【作者】 郭红；

【导师】 陈野华；

【作者基本信息】 西南财经大学 ， 金融学， 2010， 博士

【摘要】 自从1973年布雷度森林体系解体以来,伴随着汇率的频繁波动,中央银行外汇干预成为众多国家的一项重要经济政策。无论选择何种汇率制度,单独浮动、钉住浮动抑或是其他制度,各国都会运用外汇干预政策,以期能够稳定汇率或使汇率走向符合政府意图。因此,作为一项重要的经济政策,对这一问题的研究已成为一个具有重大实践意义和丰富理论内涵的课题。中央银行在进行外汇市场干预时,必须明确其操作行为在不同经济环境和市场条件下的干预目标、干预方式、传导机制及其有效性,从而提高对外汇市场干预的效率。伴随外国中央银行外汇干预的操作实践,西方学者在这一领域进行了广泛而深入的研究,形成了一些较为成熟并且具有借鉴意义的方法和理论。但是对于金融市场化程度较低、外汇管理比较严格、金融体制不够健全的发展中国家而言,这些西方国家的外汇干预有一些不适用性。本文在分析国际上外汇干预方式、传导机制及有效性的基础上,对我国外汇干预的有效性及干预的策略选择进行了研究。本文共分六章,从内容的逻辑关系看,可将其分为三大部分,各部分主要内容如下：第一部分包含第一、二章,是本文的基础理论部分。第一章导论介绍研究背景,提出研究问题,探讨研究的实践意义、逻辑路线和总体框架。第二章的主要内容是介绍外汇干预研究的一般理论框架,系统梳理了外汇干预的含义及相关基本概念、货币当局进行外汇干预的决策基础以及实施条件、外汇干预的理论及外汇干预发挥作用的渠道。第二部分包括第三、四章,对西方国家外汇干预的策略及有效性进行了分析。第三章首先介绍了外汇市场的结构特征,包括市场结构、交易机制以及电子交易方式,继而回顾并分析了新兴市场国家和西方工业国几次典型的外汇市场干预活动,其目的在于感性认识典型有效外汇干预的行为方式及特点,归纳总结有效干预的经验。最后具体分析了西方工业国进行外汇干预的干预时机选择和干预方式选择策略。第四章对美、日、欧洲等国汇率分别就外汇干预的有效性、外汇干预的信号效应、规模效应以及干预效果的持久性等问题进行了检验。最后一部分包括第五、六章,对中国外汇市场以及外汇干预现状进行探讨,对我国外汇干预的有效性进行了检验,并在对我国外汇干预进行成本和收益分析的基础上,提出了改进我国外汇干预市场条件及我国外汇干预策略选择的政策建议。第五章首先介绍了我国外汇市场的发展历程与特点,继而分析了在当前中国外汇市场的大环境下,我国中央银行外汇干预活动的方式、特点及其有效性。最后在以上定性分析的基础上,进一步对我国目前外汇干预的目标以及外汇干预发挥效力的作用机制进行了实证检验,得出的结论是,中国人民银行外汇干预的目标是逆风向的,即以熨平汇率波动为目标,并且是不对称的,中央银行更倾向于对人民币升值的干预,并且中国的外汇干预可以通过资产组合渠道影响发挥效力。第六章首先借鉴Ito(2002)的方法,对我国中央银行外汇干预的成本收益进行了微观分析,发现我国外汇干预从损益角度分析是亏损的。然后从宏观层面分析了外汇干预的收益与成本,虽然总体来看,从宏观层面我国外汇干预的收益大于成本,但无论从宏观上还是微观上看外汇干预的成本都很高,因此,当前这种单边频繁的外汇干预模式难以长期维持。最后在上述分析的基础上提出了完善我国外汇干预市场条件的对策建议及我国外汇干预的策略选择。本文的研究具有以下几个创新点：首先,目前国内对外汇干预问题的现有研究大多从宏观的角度对外汇干预的目的、效果等进行研究。而本文对外汇干预的策略及有效性研究的视角是微观层面的,即关注外汇干预方式、干预时间的选择以及干预规模等微观变量对干预效力的影响,这是一个新的研究角度,即在理论上探讨了外汇干预这一宏观经济问题的微观基础,同时研究所得出的结论对完善我国外汇干预操作、提高干预效果也具有现实意义。其次,本文在学习借鉴国内外研究者研究方法和数据选取的基础上,运用事件研究法对美、日、欧外汇干预的有效性进行了检验,得出不同干预方式、干预策略的选择将极大影响外汇干预有效性的结论,以及即使是有效的外汇干预,其有效性的持久力也较为有限的结论。此外采用2005年7月汇率制度改革以来的数据,对我国外汇干预发挥效力的作用机制进行了协整分析,得出我国外汇干预可以通过资产组合渠道发挥效力的结论。根据上述结果,就可以解释我国目前的外汇干预虽然有效,但需要频繁直接进行干预以稳定人民币汇率,同时也提出我国这种单边频繁的干预难以保持持久性的观点。最后,对2007年美国金融危机爆发以来,国际外汇干预实践的过程、干预手段、干预效果及其原因进行了系统地梳理和分析。如2009年瑞士中央银行对瑞士法郎的干预,这是近年来第一家直接公开干预外汇市场的西方发达国家中央银行。此外,特别对新兴市场国家,如巴西、俄罗斯2009年以来的外汇干预进行了总结和分析,探讨了在金融危机背景下,新兴市场国家外汇干预的目标转换、干预手段及成败原因。更多还原

【Abstract】 Since the Bretton Wood System collapsed in 1973, foreign exchange rate fluctuated frequently, and the foreign exchange intervention became an important economic policy tool in most countries to maintain the stabilization or influence the trend of the exchange rate. The study of this issue is of significance in both theory and practice.The central bank should make clear the intervention goals, intervention operations, transmission mechanism and the effectiveness of foreign exchange intervention in different economic conditions, so that it will increase the efficiency of intervention. The international researches about the foreign exchange intervention have evolved greatly and some mature economics theories in the western countries have formed. But in developing countries, the financial market is imperfect and monetary authorities manage foreign exchange market strictly, the experiences in developed countries are not suitable for developing countries. With the comparisons and analysis of foreign exchange intervention in developed countries, we will get a path for China. The foreign exchange intervention of the central bank in China, especially the effectiveness of intervention and the intervention strategies, would be the subject of this thesis.This thesis includes six chapters, and according to the logic relation, they can be classified into three parts. The first part includes two chapters. Chapter one is introduction, which gives the theme, significance, logic chain and framework of this research. Chapter two introduces the theoretical framework, including the definition of the foreign exchange intervention and related concepts, the basis of decision, the precondition and the effect channel of the monetary authority intervention.The second part, including chapter three and four, identifies the strategies and effectiveness of the foreign exchange intervention in western countries. Firstly, chapter three describes the structure characteristics of the foreign exchange market, including the market structure, trading mechanism and ETP. Then, it reviews the typical operations of foreign exchange intervention in both the emerging market countries and the western industrialized countries, and further analyzes the common characteristics of the succeeded interventions. Lastly, discusses the time and methods strategies of the interventions in the western countries. Chapter four tests the effectiveness, signal channel, size effect and persistent effect of interventions in the U.S., Japan and European countries.The last part includes Chapter five and six. This part describes the developing status of foreign exchange market and intervention in China, and tests the effectiveness of intervention in China. At last, based on the cost and benefit analysis, it formulates recommendations on the foreign exchange market and interventions of China. In Chapter five, after introducing the development history and characteristics of the foreign exchange market in China, it points out the present problems and analyzes the methods, features and effectiveness of interventions in the current market conditions. After the qualitative analysis, it tests the goals, the effectiveness and the effect channels of interventions in China by empirical analysis, and draws the conclusions:The interventions in China are leaning against the wind and are effective through the portfolio channel. In Chapter six, learning from the methods of Ito(2002), calculates the costs and benefits of intervention in China from the microscopic view. We will find it is a loss of intervention. From the macroscopic view, the benefit is more than the cost, but the cost is high. So we should not maintain the against wind intervention over long term. At last, gives the suggestions on the strategies of intervention in China.The conclusions and innovations of this thesis are as follows:Firstly, this thesis pays close attention to the effects of the micro variables, such as the methods, time, and size of intervention. Secondly, according to the empirical tests, we can draw a conclusion:different intervention strategies and methods will influence the effectiveness of intervention greatly. The effect will be not persistent, even if an effective intervention. Then gives the policy recommendations on the strategies of foreign exchange intervention in light of the conclusion of empirical research mentioned above, referring to foreign experience and actual condition in China. Lastly, this thesis discusses the goal conversion, methods and the reasons for failure or success of the emerging market countries intervention, such as Brazil and Russia, in the context of the financial crisis.更多还原