政府干預下人民幣匯兌風險之研究− 匯率與匯率波動率之關聯性分析

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Title:	政府干預下人民幣匯兌風險之研究− 匯率與匯率波動率之關聯性分析 A Research on RMB Exchange Risk under Government Intervention-Association Analysis of Exchange Rates and Exchange Rate Volatility
Authors:	甘錫昫
Contributors:	國際企業管理學系
Keywords:	自我迴歸時間分佈落遲−波動率分析阻升不阻貶不對稱性U型斷點反轉切換 autoregressive time distributed Lag(ARDL) prevents currency appreciations but not depreciations asymmetric u-shaped breakpoint switching
Date:	2023
Issue Date:	2023-07-06 11:12:00 (UTC+8)
Abstract:	中國人民銀行(PBOC)於2015年執行“8.11”匯率改革，到了2018年中旬以後，美國和中國陷入關稅報復的貿易對抗，在這兩個期間之後，均出現政府干預人民幣匯率(RMB)呈現大幅貶值的U型反轉，使得匯兌交易存在不確定風險。因此，本研究目的在實證本文主張，只要調查找到一個RMB不對稱的U型估計斷點存在，就代表干預政策存在。理論建模是應用單根檢測之斷點已知型或未知型針對斷點切換之日期進行偵測與有效選擇，並依靠非線性自我迴歸時間分佈落遲−波動率(ARDL-GARCH)分析，採用共整合模型來強化說明匯率與匯率波動率有長期共整合關係，只要匯率有變化，就是匯率波動率有變化，就可能存在匯率貶值的U型反轉，造成政府干預的匯兌風險。再依據變異數分解比例分析，當匯率干預出現，匯率的時間落差期數會衝擊匯率波動率的天數最可能在之後第五天，可能發生匯兌風險。為避免估計誤判，本文再運用趨勢定態的時變馬爾可夫切換模型，進行圖形比對，並證實2015年“8.11”匯改與2018年中旬的貿易對抗之兩期間，RMB出現「阻升不阻貶」現象，是政策干預下的不對稱性U型斷點反轉切換，說明只要有斷點反轉，就有政府干預。 The People's Bank of China (PBOC) implemented the “8.11” exchange rate reform in 2015. After mid-2018, the United States and China fell into a trade confrontation with tariff retaliation. After these two periods, there was a U-shaped break in which the government intervened in the RMB exchange rate (RMB), which showed a sharp depreciation, which made exchange transactions with uncertain risks. Therefore, the purpose of this study is to demonstrate the assertion of this paper that as long as the survey finds a U-shaped estimated breakpoint of RMB asymmetry, it means that the intervention policy exists. Theoretical modeling is to use the breakpoint known or unknown type of unit root test to detect and effectively select the date of breakpoint switching, and rely on nonlinear autoregressive time distribution lag volatility (ARDL-GARCH) analysis. This is to use the co-integration model to reinforce the long-term co-integration relationship between exchange rate and exchange rate volatility. As long as the exchange rate changes, that is, the exchange rate volatility changes, there may be a U-shaped switch of exchange rate depreciation, resulting in exchange rate risks of government intervention. Then, according to the analysis of the variance decomposition ratio, when the exchange rate intervention occurs, the number of days when the time lag of the exchange rate will impact the exchange rate volatility is most likely to be the fifth day after that, and exchange rate risk may occur. In order to avoid misjudgment of estimation, this paper uses the trend stationary time-varying Markov-switching (TVMS) model to compare the graphs to demonstrate that during the two periods of the “8.11” exchange rate reform in 2015 and the trade confrontation in mid-2018, the RMB appeared “prevents currency appreciations but not depreciations”. The phenomenon of “restraining devaluation” is the asymmetric U-shaped breakpoint switching under policy intervention, indicating that as long as there is a regime breakpoint, there will be government intervention.
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