市场预期对中央银行外汇干预影响的动态分析

被引：4

作者：

林斌

周小亮

机构：

[1] 福州大学管理学院

来源：

上海金融 | 2013年 / 04期

关键词：

市场预期; 中央银行; 外汇干预;

D O I：

暂无

中图分类号：

F832.6 [汇兑、对外金融关系]; F224 [经济数学方法];

学科分类号：

1201 ; 020204 ; 0701 ; 070104 ;

摘要：

本文在构建央行外汇干预政策反应函数基础上,利用可变参数状态空间模型针对市场预期引起的中央银行外汇干预变动进行了实证分析。结果表明:中央银行外汇干预政策在国际金融危机前后对于市场预期的反应有很大的不同。在2008年9月之前,中央银行对于外汇市场上人民币升值或贬值市场预期的干预反应不是很敏感;而在2008年10月之后,市场预期对中央银行外汇干预产生了越来越大的影响。

引用

页码：37 / 42+117 +117

页数：7

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