CAJ | 학술논문

本文采用SVAR模型以及2005年7月至2011年12月的月度数据，研究了2005年的新汇率改革之后，我国货币政策冲击、外汇干预与汇率间的动态关联。主要发现与结论如下：在货币政策冲击、外汇干预与汇率三者的同期博弈中，外汇干预不能即刻影响同期汇率。利率的上升及广义货币供应量的变动均会对同期名义有效汇率造成一定影响，但不太显著。在三者的动态博弈中，外汇干预是非冲销和有效性得到验证，外汇干预信号的假设可以成立。此外，即使利率的变动并不针对汇率，却带来汇率的大幅波动。名义有效汇率的上升可以有效抑制消费价格指数（CPI）的提高，并且数量型货币政策容易造成CPI的反弹。本文针对研究结论提出了一些政策建议。
본문채용SVAR모형이급2005년7월지2011년12월적월도수거，연구료2005년적신회솔개혁지후，아국화폐정책충격、외회간예여회솔간적동태관련。주요발현여결론여하：재화폐정책충격、외회간예여회솔삼자적동기박혁중，외회간예불능즉각영향동기회솔。리솔적상승급엄의화폐공응량적변동균회대동기명의유효회솔조성일정영향，단불태현저。재삼자적동태박혁중，외회간예시비충소화유효성득도험증，외회간예신호적가설가이성립。차외，즉사리솔적변동병불침대회솔，각대래회솔적대폭파동。명의유효회솔적상승가이유효억제소비개격지수（CPI）적제고，병차수량형화폐정책용역조성CPI적반탄。본문침대연구결론제출료일사정책건의。
This paper adopted SVAR model to analyze the dynamic relationships among monetary policy shock, foreign exchange intervention and exchange rate movement since a new round of exchange rate regime reformation in 2005, based on monthly data between July 2005 and December 2011. The empirical results showed that among monetary policy shock, foreign exchange intervention and exchange rate move- ment, the foreign exchange intervention could not impact on exchange rate right away. Increase in interest rate and money supply changes could affect the nominal effective exchange rate insignificantly. Among the three factors＇ dynamic relevancies, the unsterilized nature and effectiveness of foreign intervention were verified. The hypothesis of foreign exchange intervention as signal might bring exchange rate fluctua- tions. Finally, the rising of nominal effective exchange rate might control CPrs rising, however, quantitative monetary policy was easily to lead rebounding of CPI. This paper provided some policy implications according to research conclusions.