摘要
本文应用事件研究法考察了我国央行的外汇宏观审慎政策公告在±1和±7天事件窗口对在岸及离岸人民币汇率的公告效应,及公告效应是否符合逆周期调节汇率的政策意图。结果表明,在抑制汇率贬值的政策公告事件中,外汇风险准备金率上调事件和某些跨境融资系数上调事件对汇率产生了符合政策意图的、显著的公告效应,且公告效应在±7天事件窗口的显著性要高于±1天的事件窗口;外汇存款准备金率下调事件的公告效应显著,但不符合政策意图。在抑制汇率升值的政策公告事件中,仅外汇风险准备金率下调事件对部分在岸汇率产生合意、显著的公告效应。进一步分析表明,抑制汇率贬值的政策公告事件对在岸汇率和相应期限离岸汇率产生的公告效应较为一致,而抑制汇率升值的政策公告对两市场的影响差异性较大。上述结果表明,仅外汇风险准备金率上调事件能够对在岸和离岸汇率产生合意影响,其他政策公告还无法完全基于信号渠道形成逆周期的政策公告效应。
With the event study method,this paper examines the announcement effects of the FX-related macroprudential policies implemented by PBoC on the onshore and offshore RMB exchange rate considering the event window of±1 days and±7 days,and judges whether the announcement effects are consistent with the policy intention of adjusting the exchange rate countercyclically.Among the announcement events of policies aiming to prevent RMB exchange rate depreciation,the events of raising foreign exchange risk reserve ratio and cross-border financing coefficient have obvious announcement effects,complying with the policy authorities intention,and the announcement effect are more obvious statistically in the event window of±7days compared with the event window of±1 days.The events of foreign exchange deposit reserve ratio have obvious announcement effect,and yet it does not comply with the intention of the policy authorities.Among the announcement events of policies aiming to prevent RMB exchange rate depreciation,only some events that lower the foreign exchange risk reserve ratio could have significant and desirable announcement effects on some onshore RMB exchange rate.The announcement events of policy aiming to curb the depreciation of exchange rate have similar effects on onshore exchange rate and offshore exchange rate within the corresponding term,but the announcement events of policy aiming to curb the appreciation of exchange rate have different effects on onshore and offshore markets.The results show that only the events of raising foreign exchange risk reserve ratio can have desirable effect on onshore and offshore exchange rate,other policy announcement event that solely relying on the signal channel could not result in countercyclical policy announcement effect.
作者
谷宇
王丽男
GU Yu;WANG Linan(School of Economics and Management,Dalian University of Technology,Dalian 116024,China)
出处
《大连理工大学学报(社会科学版)》
北大核心
2025年第6期58-69,共12页
Journal of Dalian University of Technology(Social Sciences)
基金
国家社会科学基金项目“异质主体视角下宏观审慎政策引导汇率预期的机理及效应研究”(22BJY247)。
关键词
外汇宏观审慎政策
公告效应
人民币汇率
事件研究法
FX-related macro-prudential policy
Announcement effect
RMB exchange rate
Event study method
