Trade Confrontation: RMB Exchange Market Asymmetry and Interference Policy - Applying Time-Varying Markov-Switching Model and SVAR Model

貿易對抗：人民幣外匯市場不對稱性與干涉政策－應用時變馬爾可夫切換模型和結構式向量自我迴歸模型

10.53106/181345482021031501002

賴素鈴(Sue-Ling Lai)；甘錫昫(Hsi-Hsu Kan)

Exchange Market Asymmetry ； Time-Varying Markov-Switching Model ； Intervention Policy ； Leaning-Against-the-Wind-Intervention ； 外匯市場不對稱性 ； 時變馬爾可夫切換模型 ； 干涉政策 ； 逆風干涉

多國籍企業管理評論

15卷1期（2021 / 03 / 01）

27 - 45

英文

This paper investigates whether the People's Bank of China (PBOC) intervenes in exchange market asymmetry. During the 2014: M7-2015: M8 period, the PBOC adopted a ＂leaning against the wind intervention＂ policy to intervene in RMB appreciation. Theoretically, we found that the RMB exhibits nonstationarity from a unit root test, and a time-varying Markov-switching test indicates that RMB trends exhibit two-phase regime asymmetry. Therefore, we use ＂PPP cannot measure RMB＂ as measured by SVAR and impulse response to prove that an RMB intervention policy exists, and we call for the PBOC to publish historical data on RMB intervention hedge trading to facilitate further academic research.

本文研究了中國人民銀行（PBOC）是否干涉了外匯市場的不對稱性。為了檢測2014:M7-2015:M8期間，PBOC阻止RMB升值所採取的是「逆風干涉（leaning-against-the-wind-intervention）」政策。理論建構上，我們發現RMB存在單根檢定的不穩態，而且「時變馬爾可夫切換檢測（Time Varying Markov-Switching test）」指出RMB走勢呈現兩階段的不對稱切換。因此，我們使用「結構式向量自我迴歸（SVAR）模型」與「衝擊反應（Impulse-Response）函數」，檢測得知「購買力平價值（Purchasing Power Parity; PPP）」無法循跡衝擊RMB，據此以實證RMB干涉政策是存在的，來呼籲PBOC能夠公布RMB干涉之對沖買賣的歷史資料，以利學術界研究。

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