关键词: 汇率预期, 外汇市场干预, 中美息差, 风险溢价, 即期汇率

Abstract:

This paper extends Uncovered Interest Rate Parity model with risk premium and foreign exchange intervention, using nonlinear auto-regression distributed lag (NARDL) model to analysis the short and long run relationship among exchange rate expectation, foreign exchange intervention and exchange rate during the period Oct 2006 to Dec 2015. The findings are as follows. Firstly, exchange rate expectation and foreign exchange intervention of central bank have asymmetric effects on RMB exchange rate, and moreover RMB exchange rate is more likely to be affected by the expected appreciation both in the short and long run. Secondly, central bank’s positive intervention can prevent RMB appreciation to a certain degree. However, the negative intervention not only cannot prevent the RMB depreciation, but also would bring currency depreciation to a larger degree. Lastly, the decline of risk premium will lead to RMB devaluation in the short run while appreciation in the long run. Moreover, RMB appreciation is easier than devaluation from a long-run perspective.

Key words: Exchange Rate Expectation, Foreign Exchange Intervention, Sino-US Interest Rate Difference, Risk Premium, Spot Exchange Rate