中国外汇市场压力与货币市场压力非线性影响关系——基于MS-VAR模型的实证

摘要/Abstract

摘要： 研究外汇市场压力和货币市场压力的传导机制对于防范系统性金融风险具有重要的现实意义。本文针对人民币升贬值不同状态下中国外汇市场压力与货币市场压力之间存在的非线性影响关系，采用马尔科夫机制转换模型（MS-VAR）对2005年7月—2019年12月期间进行区制识别，在此基础上分析外汇市场压力（EMP）与货币市场压力（MMP）在不同区制以及区制转移过程中的变化路径。研究结果表明：MSMH (3)-VAR (2)模型识别出适度升值、较强升值和较强贬值三种区制状态；当EMP从较强贬值或较强升值压力区制向适度升值压力区制转移时，MMP均得到了缓解；在较强贬值和较强升值压力区制下，央行干预强化了EMP对MMP的正向冲击作用，特别是在贬值时期EMP对MMP的正向冲击效应显著增强；在三种区制下，MMP对EMP均产生了负向冲击作用。由此可知，维护金融市场稳定的关键是要缓解外汇市场压力，短期内避免人民币处于较强贬值状态，长期内引导人民币向适度升值状态转移，并逐步减少央行的干预行为。

关键词: 外汇市场压力, 货币市场压力, 非线性关系, MS-VAR模型

Abstract: It is of great practical significance to study the transmission mechanism of foreign exchange market pressure and money market pressure to prevent systemic financial risk. In view of the non-linear influence relationship between exchange market pressure and the money market pressure during the different periods of RMB appreciation and depreciation, the Markov mechanism transformation model (MS-VAR) is used to identify the regimes between July 2005 and December 2019. On this basis, the change path of foreign exchange market pressure (EMP) and money market pressure (MMP) in different regimes and regime transfer process is analyzed. According to the research results, MSMH(3)-VAR(2) model identifies three regimes: moderate appreciation, strong appreciation and strong depreciation; As the EMP shifts from strong depreciation regime or strong appreciation regime to moderate appreciation regime, MMP eases; Under the strong depreciation and strong appreciation pressure regime, the central bank intervention strengthens the positive impact of EMP on MMP, especially in the period of devaluation, the positive impact effect of EMP on MMP enhances significantly; Under the three regimes, MMP has a negative impact on EMP. It can be seen that the key of maintaining financial market stability is to stabilize exchange market pressure, avoid RMB from strongly depreciating in a short period of time and guide RMB to moderately appreciate in the long run, with gradually less dependence on the intervention of the central bank.

Key words: exchange market pressure, money market pressure, nonlinear relationship, MS-VAR model

叶欣, 孟万山. 中国外汇市场压力与货币市场压力非线性影响关系——基于MS-VAR模型的实证[J]. 管理评论, 2022, 34(9): 3-13.

Ye Xin, Meng Wanshan. The Nonlinear Relationship between Exchange Market Pressure and Money Market Pressure in China——An Empirical Study Based on MS-VAR Model[J]. Management Review, 2022, 34(9): 3-13.

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