人民币无本金交割远期汇率异常波动机制识别

A Regime switching Approach for Identifying Abnormal Fluctuation of RMB Non deliverable Forward Exchange Rate

摘要:

针对汇率波动的非线性特征，应用马尔可夫机制转换方法对2003 09 10—2011 03 25期间人民币的无本金交割远期汇率（NDF）的异常波动进行识别，研究结果显示：①2005年7月21日和2010年6月19日央行2次汇改前后NDF汇率均为高波动的异常机制，汇改后的初期存在一个升值预期压力集中释放的阶段，表明人民币汇率制度改革取得了稳定预期的成效；②2007年下半年至2009初的国际金融危机期间NDF汇率出现持续的异常波动，其中，长期NDF波动受美元先贬后升趋势的影响更为显著，说明投机者预期更易受到国际金融市场冲击的影响.上述结果揭示了人民币升值预期压力的积聚期间和不同市场参与者的预期差异，对我国央行适时干预以稳定汇率具有参考价值.

Abstract:

The abnormal fluctuation of RMB non deliverable forward rate (NDF) was identified with Markov regime switching approach by taking the non linear characteristic of exchange rate volatility into consideration. Empirical analysis showed that around July 21th 2005 and June 19th 2010 when the central bank reformed the exchange regime, NDF exchange rate abnormally fluctuated , and immediately after the reform the appreciation expectation pressure was intensively released, which suggested that RMB exchange rate reform stabilized appreciation expectation. During the international financial crisis from the second half of 2007 to the beginning of 2009, NDF exchange rate continuously fluctuated abnormally, and the long term NDF volatility was obviously affected by “U shape” trend of USD, which indicated that the expectation of speculators was more sensitive to the impact of international financial markets. The study results define the period during which RMB appreciation pressures are accumulated and the different expectation characteristics of different market players. The stuty is of a good reference value for China’s central bank to stabilize RMB exchange rate.