我国外汇市场压力研究——基于马尔可夫区制转换方法

Abstract

本文基于1996~2010年月度数据,采用马尔可夫三区制转换模型对人民币外汇市场压力进行了区制识别,并考察了货币扩张、通货膨胀、外汇储备、经济增长及人民币名义有效汇率变动5个变量在不同区制及区制转换过程中的动态变化情况。实证结果表明,MSIH(3)-VAR(1)模型能较好识别人民币外汇市场压力区制,人民币外汇市场经历了适度升值压力区制、贬值压力区制及较强升值压力区制三个阶段;其中,外汇储备是外汇市场压力区制转变的关键因素,较强升值压力区制向其他两种区制转换过程中会伴随着汇率的升值和外汇储备的减少。With the monthly data between January 1996 and April 2009, we identifies RMB exchange market pressure as a nonlinear Markov-Regime-switching phenomenon and examine its dynamics with money growth, inflation, foreign exchange reserve, economic growth as well as RMB NEER over three regimes. We find that MSIH (3) -VAR (1) model well identifies episodes of RMB exchange market pressure. During the sample interval, RMB exchange market pressure experienced three regimes, that is, strong appreciation pressure, moderate appreciation pressure and depreciation pressure. Foreign exchange reserve plays the most important role in the process of regime shift. Furthermore, exchange rate appreciates and foreign exchange reserve reduces in the transition from strong appreciation regime to the other two regimes.