Effectiveness Of The Foreign Exchange Intervention After The Exchange Rate System Reform In 2015

After the "8.11" exchange rate reform,the exchange rate of the renminbi fluctuated significantly,a huge amount of Chinese capital fled,and foreign-exchange reserves fell sharply.In this process,the market rumored that the People's Bank of China has intervened on the exchange rate of the RMB.The People's Bank of China did not give a positive denial,let alone announce at which times and in which markets it intervened and how to judge the effectiveness of its intervention.Of course,the central bank of any country can intervene in the foreign exchange market at the necessary moment.However,does the PBOC's foreign exchange intervention contribute to the marketization of the RMB exchange rate mechanism,and what are its far-reaching implications for the impact of foreign-exchange reserves? Obviously,what we are most reluctant to see is that the RMB exchange reform has gone further along the path of marketization and has also wasted a large number of foreign-exchange reserves.In addition,any central bank's intervention in the foreign exchange market will also affect the normal operation of the macro economy to a certain extent,and the independence of monetary policy may also be hampered.Therefore,the study on the effectiveness of central bank foreign exchange market intervention in the context of the "8·11" exchange rate reform has important practical significance.The full text altogether divides into six parts: The first chapter has carried on the elaboration to the background and the purpose of the research on the validity of the foreign exchange intervention.The second chapter summarizes the domestic and international foreign exchange market intervention effectiveness and the practical application of interest rate parity research results,elaborated the theoretical basis of this paper-the interest rate parity theory and Weymark definition of foreign exchange market pressure(EMP)and the central bank intervention index.The third chapter introducesthe inter-bank foreign exchange market(CNY market),and expounds its development process and structural characteristics.Chapter four qualitatively judges the direction of China's cross-border capital flows from the perspective of China's balance of payments and cross-border receipts and payments and foreign exchange sales and exchange data,that is,the number of foreign exchange market signals.Secondly,this part calculates the price and price range of the three markets according to the interest rates of China,the United States,the spot and forward exchange rates,and calculates the spread between the market price of CNY,CNH and NDF.Finally,according to the price signal and the number of signals are consistent to determine whether the central bank intervention,inferred the market intervention by the central bank.Chapter Five combines the definition and theoretical framework of Weymark(1997,1998)and Bu Yongxiang(2009)to construct an open macroeconomic model in China and use econometric methods to estimate the relevant parameters of the model to calculate the exchange rate between RMB and USD Market pressure index and PBOC intervention index on the foreign exchange market.By linking these two indicators,we can get the impact of RMB exchange rate policy changes.The changes in the pressure on China's foreign exchange market after the "8.11" exchange reform and the intervention by the monetary authority The effectiveness of the analysis.The sixth chapter is summary and prospect.This paper uses CNY SHIBOR,USD LIBOR,USD/RMB Spot Rate and Forward Rate from August 2015 to March 2017 to find that between August 2015 and December 2016,the interest rate and the exchange rate differences in China's onshore market are not consistent with the real direction of China's capital flows,which indicates that the Chinese government has used foreign exchange reserves for direct intervention during this period.From August 2015 to January 2016,the central bank intervention index of foreign exchange was between 0 and 1,and the intervention by the central bank at this stage was relatively effective.However,from February 2016 to December 2016,the effect of intervention is not good.Between January 2017 and December 2017,the number signals in the foreign exchange market are consistent with price signals,which means that the intervention in China's foreign exchange market is declining.At the same time,the volatility of the foreign exchange intervention index kept decreasing and kept close to zero at this stage.Especially after the introduction of the counter-cyclical factor in late May 2017,the intervention index was approximately 0.