摘要
基于利率平价理论,利用DCC-MVGARCH模型,分析了中间价管理对人民币在岸即期汇率和离岸即期汇率波动的影响。发现:中间价对即期汇率波动的影响存在阶段性特征,中间价波动一定程度上是央行政策意图的体现,而"8·11"中间价报价机制改革表明央行有意弱化这一途径;"8·11"中间价报价机制改革后,对在岸市场,中间价基准汇率地位得到保障,但对离岸市场而言,则没有显著改变。因此央行需完善舆论管理机制,对离岸人民币汇率的非理性波动及时通过窗口指导、政策喊话、媒体报道等渠道,引导投资者形成合理预期,稳定投资者情绪,以减轻人民币做空压力,维护汇率稳定;在离岸市场非理性波动剧烈,形成较大压力时,及时干预,以释放风险,维持汇率稳定等。
Based on the theory of interest rate parity, this study analyzes the influence of the middle price management on the onshore spot exchange rate and the offshore spot exchange rate fluctuation by using the DCC-MVGARCH model. The results show that there is a stage characteristic of the middle price relative to the spot exchange rate fluctuations. To some extent, the central price fluctuation is the embodiment of the central bank＇s policy intention, but ＂8.11＂ median price mechanism reform shows that central bank intends to weaken this way. After reform, in the onshore market, the central parity rate is guaranteed, but for offshore markets, there is no significant change. Corresponding recommendations： the central bank needs to improve public opinion management mechanism, guide investors to form a reasonable expectation, stable investor＇s sentiment; When the offshore market fluctuate, it should be timely intervened, so as to release the risk, maintain exchange rate stability.
出处
《金融理论探索》
2016年第1期46-53,共8页
Exploration of Financial Theory
关键词
利率平价理论
中间价
在岸即期汇率
离岸即期汇率
外汇干预
interest parity theory
middle price management
spot exchange rate
offshore spot exchange rate
foreign exchange intervention
