摘要
央行在外汇市场的行动对市场波动性有重要影响。本文从主观预期概念出发,基于“大玩家”理论解释了2005年和2015年中国外汇管理体制两次改革前后人民币外汇市场的波动性差异。汇改前,央行积极地承担着“大玩家”的角色,人民币对美元汇率波动性较强;汇改后,央行的“大玩家”角色减弱,汇率波动性程度显著下降,市场效率增强。利用汇率数据进行的R/S分析支持了前述解释。
The central bank’s activities in foreign exchange market have a significant impact on market volatility.This paper,using the“big player theory”based on subjective expectation,explains differences of fluctuation of RMB exchange rate before and after China’s reform of the foreign exchange administration system in 2005 and 2015.The central bank just plays the role of the“big player”.After reforms of foreign exchange administration system,the central bank’s role as a“big player”has gradually weakened,causing less fluctuation and improving efficiency in the foreign exchange market.R/S analysis in the paper lends support to our explanation.
作者
郭新帅
张之玥
居姗
GUO Xin-shuai;ZHANG Zhi-yue;JU Shan(School of Management,University of Science and Technology of China,Hefei 230026,China;The People’s Bank of China Hefei Central Sub-branch,Hefei 230091,China)
出处
《运筹与管理》
CSSCI
CSCD
北大核心
2021年第1期177-183,共7页
Operations Research and Management Science
基金
中央高校基本科研业务费专项基金(WK2040170012)。
关键词
中央银行
外汇市场波动性
主观预期
大玩家理论
the central bank
foreign exchange market volatility
subjective expectation
big player theory
