| 基于IV-GARCH模型的外汇干预有效性实证研究 |
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| 引用本文： | 韩峰,谢赤,孙柏.基于IV-GARCH模型的外汇干预有效性实证研究[J].金融研究,2011(6). |
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| 作者姓名： | 韩峰 谢赤 孙柏 |
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| 作者单位： | 湖南大学工商管理学院;湖南大学金融与投资管理研究中心; |
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| 基金项目： | 国家社会科学基金重点项目(07AJL005); 教育部人文社科规划项目(10JA790028)资助 |
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| 摘 要： | 外汇干预有效性评估历来都是外汇干预决策、实施及评估过程中的关键性问题,对于汇率政策的制定具有重要意义。本文通过拟合央行外汇干预反应函数,构造出合理有效的工具变量,进而修正GARCH模型在评估外汇干预有效性中的偏误。实证结果表明,1993～2004年间日本央行外汇干预操作由侧重调控汇率偏离水平,逐渐向压制短期内剧烈的负向波动转移;虽然抑制或扭转了日元相对美元的中短期升值,但却不可避免地增加了汇率波动,带来额外的货币风险。
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| 关 键 词： | 外汇干预 有效性 Ⅳ-GARCH模型 |
The Effectiveness of Foreign Exchange Intervention:New Evidence from IV-GARCH Estimations |
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| HAN Feng XIE Chi SUN Bo.The Effectiveness of Foreign Exchange Intervention:New Evidence from IV-GARCH Estimations[J].Journal of Financial Research,2011(6). |
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| Authors: | HAN Feng XIE Chi SUN Bo |
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| Institution: | HAN Feng XIE Chi SUN Bo |
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| Abstract: | The effectiveness of foreign exchange intervention is a critical problem throughout the processes of the strategic decision,conduct and assessment The paper applies Tobit analysis method to build up a central bank's reaction function,and construct a new instrumental variable to correct the bias error in GARCH model on assessing effectiveness of foreign exchange intervention.The empirical results indicate that the main concern of Bank of Japan shifts from JPY/USD deviation to short-time appreciation,along wi... |
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| Keywords: | foreign exchange intervention effectiveness IV-GARCH Model |
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