Research On The Identification And Measurement Of China’s Foreign Exchange Market Pressure

At present,China’s economy has entered a new era of high-quality development with downward pressure,and profound changes have taken place in the international and external environment.The Party’s 19 th National Congress emphasized that preventing and resolving major risks is the first of the three major battles,and it is necessary to prevent abnormal fluctuations and resonance in the financial market.The exchange rate market is an important part of China’s financial market.In the process of reforming the exchange rate system and the opening of the capital account,maintaining the appropriate flexibility of exchange rate fluctuations is conducive to reducing the risks in the exchange rate market and effectively preventing the risks in the foreign exchange market from resonating with the interest rate market,the stock market and other financial markets.In this context,this paper studies the pressure of China’s foreign exchange market.On the one hand,it provides theoretical guidance for the formation mechanism of RMB exchange rate by identifying the factors affecting the China’s foreign exchange market pressure.On the other hand,the foreign exchange market can play a safeguarding role in the economic development and the opening of the financial market,and lay a solid foundation for the further reform of the exchange rate system and the opening of the capital account.This paper takes the research status and theoretical research basis of foreign exchange market pressure as the starting point of analyzing problems and explains the research status of China’s foreign exchange market pressure.On this basis,taking January 2010 to December 2018 as the research sample interval,the exchange rate volatility and the rate of change of foreign exchange reserves were used to construct the China’s foreign exchange market pressure index.And it describes the change trend of the China’s foreign exchange market pressure index.Using markov region vector autoregressive model,a dynamic nonlinear model including foreign exchange market pressure,price level,money supply and economic growth is constructed.The state variables of China’s foreign exchange market are obtained through the event daily study method,and the pressure of China’s foreign exchange market is divided into three zones: appreciation pressure,depreciation pressure andnormal fluctuation.After describing the characteristics of foreign exchange market pressure under different zones,the dynamic fluctuation characteristics of foreign exchange pressure under different zones are analyzed by using impulse response function.Finally,according to the empirical results,this paper draws a conclusion.The results show that compared with the linear VAR model,the nonlinear MS-VAR model can better identify the change characteristics of foreign exchange market pressure.During the study period,the regional system of appreciation pressure,depreciation pressure and normal fluctuation of China’s foreign exchange market is remarkable,and China’s foreign exchange market has changed from the initial one-way appreciation pressure to the coexistence of normal fluctuation,appreciation pressure and depreciation pressure.In the normal fluctuation zone system,the degree of price level change is relatively significant,the money supply and the level of economic growth are in a relatively stable state.In the appreciation pressure zone,the increase of price level and money supply alleviates the appreciation pressure of foreign exchange market,and the increase of economic growth rate increases the appreciation pressure of foreign exchange market.In the devaluation pressure zone,the increase of price level and money supply will intensify the depreciation pressure in the foreign exchange market,and the increase of economic growth rate can alleviate the depreciation pressure.At present,China’s foreign exchange market is under significant depreciation pressure zone system.In order to alleviate the depreciation pressure of foreign exchange market,first of all,relevant government departments should control the rate of change of price level and adopt positive measures to maintain the relative stability of price level.Secondly,relevant departments should further promote the market-oriented process of exchange rate,enhance the stability of RMB exchange rate and stimulate the vitality of foreign exchange market.Finally,the central bank should maintain the money supply in a relatively stable state to meet the needs of economic development while avoiding the impact of excessive growth of money supply on the pressure of foreign exchange depreciation.