人民币汇率预期性质研究.doc

人民币汇率预期性质研究
XXX①本文作者均为对外经济贸易大学金融学专业08级硕士研究生
摘要:自汇改以来,人民币对美元汇率呈现出单边上升趋势。在这种升值模式下,人民币汇率升值预期不减反增,这为我国的汇率机制改革带来了巨大的难题。人民币汇率正处于非均衡状态,远期汇率的升贴水率由汇率预期决定,因而汇率预期对人民币汇率的作用举足轻重。本文基于对预期理论的研究,通过构建人民币汇率预期模型,探讨人民币汇率预期的性质。经过分析,得出汇率预期表现为适应性预期,升值速度的加快会进一步强化升值的预期。汇率预期不仅带来资本的大规模流入,还能催生泡沫。因此,打消升值阶段人民币的升值预期显得格外重要。文章结尾提出了汇率机制改革的相关政策建议,希望能对实践起到指导性作用。
本文选用境外无本金交割远期外汇(NDF)市场的远期汇率代表人民币汇率预期变量,通过建立误差修正模型(ECM)来研究人民币汇率预期的形成机制及其特点。实证结果证实了人民币汇率预期属于适应性预期。我国现行的长期、逐步、缓慢的人民币升值策略无益于抑制持续存在的人民币汇率升值预期,并将最终使人民币面临持续的升值压力。为了有效引导和打消人民币汇率升值预期可以从扩大汇率弹性、控制升值步伐、完善市场机制以及培育发展外汇市场等几方面入手,推动相关方面的改革。
关键词:人民币汇率预期适应性预期 NDF市场
ABSTRACT
After the reform of the exchange rate policy,the RMB to the dollar exchange rate shows a unilateral ascendant trend. Besides, the RMB expectation of appreciation keeps increasing all long. This really disturbs our process of exchange rate reform. Due to the disequilibrium of RMB exchange rate, the forward discount or premium is determined by the exchange rate expectation. As a result of this, exchange rate expectation es more and more important. Based on the research of expectation theory, we proved that exchange rate expectation belongs to adaptive expectation, which is useful to eliminate the exchange rate expectation. Expectation can not only bring the hot money in, but also lead to a bubble economy. So, at the end of this paper, e up with several suggestions which are about the reform of exchange rate mechanism. We hope that, some of these suggestions will have a positive effect on our economy.
This paper selects the forward exchange rate of NDF market to represent the exchange rate expectation. By using the ECM model to study the mechanism of the expectation formation, this paper found that the expectation belongs to Adaptive expectation. Chinese authority chooses a conservative strategy to let the RMB appreciate slowly, gradually in relatively a long term, however this strategy would not help to deal with the expectation of appreciation problem. In order to guide and eliminate t