民币预期机制相关理论,促进货币制度改革与人民币国际化具有重要意义。另外,人民币汇率长期以来被认为是非市场化的,而包括C-F模型在内的汇率预期理论都是基于市场化汇率的研究理论,如果基于C-F模型等市场化的理论开展人民币汇率预期机制研究,并得出相关结论、发现相关规律,那么也就从一个侧面证明了人民币汇率的市场化程度在逐步提升,我国的货币改革效果开始显现,这也是意义之一。本文通过对预期函数概念的拓展,讨论汇率预期的内涵、形式及其特性,并基于C-F模型对人民币汇率预期生成机制进行实证检验,使用代理变量(NDF)和基于调查数据的直接汇率预期数据的实证结果表明:现行人民币汇率(兑美元)预期可以被基本面因素和市场因素解释;预期效果与预期时长(时距)负相关;外推式预期形式的适用性源于人民币汇率制度变革的特定周期,基于状态空间模型的动态分析表明,随着人民币汇率市场化程度地提高,基本面因素对汇率预期的解释力加强。此外,基于预期函数概念可以将预期性质、预期形式和预期特性纳入一个统一的分析框架,方便这一问题的讨论。更多还原

【Abstract】 Currency exchange rate is an important indicator that affects a country’s economic development and involves all aspects of the national economy.As the comprehensive strength of China’s economy is increasing,the process of RMB internationalization continues to deepen,and the world position of the RMB is gradually improving.The importance of the RMB exchange rate becomes more apparent.Therefore,studying the RMB exchange rate expectation mechanism is of great significance for preventing and controlling exchange rate risks,optimizing resource allocation,maintaining financial stability,enriching the theory of the RMB expectation mechanism,and promoting currency system reform and RMB internationalization.In addition,the RMB exchange rate has long been considered to be non-market-oriented,and the exchange rate expectation theory including the CF model is based on the market-based exchange rate research theory.Drawing relevant conclusions and discovering related laws proves from one side that the marketization degree of the RMB exchange rate is gradually increasing,and the effect of China’s currency reform is beginning to show,which is also one of the meanings.By the expansion of the concept of expectation function,this article discusses the connotation of the exchange rate expectations,forms and characteristics,and tests the RMB exchange rate expectations.The empirical results which based on the proxy variables(NDF)and the investigation data on the exchange rate shows that the direct exchange rate of RMB exchange rate against the dollar is expected to be explained by fundamental factors and market factors;The expected effect is negatively correlated with the expected duration(time interval).Extrapolation type expected the applicability of the form is the result of the RMB exchange rate regime change certain cycle,based on state space model of the dynamic analysis shows that with the improvement of marketization of RMB exchange rate,the fundamentals of explanatory power to reduce exchange rate expectations.In addition,based on the concept of expected function,the expected nature,expected form and expected features can be incorporated into a unified analytical framework to facilitate the discussion of this issue.更多还原