2005年中国汇率制度改革后外汇市场有效性与制度建设研究.pdfVIP

论文摘要 2005 年 7 月 21 日，中国人民银行于宣布我国开始实行以市场供求为基础、 参考一篮子货币进行调节、有管理的浮动汇率制度，人民币汇率不再盯住单一美 元，形成更富弹性的人民币汇率机制。此次汇率制度改革之后，我国外汇市场建 立了新的制度安排，取得了显著的成果，并对我国经济的发展起到了一定的促进 作用。 本文先总结了外汇市场有效性的相关内容，分析了外汇市场有效性的独特之 处，并结合中国外汇市场的特殊交易制度从理论上初步判断我国外汇市场是无效 的。接着，运用 2005 年汇率制度改革后的数据对我国外汇市场有效性进行了实 证检验，进一步证实了我国外汇市场无效的结论。然后，基于理论分析与实证检 验的结果，提出了我国外汇市场的微观无效其实是为实现我国宏观经济目标服务 的思考。最后，从保障我国宏观经济目标实现的角度，为我国外汇市场今后的制 度建设提出了一些政策建议。 关键词：2005 年中国汇率制度改革 外汇市场有效性 制度建设 Abstract The People’s Bank of China announced the RMB exchange rate mechanism reform programme on July, 2005: the RMB exchange rate is no longer pegged U.S. dollar, but the introduction of more flexible, based on market supply and demand, adjusting the reference to a basket of currencies, managed floating rate mechanism. After this reform, the Chinese exchange market has established new system and obtained notable fruit, as well as accelerated the Chinese economic to some extents. This thesis starts with consideration of the efficient foreign exchange market, and analyzes the feature of efficient foreign exchange market to form the preliminary estimation that the Chinese foreign exchange market is inefficient. And then the thesis tests efficiency of Chinese exchange market with the empirical data from the reform of year 2005 and confirms the formal analysis. Based on the theoretical analysis and empirical result, this thesis proposes that the micro-inefficiency of Chinese exchange market is a result of macro-economic objectives. Finally, the thesis proposes some political advice for further construction of Chinese exchange market. Key words: the Reform of Chinese Exchange Rate in 2005 Efficiency of Foreign Exchange Market Construction of Exchange System 目 录 引言1 第一章 对我国