2014年以来由于我国经济增长放缓,外贸进出口比较低迷,人民币汇率一度出现

了较大幅度的贬值。人民币汇率双向波动增多,人民币单向升值预期得到改变,正是进

一步推进人民币汇率改革的有利时机。央行有条件进一步放宽波幅限制,逐步扩大市场

供求在汇率形成中的作用。但是,我国经济目前尚处于发展阶段,跨境资本流动缺乏有

效稳定机制,企业缺少应对汇率风险的意识,仍需要通过对汇率的调整和干预来维护国

内经济形势、金融市场稳定。如何平衡在人民币汇率波幅进一步加大的背景下又尽可能

减少对人民币汇率的干预实现汇率的稳定,最终实现人民币自由可兑换的目标,是本文

研究的主要内容。

本文通过对汇率决定理论、汇率干预理论以及汇率目标区制度的研宄,结合我国以

中间价为中心、对人民币汇率波动幅度进行管理的汇率制度,提出对中间价进行区间干

预管理结合人民币汇率波动幅度的波动干预模型。模型包含中心汇率和对中间价进行干

预管理的软硬两个区间,中心汇率由长期均衡汇率和当前均衡汇率取均值得到,兼顾了

影响汇率的短期因素,本文利用行为均衡汇率理论,选取了合适的影响人民币汇率的长

期及短期经济因素,构建了人民币均衡汇率的模型,通过协整方法,得到了当前和长期

均衡汇率。软硬两个区间称之为自由波动区间和干预区间。在硬区间内,中间价完全由

市场形成;在软区间内,对中间价进行直接或间接的干预管理,防止汇率剧烈异常的波

动。本文提出分别以1%和3%作为软硬区间的边界,对中间价进行干预管理。在随着人

民币汇率改革的推进,可以通过逐步扩大人民币汇率波动幅度和扩大软硬区间来扩大人

民币的波动干预区间。这样提高了人民币汇率波动干预区间的适应性,适合2009年后

汇率的波动干预情况,也适用于未来人民币汇率波动与干预的管理。

关键词:汇率决定理论;汇率干预理论;双层目标区;中间价;汇率波动干预区间

第II页
华东理工大学硕士学位论文

Abstract

Since 2014 the RMB exchange rate once appeared relatively substantially

devalued due to China economy growth, foreign trade import and export downturn.

RMB fluctuations is increasing, one-way RMB appreciation expectations changed,

it is a good opportunity to further promote the reform of RMB exchange rate.

The central bank has the condition to further relax the amplitude limit, and

gradually expand the market role in the form of exchange rate effect. However,

China's economy is still in developing stage, cross-border capital flows lack

of effective mechanism of stability, enterprises lack respond to exchange rate

risk consciousness, still need through the intervention on the exchange rate

to maintain the domestic economy growth and financial stability. How to balance

the further increase in the RMB volatility and as far as possible to reduce the

RMB interventions to achieve the stability of the exchange rate, and realize

the goal of RMB free convertibility, is the main content of this paper.

In this paper, through the research of exchange rate intervention and

decision theory and the system of the exchange rate target zone, combined with

current exchange rate system of the middle price, put forward to the middle price

fluctuation intervention interval management model. The model contains the

central exchange rate, soft and hard interval, called free fluctuations interval

and intervention interval. This paper firstly uses the BEER, selects the

long-term and short-terra factors of RMB exchange rate, to construct RMB

equilibrium exchange rate model, further get the current and long-term

equilibrium exchange rate, thus obtained the central exchange rate. Through the

evaluation of the historic RMB and RMB middle price, put forward to 1% and 3%

respectively as soft and hard interval boundary. Along with the reform of RMB

exchange rate going forward, through the gradual expansion of RMB exchange rate

fluctuation and the expansion of the hard and soft interval to expand RMB

fluctuation intervention interval. This improves the adaptability of

fluctuation of RMB exchange rate intervention interval, also applies to the

future RMB exchange rate fluctuation and intervention management.

Keywords: exchange rate determination theory; intervention theory; two-zone

target zone; the middle price; violence interval zone of exchange rate