Reforms of the Foreign Exchange Management System and the Volatility in Foreign Exchange Market: A Perspective from the Big Player Theory

doi:10.12005/orms.2021.0025

Operations Research and Management Science ›› 2021, Vol. 30 ›› Issue (1): 177-183.DOI: 10.12005/orms.2021.0025

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Reforms of the Foreign Exchange Management System and the Volatility in Foreign Exchange Market: A Perspective from the Big Player Theory

GUO Xin-shuai¹, ZHANG Zhi-yue¹, JU Shan²

1. School of Management, University of Science and Technology of China, Hefei 230026, China;
2. The People's Bank of China Hefei Central Sub-branch, Hefei 230091, China

Received:2019-01-18 Online:2021-01-25

汇改与外汇市场波动性:大玩家理论的视角

郭新帅¹, 张之玥¹, 居姗²

1.中国科学技术大学管理学院,安徽合肥 230026;
2.中国人民银行合肥中心支行,安徽合肥 230091

作者简介:郭新帅(1978-),男,讲师,博士,主要研究方向: 商业周期、金融风险;张之玥(1996-),女,硕士研究生,主要研究方向:金融风险;居姗(1987-),女,博士,主要研究方向:金融风险管理。
基金资助:
中央高校基本科研业务费专项基金(WK2040170012)

Abstract

Abstract: The central bank's activities in foreign exchange market have a significant impact on market volatility. This paper, using the “big player theory” based on subjective expectation, explains differences of fluctuation of RMB exchange rate before and after China's reform of the foreign exchange administration system in 2005 and 2015. The central bank just plays the role of the “big player”. After reforms of foreign exchange administration system, the central bank's role as a “big player” has gradually weakened, causing less fluctuation and improving efficiency in the foreign exchange market. R/S analysis in the paper lends support to our explanation.

Key words: the central bank, foreign exchange market volatility, subjective expectation, big player theory

摘要： 央行在外汇市场的行动对市场波动性有重要影响。本文从主观预期概念出发,基于“大玩家”理论解释了2005年和2015年中国外汇管理体制两次改革前后人民币外汇市场的波动性差异。汇改前,央行积极地承担着“大玩家”的角色,人民币对美元汇率波动性较强;汇改后,央行的“大玩家”角色减弱,汇率波动性程度显著下降,市场效率增强。利用汇率数据进行的R/S分析支持了前述解释。

关键词: 中央银行, 外汇市场波动性, 主观预期, 大玩家理论

CLC Number:

F832

GUO Xin-shuai, ZHANG Zhi-yue, JU Shan. Reforms of the Foreign Exchange Management System and the Volatility in Foreign Exchange Market: A Perspective from the Big Player Theory[J]. Operations Research and Management Science, 2021, 30(1): 177-183.

郭新帅, 张之玥, 居姗. 汇改与外汇市场波动性:大玩家理论的视角[J]. 运筹与管理, 2021, 30(1): 177-183.

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Reforms of the Foreign Exchange Management System and the Volatility in Foreign Exchange Market: A Perspective from the Big Player Theory

汇改与外汇市场波动性:大玩家理论的视角

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