关键词: 货币政策冲击 , 外汇干预 , 汇率 , SVAR模型；脉冲响应

Abstract: 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 movement, 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 fluctuations. Finally, the rising of nominal effective exchange rate might control CP'Is rising, however, quantitative monetary policy was easily to lead rebounding of CPI. This paper provided some policy implications according to research conclusions.

Key words: monetary policy shock , foreign exchange intervention , exchange rate , SVAR model, impulse response