人民币外汇市场力与中央银行外汇市场干预：经验估计与比较分析.doc

投稿领域：国际经济学 人民币外汇市场压力与中央银行外汇市场干预：经验估计与比较分析 RMB Exchange Market Pressure and Central Bank Exchange Market Intervention: An Empirical Estimation and Comparative Analysis 刘晓辉 西南财经大学 中国金融研究中心（610074）人民币外汇市场压力与中央银行外汇市场干预 经验估计与比较分析 内容摘要：利用1999年1月-2008年4月的月度数据，本文在Weymark（1997）和Sachs（1996）等基础上，分别估计了模型依赖的和非模型依赖的人民币外汇市场压力指数和人民银行外汇市场干预指数。两种方法的结果都表明，人民币近十年来一直处于升值压力之中，并且这种压力在2005年后有进一步加强的趋势。但是，利用两种方法所估计的人民币外汇市场压力的大小和人民银行外汇市场干预程度却并不一致。在估计潜在货币危机方面，两种方法所得到的结论也不一致。利用非模型依赖的方法对我国潜在货币危机的研究表明，2005年以后，我国面临潜在危机的频率提高了，人民币面临过度的升值压力。因此，人民银行应更多地让汇率变化来吸收和化解人民币外汇市场压力，以避免潜在危机的冲击。 关 键 词：外汇市场压力；外汇市场干预；模型依赖；非模型依赖 RMB Exchange Market Pressure and Central Bank Exchange Market Intervention: An Empirical Estimation and Comparative Analysis Liu, Xiaohui Chinese Finance Research Institute Southwestern University of Finance Economics（610074）Zhang, Jing Finance Department Southwestern University of Finance Economics（610074）’s intervention index based on Weymark（1997）model-dependent approach and Sachs（1996）model-independent approach respectively. Both approaches show that RMB has been under the pressure of appreciation in the past decade and the pressure is to reinforce after 2005. However, the magnitudes of RMB exchange market pressure and intervention degrees of central bank derived by the two approaches differ from each other significantly. As far as the estimation of potential currency crisis is concerned, the two approaches are also incompatible. The estimation of potential currency crisis based on model-independent approach shows that China has been increasingly faced up with potential crises and RMB is in the excessive appreciation pressure. Therefore, in order to avoid shocks of potential crises, China’s central bank should, to a larger extent, allow RMB exchange rate changes to absorb or eliminate the pressure. Key Words: Exchange Market Pressure；Exchange Market Intervention；Model Dependent；Model Free JEL Classification: E58；F31；F41人民币外汇市场压力与中央银行外汇市场干预 经验估计与比较分析 引言 最近十年来，人民币面临很大的升值压力。我国中央银行（下文简称