央行干预有效性与我国人民币汇率波动研究
Effectiveness of Central Bank Intervention and RMB Exchange Rate Fluctuations in China
摘要: 在布雷顿森林体系崩溃以后，汇率变化表现出更加复杂化和多样化的特点。一个国家的汇率制度，关系到这个国家的经济能否均衡稳定的发展，汇率的波动对一国的贸易收支平衡有着重要的影响。1994 年，我国开始实施汇率并轨制度，2005 年我国又进一步改革了汇率制度。本文运用ARCH模型、GARCH 模型对我国1994~2010 年间的汇率波动情况进行了分析，并运用协整检验和Granger因果检验对我国央行外汇市场干预的有效性进行分析。通过对1994~2010 年人民币兑美元汇率波动情况的分析，我们可以看出汇率波动与国家宏观经济情况和货币政策之间的特定关系，通过对央行干预有效性的检验，得出我国央行的干预是部分有效的，因此我国还应进一步完善人民币汇率形成机制，加强央行干预政策的调控效力，保持我国人民币汇率的稳定。
Abstract: After the collapse of the Bretton Woods system, the foreign exchange rate show a more complicated and diversified characteristics. One country’s foreign exchange rate regime has a critical relationship to the country economy’s balance and stable development, exchange rate has an important influence to the country’s trade balance. China began to implement Exchange rate Merger System in 1994，and in 2005 China further reformed the exchange rate system. In this paper，we analysis the exchange rate fluctuations between 1994-2010 of China by ARCH models and GARCH models, and use of cointegration test and Granger causality test to analysis China’s foreign exchange market intervention’s effectiveness. By analysis of 1994-2010 RMB against the US dollar exchange rate fluctuations, we can see that there are particular relationships between the fluctuations of exchange rates and the nation’s macroeconomic situation and monetary policy. By testing the effectiveness of the central bank intervention, we can find that our central bank’s intervention is part effective. Therefore, we should improve the RMB exchange rate formation mechanism, and enhance the effectiveness of the central bank’s intervention policy control to maintain china’s RMB exchange rate stable.
文章引用：姜照宇. 央行干预有效性与我国人民币汇率波动研究[J]. 现代管理, 2011, 1(3): 150-155. http://dx.doi.org/10.12677/mm.2011.13028

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