人民幣匯率預(yù)期性質(zhì)研究

《人民幣匯率預(yù)期性質(zhì)研究》由會員上傳分享，免費在線閱讀，更多相關(guān)內(nèi)容在行業(yè)資料-天天文庫。

1、人民幣匯率預(yù)期性質(zhì)研究XXX①本文作者均為對外經(jīng)濟貿(mào)易大學(xué)金融學(xué)專業(yè)08級碩士研究生摘要：自匯改以來，人民幣對美元匯率呈現(xiàn)出單邊上升趨勢。在這種升值模式下，人民幣匯率升值預(yù)期不減反增，這為我國的匯率機制改革帶來了巨大的難題。人民幣匯率正處于非均衡狀態(tài)，遠期匯率的升貼水率由匯率預(yù)期決定，因而匯率預(yù)期對人民幣匯率的作用舉足輕重。本文基于對預(yù)期理論的研究，通過構(gòu)建人民幣匯率預(yù)期模型，探討人民幣匯率預(yù)期的性質(zhì)。經(jīng)過分析，得出匯率預(yù)期表現(xiàn)為適應(yīng)性預(yù)期，升值速度的加快會進一步強化升值的預(yù)期。匯率預(yù)期不僅帶來資本的大規(guī)模流入，還能催生泡沫。因此，打消升值階段人民幣的升值預(yù)期顯得格外重要。文章結(jié)尾提出了匯率機

2、制改革的相關(guān)政策建議，希望能對實踐起到指導(dǎo)性作用。本文選用境外無本金交割遠期外匯（NDF）市場的遠期匯率代表人民幣匯率預(yù)期變量，通過建立誤差修正模型（ECM）來研究人民幣匯率預(yù)期的形成機制及其特點。實證結(jié)果證實了人民幣匯率預(yù)期屬于適應(yīng)性預(yù)期。我國現(xiàn)行的長期、逐步、緩慢的人民幣升值策略無益于抑制持續(xù)存在的人民幣匯率升值預(yù)期，并將最終使人民幣面臨持續(xù)的升值壓力。為了有效引導(dǎo)和打消人民幣匯率升值預(yù)期可以從擴大匯率彈性、控制升值步伐、完善市場機制以及培育發(fā)展外匯市場等幾方面入手，推動相關(guān)方面的改革。關(guān)鍵詞：人民幣匯率預(yù)期適應(yīng)性預(yù)期NDF市場ABSTRACTAfterthereformoftheexch

3、angeratepolicy，theRMBtothedollarexchangerateshowsaunilateralascendanttrend.Besides,theRMBexpectationofappreciationkeepsincreasingalllong.Thisreallydisturbsourprocessofexchangeratereform.DuetothedisequilibriumofRMBexchangerate,theforwarddiscountorpremiumisdeterminedbytheexchangerateexpectation.Asares

4、ultofthis,exchangerateexpectationbecomesmoreandmoreimportant.Basedontheresearchofexpectationtheory,weprovedthatexchangerateexpectationbelongstoadaptiveexpectation,whichisusefultoeliminatetheexchangerateexpectation.Expectationcannotonlybringthehotmoneyin,butalsoleadtoabubbleeconomy.So,attheendofthisp

5、aper,wecomeupwithseveralsuggestionswhichareaboutthereformofexchangeratemechanism.Wehopethat,someofthesesuggestionswillhaveapositiveeffectonoureconomy.ThispaperselectstheforwardexchangerateofNDFmarkettorepresenttheexchangerateexpectation.ByusingtheECMmodeltostudythemechanismoftheexpectationformation,

6、thispaperfoundthattheexpectationbelongstoAdaptiveexpectation.ChineseauthoritychoosesaconservativestrategytolettheRMBappreciateslowly,graduallyinrelativelyalongterm,howeverthisstrategywouldnothelptodealwiththeexpectationofappreciationproblem.Inordertoguideandeliminatetheexpectationofappreciation,wesu

7、ggesttheauthoritytochangethecurrentmechanismfromthefollowingaspects:expandingtheflexibilityoftheexchangerate,controlling,improvingthemarketmechanism,developingtheforeignexchangemarketandsoon.Keywords: