[3月10日] 计量金融与大数据分析workshop

发布日期:2023-03-06 09:41    来源:

The Regime-Switching Policy for the RMB人民币汇率政策的模式转换

时间:2023310日(周五)10:00-11:30

地点北京大学经济学院107会议室 

主讲人:邱实复旦大学经济学院

主持老师:(北大经院王熙

参与老师:(北大经院)王一鸣、刘蕴霆、王法

(北大国发院)黄卓张俊妮孙振庭

 (北大新结构)胡博

报告摘要:The RMB exchange rate policy follows a “two-pillar” rule, with the market pillar reflecting foreign exchange market conditions and the basket pillar stabilizing the RMB index. This documents a clear pattern of regime-switching in the policy coecients on the market pillar. We further find that macroeconomic variables, the intraday market condition as well as the news on trade conflict drive the regime-switching of policy coecients. In a Markov- switching rational expectations model, we demonstrate that regime-switching rules expand the set of policy combinations to guarantee the economy’s determinacy and to rule out self- fulfilling depreciation. A policy implication is that the regime change of the RMB policy rule, driven by dierent economic conditions, is a generalization of the counter-cyclical factor — a policy tool that the PBOC uses to stabilize the RMB exchange market.

主讲人简介:邱实,复旦大学经济学院讲师,印第安纳大学布鲁明顿分校经济学博士(2019)。研究方向包括计量经济学,宏观计量,数量宏观和计算。