【作者】 侯坤；

【导师】 杨胜刚；

【作者基本信息】 湖南大学 ， 金融学， 2007， 硕士

【摘要】 避免人民币汇率的大幅度波动对于保持我国经济的稳定运行至关重要。多年来,面对人民币巨大的升值压力,中国人民银行一直在进行冲销式干预以保持人民币汇率水平的稳定。外汇干预的程度和货币冲销的规模,以及这种冲销干预的效果如何,都是分析我国汇率干预行为的有效工具。但由于我国并不对外汇干预的相关指标进行公布,所以本文通过运用EMP指数来量化央行的汇率干预行为,并通过运用该指数来分析我国外汇冲销的效果。EMP指数是一种衡量货币超额供求的指标,而货币政策当局通过外汇市场干预而缓解的外汇市场压力则被用来度量货币政策当局的干预行为。通过建立模型即可计算出货币政策当局的外汇市场干预指数以及货币冲销规模。本文认为,可以通过验证EMP指数同货币冲销的内在关系来分析外汇冲销的效果。如果来自于货币冲销规模的冲击没有对EMP指数产生负的影响,则说明外汇冲销并没有给外汇干预带来影响;反之,则表明货币冲销阻碍了央行对汇率的干预。本文通过建立并估计模型,对1996至2006年我国的外汇干预行为进行了量化分析,认为中国人民银行在这一时期内对人民币汇率进行了很高程度的干预。并且,央行在国内货币市场上通过各种渠道大约冲销了60%的外汇占款。同时,本文还对2004至2006年我国外汇冲销的效果进行了分析,结论认为我国的外汇冲销行为实际上与人民银行入市干预的目的相矛盾,阻碍了经济体系的自动调节功能。最后,本文提出了减少冲销式干预对国内经济带来的影响,提高我国冲销干预的效力的四条对策:构建合理的国际收支结构,建立外汇平准基金,进一步改革外汇市场并完善我国的国债市场。更多还原

【Abstract】 Reducing the foreign exchange rate volatility is very important to achieve tolerable inflation and a desired economic growth for China. To react to RMB appreciation pressure, people’s bank of China has implemented sterilized intervention for several years. However, we have no idea of the degree of intervention, the scale of money steriliztion and the effect of sterilization which are efficiency tools to analyze offical intervention on the exchange market. However, our government does not publish the intervention dates.This paper quantificated the exchange rate intervention activity through using EMP index.EMP is an index to measure the excess demand for a currency and the part of which offset by the authority’s intervention is used to quatificate the intervention activity. Therefore, we can build a structure model to calculate the offical intervention index and the scale of money sterilization. And in this paper, we exam the effect of the sterilized intervention through analyzing the relation between the EMP and the money sterilization. If the money sterilization has no negative impact on EMP index, it is supposed that sterilize intervation is efficiency and vice versa. This paper analyze our country’s intervention activities from 1996 to 2006 through building and estimating the structure model,and figure out that the central bank conducted a high degree intervention and got a fixed exchange rate in this period. Besides, about 60% foreign exchange purchase was offset in the domestic monetary market. This paper also analze the sterilized intervention efficiency between 2004 to 2006, then get the conclusion that the intervention and the sterilization are inconsistent . At last, this paper bring forward four coutermeasures to reduce the negative impact of the sterilized intervention and improve the efficiency of sterilized intervention:construct a healthy balance of payments structure;set up the exchange buffer fund;perfect the exchange market and the government bond market.更多还原