开放环境下央行外汇市场干预行为分析

【作者】 詹旭；

【导师】 谢鲁江；

【作者基本信息】 中共中央党校 ， 政治经济学， 2014， 博士

【摘要】 1973年，布雷顿森林体系解体以来，世界经济一体化加速，汇率波动加剧，各国的外汇市场干预行为同布雷顿森林体系时期相比不断发生变化。在日益开放的环境下，无论选择何种汇率制度，各国央行都会或多或少地运用外汇市场干预手段，力图稳定名义汇率或使汇率变化符合政府的意图。目前，我国的外汇市场干预以直接干预方式为主，具有长期、高频的特点，以维护人民币对美元名义汇率基本稳定为目标，保证出口企业的竞争力，保护就业，推动经济增长。我国的外汇市场干预取得了一定效果，也产生了一系列问题。如何趋利避害，改善开放环境下我国央行外汇市场干预行为已成为具有实践意义和理论内涵的研究课题。本文研究的主要对象是我国央行外汇市场的干预行为，主要目的是解决我国外汇市场干预行为不当的问题。本文在论证中进一步明确外汇市场干预的短期目标和长期目标，丰富外汇市场干预的手段，通过各项宏观改革措施为外汇市场干预行为改进提供更优的环境，完善外汇市场机制，构建指导外汇市场干预行为的信息响应机制，提高我国央行外汇市场干预行为的科学性和合理性。从我国的情况出发，论文形成了对外汇市场干预行为的分析框架，再结合国际外汇干预的具体案例对分析框架进行了验证。本文共分为十二章，四大部分。第一部分为一、二章，首先说明了研究对象是我国外汇市场干预行为，提出了影响外汇干预行为的主要因素，论文对研究对象的分析是从这些影响因素出发和展开的；其次，介绍了后续分析所需的相关理论。第一章为绪论，主要是确定研究对象，明确影响干预行为的主要因素，简述各章节内容，并说明研究的现实意义。第二章是对相关研究和理论的介绍，包括：开放环境下外汇干预的相关文献综述；对央行冲销和非冲销的直接干预方式进行比较；说明“米德冲突”、“三元悖论”、“蒙代尔-弗莱明模型”等理论，以及它们如何用于解读央行外汇市场干预；通过“托宾税”理论强调央行实施间接干预的正当性；借鉴国际收支风险预警理论的相关思路，以此为基础建立央行外汇市场干预的信息响应机制。第二部分为三、四、五章，主要介绍我国外汇市场干预的历史背景和现实市场环境，说明我国央行外汇市场干预的现状具有历史的必然性，由于干预行为不当已经带来了一系列问题。第三章介绍我国逐步开放的外汇市场环境，包括银行间外汇市场形成和发展的历史以及海外人民币离岸市场出现和发展现状。外汇市场机制和开放程度的变化影响了央行外汇市场干预的行为。第四章介绍我国经济对外开放的进程以及银行结售汇制度，说明我国央行实行外汇市场干预具有历史和经济两方面的必然性，而后论述央行外汇市场干预行为的演进历程。第五章着重论述开放环境下，我国现有的央行干预方式带来的一系列经济问题。央行为了保证出口企业的竞争力，减轻内部就业压力，采用高频、直接的干预汇率方式。干预的结果是积累了大量的外汇储备，带来了通货膨胀压力。干预已经开始阻碍内部经济结构调整，影响了经济增长的质量，与外汇市场干预的初衷相悖。第三部分包括六、七、八、九、十章，是论文的核心部分，建立了提升外汇市场干预行为合理性的分析框架。首先，界定了央行干预行为的合理性标准，而后，从该标准出发，明确了央行外汇市场干预的目标，通过完善我国的干预手段和相关经济改革，提升央行外汇干预行为的合理性。在第三部分，论文还通过预警理论探索建立外汇干预的信息响应机制，通过该机制规范央行的干预行为。第六章是从宏微观审慎监管的需求和外汇市场无效论出发，界定了央行外汇市场干预的合理性。从理论方面论证，央行外汇市场干预是弥补市场失灵的需要，是防范金融风险的手段。推动经济均衡发展和化解金融体系风险形成了央行外汇市场干预行为合理性的边界。第七章为央行外汇干预目标体系建设，指出从央行干预合理性出发，为了解决央行干预行为不当所产生的经济问题，我国央行干预目标要作出调整。我国央行实施各项政策的最终目的是为了建立社会主义市场经济制度，使人民币成为独立的国际货币，摆脱美元等“名义锚”的束缚。因此，央行的干预目标需要从关注经济增长向缓和通货膨胀压力、防范金融和经济风险、推动市场化改革等方向转变。该章论证央行干预的短期目标是保持实际有效汇率相对稳定，熨平市场波动，防范风险；长期目标是为了实现经济内外均衡，达到均衡汇率水平，推动货币独立。第八章完善了央行外汇市场干预的直接和间接手段。外汇市场干预从类型看，可以分为直接干预和间接干预。这两种干预方式各有用途和特点。目前，我国对两种干预方式都有运用。文中强调我国直接干预的冲销手段需要完善。我国央行使用的间接干预手段主要是对跨境资金流动进行管理。本章利用蒙代尔-弗莱明模型和“三元悖论”理论说明，跨境资金管理作为重要的间接手段对于央行直接干预具有关键的辅助作用。现行的跨境资金管理手段需要改进，但对跨境资金流动不能完全放任不管。为了保留跨境资金管理的有效性，央行需要渐进、有序地开放资本项目。第九章介绍了提高央行干预行为合理性的配套改革措施。本章主要说明内部经济结构调整、外汇市场建设等因素有助于提升央行外汇干预行为的合理性，有助于实现央行的干预目标。调整内部经济结构可以缓解央行实施直接干预所面临的外汇供求不平衡的压力。而国内外汇市场的发展，应以我为主，保留中国特色的同时向国际市场规范靠拢，以便于央行干预弥补市场失灵。本章还提出，汇率形成机制改革的目标是要逐步确定人民币的国际货币地位，这同央行干预的长期目标是一致的。汇率形成机制改革与央行外汇市场干预相互影响，又相互促进。第十章提出了外汇市场干预的信息响应机制。它是受到国际收支风险预警思路启发而进行的大胆尝试。央行通过信息响应机制，提升开放环境下外汇干预的及时性和科学性。首先，央行构建与外汇市场最贴近的同步指数和指标，并结合中国经济的实际情况将月度银行结售汇差额变化作为央行改变行为的重要依据，央行干预力度随结售汇差额变化而变化；其次，观察是否存在先导性指标可以提高央行干预的前瞻性；而后，按照简单、易得、重要等原则建立市场主体调查统计体系作为信息响应机制的补充部分，将其作为央行调整干预行为的重要参考。第四部分包括第十一、十二两章，通过对美国、日本、泰国和香港在不同时期干预行为的比较，验证第三部分形成的央行干预行为分析框架，并根据分析框架推断这些经济体干预行为的合理性。文章的最后一章对论文的不足之处以及进一步研究的方向进行了说明。第十一章描述开放环境下国际外汇市场干预的行为，并通过第三部分的分析框架评价其得失。本章选择了美国、日本、泰国和香港的干预案例。从干预目标、手段、配套政策、市场环境等角度观察四个经济体的干预情况。美、日是大国经济的代表，他们的对外开放过程代表了世界经济开放的进程。在全球经济一体化的过程中，两国央行的干预行为不断变化。从目标看，美、日的干预目标接近，但行为却不完全一致。在开放环境下，美国的干预关注内部均衡和美元的国际地位，一直在调整其干预行为，并实现了美元独立的目标。日本以贸易立国，其干预中带有“重商主义”色彩，往往以汇率贬值为杠杆推动出口发展，但央行的政策目标又致力于推动日元的国际化，存在目标和行为上的矛盾。选取泰国和香港的案例，主要是观察两个经济体在1998年东南亚金融危机期间的干预行为。他们的干预是为了应对投机资本的冲击，维护汇率制度。在开放环境下，两者都实行对美元钉住的汇率制度。在金融危机期间，香港的干预手段完备，市场体系运行良好，行为相对合理，达到了稳定汇率的目的，而泰国的情形则相反，外汇市场干预没能实现央行的目的。第十二章是对前面分析的梳理和对研究的总结，论述了文章存在的不足，并提出进一步深入研究的方向。本文分析一直围绕着影响央行干预行为的三个主要因素层层展开，形成了改进央行外汇市场干预行为的步骤。三个影响因素包括：央行干预的目标，干预的市场环境和所采用的汇率制度。从这三个因素出发，文章首先根据行为合理性标准的界定，调整我国央行外汇市场干预的目标，从原先推动出口和刺激经济增长向防范金融风险、维护市场合理秩序、促进经济内外均衡方向改进。其次，稳步推进外汇市场建设和汇率形成机制改革，在全面改革中发挥央行外汇市场干预的作用，并根据干预的目标适时调整干预行为。第三，减少央行的高频直接干预，完善间接干预手段，形成全方位跨境资金管理监测体系和信息响应体系，合理引导外汇市场预期，充分发挥央行外汇干预对推进经济均衡，实现货币独立的积极作用。更多还原

【Abstract】 Since the Bretton Woods System collapsed in1973, foreign exchange rate hasfluctuated more violently and frequently and the globalization has been accelerated.The foreign exchange intervention to stabilize the exchange rate has become a criticaleconomic policy. At present, whatever the exchange rate regime is implemented by astate, the central bank would operate the foreign exchange intervention more or less.A state attempts to keep the foreign exchange rate stable or obtain the goals thegovernment expects.The foreign exchange intervention in China is not a temporary policy and hasbeen normalized. The direct intervention is the main method applied by the centralbank. The central bank purchases and sells the foreign exchange in the market to pegthe nominal exchange rate to the USD. The behavior of the central bank tries to keepthe competition of the exports and maintain the growth of the economy. Theintervention policy has been effective but raised some problems. It is significant tochange the behavior of the intervention to get the benefit and avoid the negativeeffects. The research of the intervention has become a topic not only concerned withthe practical situations but with the theoretical exploration.This study is mainly focus on the foreign exchange intervention in China. Thepurpose of the study is to solve the problem raised by the intervention. The studyconstructs the goals of the intervention in short run and long run. The improvement ofthe intervention methods is also considered. In this study the macro-economic policiesand infrastructure is exhibited as a base to promote the rationality of the intervention.In addition of the development of the foreign exchange market, the construction of theinformation responding mechanism would play a key role to enhance the intervention.The whole paper is divided into4sectionsThe first section covers Chapter One and Two. Main contents include the objectof the research and the principal factors that influence the intervention. The analysis isexpanded from these factors. In this section, the theoretical framework is introducedeither.Chapter One is the introduction. It presents the object of the research and definesthe main factors, which would affect the behavior of the intervention. In this chapter, the structure and the importance of the paper are described in brief.Chapter Two illustrates the theoretical framework. The first part is the relevantresearch of the intervention. Afterwards there is the comparison of the sterilizedintervention and the non-sterilized intervention. This chapter introduces MeadeConflict, the Impossible Trinity, the Mundell-Fleming Model and the Tobin Tax.These theories explain the operation of the direct intervention and indirectintervention. The last part is about the research achievement of the early-warningsystem to forecast the risk of Balance of Payments. The early-warning systemenlightens to set up the information responding mechanism to assist the intervention.Section two includes Chapter Three, Four and Five. This section presents thebackground of the research and the situation of the open market. The current state ofthe intervention in China is proved to be inevitable and has caused some seriousproblems.Chapter Three displays the history of the foreign exchange market in China andthe current situation of the offshore market of RMB. The formation and developmentof these two markets would affect the intervention.Chapter Four demonstrates the process of the open-up of economy in China andthe system called the settlements and sales of foreign exchange implemented in China.From the historical and economic perspective, the intervention in China is testified tobe necessary and inevitable. The final part of the chapter describes the evolution ofthe intervention.Chapter Five emphasizes that the current intervention in China has caused someeconomic problems. The responsibility of the central bank concentrates on thecompetition of the exports and the employment rate. For this reason the central bankundergoes the intervention. Therefore the intervention gives rise to the accumulationof foreign exchange reserves and the pressure of inflation. The intervention begins tobecome an obstacle to the adjustment of economic structure. This is not thereasonable aim of the intervention.Section three includes Chapter Six, Seven, Eight, Nine and Ten. This section isthe most important part of the study and sets up the whole analytical structure. Theanalysis starts from the standards of the rational intervention behavior. The standardsdeduce the goals of the intervention. The improvement of the methods of theintervention and the relevant economic reform are to achieve the rational intervention behavior. In the final part of this section the information responding mechanism isconstructed and the mechanism is to upgrade the intervention behavior.Chapter Six tries to define the level of rationality of the intervention. Two factorsare critical to fulfill this task. One is macro-prudential and micro-prudential regulation.The other is market failure, especially the foreign exchange market failure. When theintervention is to make up the market failure and accelerate the maturity of the market,it is rational. When the intervention is to prevent the financial risk, it is rational.Chapter Seven presents the goals of the intervention. The central bank of Chinaneeds to change the goals in order to avoid the economic problems. The interventionhas its ultimate aim to make the RMB independent and free from any nominal anchor.In the end the RMB will be an international currency. Meanwhile the interventionserves the build-up of market-oriented economy with Chinese characteristics. It is nota simple task. At first the intervention should stabilize the value of the currency andproves the RMB is reliable. Then the central bank should detect the equilibriumexchange rate that is accommodated with the open market. Therefore the goal of theintervention should be transformed from the growth of economy to curbing theinflation, preventing the financial risks and forming market-oriented economy. In theshort run the intervention of the central bank attempts to maintain real effectiveexchange rate stable. In the long run, the central bank tries to obtain the equilibriumexchange rate.Chapter Eight discusses the improvement of the methods of the intervention. Theindirect and direct interventions have their own features. Both of them areimplemented in China. The direct intervention needs to be coordinated with moreways of sterilization. The principal way of indirect intervention is to supervise thecross-border capital flows in China. On account of the Impossible Trinity and theMundell-Fleming Model, the supervision on the cross-border capital flows issupplementary to the direct intervention. Therefore the indirect intervention would bemodified. The supervision on the cross-border capital flows would be more effective.The steps of capital account opening should be gradual and carefully planned.Chapter Nine specializes in the macro-economic policies and infrastructure tosustain the rational intervention behavior. The adjustment of infrastructure is relatedto the economic structure, the foreign exchange market and the exchange rate regime.The proper infrastructure is useful to achieve the goals of the intervention. The reasonable economic structure would balance the demand and supply in the foreignexchange market. The development of the internal foreign exchange market should besuitable to the actual situations in China. The maturity of the foreign exchange marketmakes the intervention overcome the market failure easily. The reform of theexchange rate regime should be able to internationalize the RMB and improve theintervention. The intervention is in favor of the reform of the regime.Chapter Ten demonstrates the function of the information responding mechanism.It could make the central bank implement the intervention more scientifically andpromptly. The mechanism guides the intervention by the change of the coincidentindicators and index. These indicators and index would move violently when the gapof the foreign exchange demand and supply increases or decreases beyond thepresetting threshold value. In this chapter the leading indicators of the coordinateindicators have also been explored. Based on simple, easily accessible, and significantprinciples, the investigation system is established. The system pays close attention tothe behavior and expectation of the market participants. The investigation system is apart of the mechanism and would direct the intervention.The forth section has Chapter Eleven and Twelve. They are the internationalcomparison of the intervention and the conclusion. This section compares theintervention behavior of four economies including America, Japan, Thailand andHong Kong. The analytical structure of the study is applied in these four cases and therationality of their intervention is estimated. In this section the drawbacks of the studyand the further research plan are also exhibited.Chapter Eleven analyzes the intervention occurred in some other economies,America, Japan, Thailand and Hong Kong. The interventions happened in these foureconomies are evaluated. The goals and methods of the intervention, infrastructure,foreign exchange market etc. are compared that proves the arguments presented in theprevious chapters. America and Japan that represent the big economies have similargoals of the intervention but their behavior is different. The opening-up of the marketsin America and Japan shows the process of the economic globalization. In the openmarket, the goal of the intervention in America is to get the internal equilibrium andkeep the USD at the core position in the international monetary system. All the effortsof the intervention serve this goal. Japan is on the other side. It regards the exports asthe engine to enhance the economy so the intervention is tagged mercantilism. Its intervention commonly tries to depreciate Yen and get the competition. However thecentral bank of Japan wishes to realize the internationalization of Yen. Its goalconflicts to its behavior. The cases of Thailand and Hong Kong occurred in1997and1998. During that period, the financial crisis hauled down the economy of the SouthEast Asia and the East Asia. In the open market, both Thailand and Hong Kong pegtheir currency to the USD. Taking into account their intervention, the intervetion ofthe monetary authority in Hong Kong is more rational and supported by its marketsystem and more foreign exchange reserves. Thailand endeavored to keep Thai bahtstable but it was defeat by the Hedge Funds. For the simple reason the behavior ofThailand was not rational and it had less foreign exchange reserves.Chapter Twelve concludes the preceding analysis and research. It discusses thedrawbacks of this study and the direction of the future research.Due to the analysis, this study presents the main factors to affect changes of theintervention behavior. There are three factors, the goals of the foreign exchangeintervention, the situation of foreign exchange market and the exchange rate regime.According to the adjustment of these factors, the intervention should be adjusted atthe same time.Firstly, the central bank should clarify the goals of the intervention. The originalgoal in China is to increase the exports and enhance the economic vigor. At presentthe goals have to be changed from mercantilism and play roles in preventing financialrisks, preserving the market order, and achieving the equilibrium. Secondly, thecentral bank is apt to develop the foreign exchange market and reform the exchangerate regime. In accordance with the overall reform and open-up policies, theintervention should become a positive policy. Thirdly, the central bank reduces thefrequency of the direct intervention and commits rational indirect interventions. Thesupervision of the cross-border capital flows should be the main part of the indirectintervention. The management and guidance of the expectation are also important.The information responding mechanism is helpful to the rationalization of theintervention. The intervention is not a temporary policy and is critical to form theeconomic equilibrium and the independence of the RMB.更多还原