【作者】 江世勇；

【导师】 马君潞；

【作者基本信息】 南开大学 ， 金融学， 2010， 博士

【摘要】 2005年7月,我国进行了一次重要的汇率制度改革,确立了人民币汇率形成机制市场化的长期发展目标。此后,政府又陆续颁布了许多配套实施细则。在此背景下,人民币汇率出现了单边升值趋势,而且汇率波动的频度和幅度明显扩大。直到2008年10月,单边升值趋势在全球金融危机的影响下才开始逆转。这不仅给人民币外汇市场的稳定性带来了严峻的考验,同时也对政府职能转变、汇率制度建设、央行市场化干预手段提出了更高的要求。本论文的研究主题是：“汇改”前后,人民币汇率的运动是否具有本质上的差异?果真如此,汇率运动的新特征和新规律究竟是什么?在此基础上,央行进行外汇市场干预时,可以选择怎样的干预目标,在有效地抑制市场的过度波动的同时,减小汇率水平的扭曲度?在理论研究部分,首先对传统的汇率理论的发展历史进行回顾和梳理,并分析指出传统的汇率决定理论面临的主要问题是对现实中汇率异常波动的解释力和预测能力低下。导致这种现象的主要原因是：传统的汇率决定理论的前提假设“有效市场假说”和“理性预期假说”过于理想化,与经济运行的现实情况差异较大。另外,传统的汇率决定理论采用的线性范式与汇率运动的非线性特征不相吻合。然后,对混沌理论的研究现状、基本概念、重要模型等进行了介绍。这是本文研究的理论基础和方法论。由于境外NDF汇率对境内即期汇率具有重要的影响作用,在实证研究部分,本文首先对“汇改”之后境内即期汇率和境外NDF汇率现状进行了定性描述和统计分析。结果显示它们具有明显的“尖峰厚尾”和“波动聚集效应”特征。这也否定了“有效市场假说”的结论。然后,选择人民币兑美元汇率时间序列作为研究对象,以Simon Haykin混沌判据为标准,进行实证检验。检验的结果表明：“汇改”之后,人民币汇率波动具有明显的混沌动力学属性。在实证检验的基础上,本文尝试着对汇率混沌的内在机理给予理论上的解释和模型证明：汇率的混沌是外汇市场上的信息流在异质性交易者的作用下,通过内在的非线性关系,形成汇率价格信号,引起汇率波动的结果,这是混沌系统特有的内随机性。然后,运用该结论,结合“汇改”的实际情况,对人民币汇率的混沌现象进行了相应的分析。通过上述分析,本文结合混沌控制的原理和方法,建立了引入央行干预因素的汇率混沌模型,并对央行干预目标和有效性展开深入的讨论。研究表明：在汇率混沌的条件下,“逆风而动”干预不仅无法抑制汇率的波动,也不能减少汇率水平的扭曲度。如果央行选择“目标长期基本因素值”干预,并且保证充分的干预力度,那么,央行可以在抑制汇率波动的同时减少汇率扭曲。另外,央行选择“定常反馈”干预,可以在保持一定汇率扭曲程度的基础上,成功抑制汇率的波动,实现特定的经济目标。最后,根据汇率混沌的实证检验、理论解释和对央行干预模型分析的有关结果,本文给出相应的政策建议。更多还原

【Abstract】 The China exchange rate system was reformed substantially in July 2005, with the set up of long-term development target of market-oriented RMB exchange rate formation mechanism. Thereafter, a series matching implementation rules have been promulgated by the governmental and RMB has kept appreciating, with increasing fluctuation frequency and extent, until October 2008. RMB stopped appreciating due to the influence of global financial crisis, which not only examines the stability of RMB foreign exchange market but also puts strict requirements for transformation of government function, development of exchange rate system, intervention manners of the central bank, etc.The paper discusses whether changes in RMB exchange rate show difference prior to and after the reform of RMB exchange rate. If it does, what are new features and rules of changes in RMB exchange rate? What targets are when the central bank intervenes in the foreign exchange market so as to effectively reduce over-fluctuation and minimize the exchange rate misalignment?In the part of theory research, the paper reviews the traditional theory of exchange rate, which is weak in interpreting and forecasting the abnormal fluctuation in real world for the following reasons:firstly, the assumptions of traditional theory, effective market hypothesis and rational expectation hypothesis, are too idea to be different with the actual economy; secondly, the linear paradigm applied by the traditional theory conflict with the non-linear character of changes of exchange rate. Besides, the research actuality, basic concept and key model of chaos theory are introduced, which are the research rational and methodology of this paper.In the part of empirical study, the paper qualitatively analyzes the actuality of RMB spot rate and oversea NDF rate. The result shows that both of them are characterized of obvious "cute peak and fat tail" and "volatility clustering effect" which deny the conclusion of effective market hypothesis. Then, empirical test is executed by selecting the time series of RMB:USD exchange rate and applying Simon Haykin’s chaos criterion as standards. The test result implies that changes in exchange rate are characterized of chaos dynamics after reform.On the basis of empirical study, the paper attempts to theoretically explain the intrinsic mechanism of chaos exchange rate and prove with models. Chaos exchange rate results from movements of exchange rate along with the signal of exchange rate price through intrinsic non-linear relationship when the information flow of foreign exchange rate is exposed to the effect of the trader heterogeneity. By applying this conclusion and combining the actual condition of exchange rate reform, the paper analyzes the chaos of RMB exchange rate.Through the aforesaid analysis and in combination of rational and method of chaos control, the paper establishes an exchange rate chaos model where the intervene factors of central bank is introduced. "Leaning Against the Wind" intervention fails to restrain fluctuation of exchange rate and minimize exchange rate misalignment. If the central bank selects to "Targeting Long-run Fundamentals" intervention and ensures sufficiently intervening level, both of two targets would be realized. Finally, the paper proposes some policies in accordance with the analysis result of empirical text of chaos exchange rate, theatrical explanation and intervening model of central bank.更多还原