III
摘要
近年来，随着人民币汇率市场化改革和人民币国际化进程的不断深入，在岸人民
币汇率的波动也逐渐由政府主导向市场调节过渡。但当前在岸人民币尚未实现完全自
由兑换，仍受到结售汇制度的限制，所以有必要采用结售汇率来衡量在岸市场的汇率
预期。与此同时，人民币汇率在遭受外部环境冲击时，市场中涌现的非理性预期和羊
群效应的影响会引起汇率的剧烈波动。因此在该背景下，本文就从结售汇率视角，研
究市场预期对人民币汇率的影响。
在第一部分，本文对研究背景和研究意义进行了介绍，然后通过对相关文献的归
纳梳理，总结出本文的研究内容和方法，以及创新点和不足。第二部分中，首先界定
了文中所使用的变量概念及衡量指标，然后用预期理论和汇率决定理论分析了市场预
期对人民币汇率的作用机制。第三部分是市场预期对人民币汇率影响的实证分析，在
时间序列变量稳定的基础上建立VAR模型，通过脉冲响应和方差分解判断出当前市场
预期是否对人民币汇率产生影响及其影响程度。研究发现，经过2014年强制结售汇
制度的取消和2015年811汇改后，市场预期能够对人民币汇率产生影响。但由于当
前在结售汇制度和人民币汇率制度方面还存在诸多限制性政策，因此结售汇率代表的
市场预期对人民币汇率的影响程度较低，从这方面也能体现出当前我国人民币汇率市
场化程度还有一定上升空间。第四部分建立在上文研究结论的基础上，继续探讨了在
突发状况下引导市场预期维持汇率稳定和进一步扩大人民币汇率市场化改革的对策
建议。
关键词：
人民币汇率；结售汇率；市场预期
IV
Abstract
In recent years, with the continuous deepening of the marketization reform of the RMB
exchange rate and the internationalization process of the RMB, the fluctuation of the onshore
RMB exchange rate has gradually transited from government led to market regulation. However,
at present, the onshore RMB has not been fully convertible and is still restricted by the foreign
exchange settlement and sales system, so it is necessary to use the settlement and sales exchange
rate to measure the exchange rate expectation of the onshore market. At the same time, when the
RMB exchange rate is impacted by the external environment, the irrational expectations and
herding effects emerging in the market will cause sharp fluctuations in the exchange rate.
Therefore, in this context, this paper studies the impact of market expectations on the RMB
exchange rate from the perspective of the settlement and sale exchange rate.
In the first part, this paper introduces the research background and significance, and then
summarizes the research content and methods, as well as the innovation points and deficiencies
of this paper by summarizing the relevant literature. In the second part of the article, we first
define the concept of variables and measurement indicators used in the article, and then analyze
the mechanism of marketexpectations on the RMB exchange ratewith the theory of
expectations and exchange rate determination. The third part is the empirical analysis of the
impact of market expectations on the RMB exchange rate. Based on the stability of time series
variables, a VAR model is established to determine whether the current market expectations
have an impact on the RMB exchange rate and the extent of their impact through impulse
response and variance decomposition. The study found that after the cancellation of the
mandatory foreign exchange settlement and sales system in 2014 and the 811 foreign exchange
reform in 2015, the market is expected to have an impact on the RMB exchange rate. However,
because there are still many restrictive policies in the current foreign exchange settlement and
sales system and RMB exchange rate mechanism, the market expectation represented by the
settlement and sales exchange rate has a low impact on the RMB exchange rate, which can also
reflect that there is still some room for the current marketization of the RMB exchange rate in
China. So the fourth part is based on the research conclusion of this paper, and this paper
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