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1、...人民币汇率预期性质研究XXX①本文作者均为对外经济贸易大学金融学专业08级硕士研究生摘要:自汇改以来,人民币对美元汇率呈现出单边上升趋势。在这种升值模式下,人民币汇率升值预期不减反增,这为我国的汇率机制改革带来了巨大的难题。人民币汇率正处于非均衡状态,远期汇率的升贴水率由汇率预期决定,因而汇率预期对人民币汇率的作用举足轻重。本文基于对预期理论的研究,通过构建人民币汇率预期模型,探讨人民币汇率预期的性质。经过分析,得出汇率预期表现为适应性预期,升值速度的加快会进一步强化升值的预期。汇率预期不仅
2、带来资本的大规模流入,还能催生泡沫。因此,打消升值阶段人民币的升值预期显得格外重要。文章结尾提出了汇率机制改革的相关政策建议,希望能对实践起到指导性作用。本文选用境外无本金交割远期外汇(NDF)市场的远期汇率代表人民币汇率预期变量,通过建立误差修正模型(ECM)来研究人民币汇率预期的形成机制及其特点。实证结果证实了人民币汇率预期属于适应性预期。我国现行的长期、逐步、缓慢的人民币升值策略无益于抑制持续存在的人民币汇率升值预期,并将最终使人民币面临持续的升值压力。为了有效引导和打消人民币汇率升值预期可
3、以从扩大汇率弹性、控制升值步伐、完善市场机制以及培育发展外汇市场等几方面入手,推动相关方面的改革。......关键词:人民币汇率预期适应性预期NDF市场ABSTRACTAfterthereformoftheexchangeratepolicy,theRMBtothedollarexchangerateshowsaunilateralascendanttrend.Besides,theRMBexpectationofappreciationkeepsincreasingalllong.Thisrea
4、llydisturbsourprocessofexchangeratereform.DuetothedisequilibriumofRMBexchangerate,theforwarddiscountorpremiumisdeterminedbytheexchangerateexpectation.Asaresultofthis,exchangerateexpectationbecomesmoreandmoreimportant.Basedontheresearchofexpectationthe
5、ory,weprovedthatexchangerateexpectationbelongstoadaptiveexpectation,whichisusefultoeliminatetheexchangerateexpectation.Expectationcannotonlybringthehotmoneyin,butalsoleadtoabubbleeconomy.So,attheendofthispaper,wecomeupwithseveralsuggestionswhichareabo
6、utthereformofexchangeratemechanism.Wehopethat,someofthesesuggestionswillhaveapositiveeffectonoureconomy.ThispaperselectstheforwardexchangerateofNDFmarkettorepresenttheexchangerateexpectation.ByusingtheECMmodeltostudythemechanismoftheexpectationformati
7、on,thispaperfoundthattheexpectationbelongstoAdaptiveexpectation.ChineseauthoritychoosesaconservativestrategytolettheRMBappreciateslowly,graduallyinrelativelyalongterm,howeverthisstrategywouldnothelptodealwiththeexpectationofappreciationproblem.Inorder
8、toguideandeliminatetheexpectationofappreciation,wesuggesttheauthoritytochangethecurrentmechanismfromthefollowingaspects:expandingtheflexibilityoftheexchangerate,controlling,improvingthemarketmechanism,developingtheforeignexchangemarketandsoon.