国际资本流入、人民币汇率与政策干预
发布时间：2018-07-25 10:11
【摘要】：改革开放30余年里,我国的对外开放进程一直遵循着逐步放松资本管制的原则稳步前行,而汇率问题如今已成为该项进程中的核心问题。这是因为国家间的资本流动,难免会冲击我国的外汇市场,给人民币汇率的变动带来不确定性,从而影响我国宏观经济的运行。不难发现,随着对外开放进程地加深,我国自1993年起就已经成为吸引外国资本最多的发展中国家,而近年来陆续实施的QFII与沪港通机制也将我国的证券市场推向国际,为A股市场注入了大量的外国“血液”。故而,流入我国境内的跨国资本已经颇具规模,这必然会引起我国资产存量与结构的变化,从而影响人民币汇率的波动。因此,本文旨在运用我国已有的经验数据来探讨国际资本流入与人民币汇率二者之间的变动关系,并在此基础上为资本开放条件下的政策选择提出参考性建议。国际资本流动对国内经济变量有着广泛影响,如汇率、利率、外汇储备、国内货币供给甚至国内投资与储备。另一方面,美国金融危机在冲击全球实体经济的同时实施其量化宽松政策,由此释放出来的一部分美元顺势进入中国市场进行套利,为维持外汇市场稳定,国内基础货币被动性地增加,直接加深了国内的通胀压力。而汇率变动不仅会影响国内的金融稳定还会降低国内外投资者的投资兴趣,因而维持汇率的相对稳定成了经济健康发展的保障之一。根据国际货币基金组织(IMF)的定义,管理浮动汇率(Managed Floating Exchange Rate)是指政府经常干预外汇市场以维持汇率朝着有利于本国经济发展的方向变动。故而,本文结合中国的实际情况,建立相关模型,从理论上解释了人民币外汇市场压力指数与资本流入二者之间的关系。在实证检验中引入代表政府干预政策的宏观变量对人民币汇率进行稳定性分析:笔者研究发现,实际汇率与资本流入在5%的显著水平下存在一个协整方程,资本流入占GDP的比重每增加一个单位,实际有效汇率的值就会增加0.36个单位,代表政府干预手段的货币冲销政策、财政政策与资本流出管制都能在一定程度上熨平汇率的波动。
[Abstract]:During more than 30 years of reform and opening up, the process of opening to the outside world in our country has been following the principle of gradual relaxation of capital control, and the exchange rate has become the core issue in this process. This is because the capital flow between countries will inevitably impact the foreign exchange market of China, bring uncertainty to the change of RMB exchange rate, and thus affect the operation of China's macro economy. It is not difficult to find that with the deepening of the opening to the outside world, China has become the developing country that attracts the most foreign capital since 1993, and the mechanism of QFII and Shanghai Stock Connect, which has been implemented in recent years, has also pushed the securities market of our country to the international level. A large amount of foreign "blood" has been injected into the A-share market. Therefore, the transnational capital flowing into the territory of China has already taken on a large scale, which will inevitably cause the change of the stock and structure of assets in our country, thus affecting the fluctuation of RMB exchange rate. Therefore, the purpose of this paper is to explore the relationship between the international capital inflow and the RMB exchange rate by using the existing empirical data in China, and on this basis, to put forward some suggestions for the policy choice under the condition of capital opening. International capital flows have a wide influence on domestic economic variables, such as exchange rate, interest rate, foreign exchange reserves, domestic money supply and even domestic investment and reserves. On the other hand, while the US financial crisis has hit the global real economy, it has implemented its quantitative easing policy at the same time. As a result, some of the US dollars released from the crisis have entered the Chinese market to carry out arbitrage, in order to maintain the stability of the foreign exchange market. The domestic base currency increases passively, directly deepens the domestic inflation pressure. The exchange rate fluctuation will not only affect the domestic financial stability but also reduce the investment interest of domestic and foreign investors, so maintaining the relative stability of the exchange rate has become one of the guarantees of healthy economic development. According to the definition of the International Monetary Fund (IMF), the management of floating exchange rate (Managed Floating Exchange Rate) means that the government often intervenes in the foreign exchange market to keep the exchange rate moving in a direction conducive to the development of the country's economy. Therefore, based on the actual situation in China, this paper establishes a relevant model and theoretically explains the relationship between the pressure index of RMB foreign exchange market and capital inflow. In the empirical test, the macro variables representing government intervention policy are introduced to analyze the stability of RMB exchange rate: the author finds that there is a cointegration equation between real exchange rate and capital inflow at a significant level of 5%. When the proportion of capital inflow to GDP increases by one unit, the real effective exchange rate will increase by 0.36 units. The monetary sterilisation policy representing the government intervention means, the fiscal policy and the capital outflow control can to a certain extent smooth the fluctuation of the exchange rate.
【学位授予单位】：广东外语外贸大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.6
本文编号：2143485
[Abstract]:During more than 30 years of reform and opening up, the process of opening to the outside world in our country has been following the principle of gradual relaxation of capital control, and the exchange rate has become the core issue in this process. This is because the capital flow between countries will inevitably impact the foreign exchange market of China, bring uncertainty to the change of RMB exchange rate, and thus affect the operation of China's macro economy. It is not difficult to find that with the deepening of the opening to the outside world, China has become the developing country that attracts the most foreign capital since 1993, and the mechanism of QFII and Shanghai Stock Connect, which has been implemented in recent years, has also pushed the securities market of our country to the international level. A large amount of foreign "blood" has been injected into the A-share market. Therefore, the transnational capital flowing into the territory of China has already taken on a large scale, which will inevitably cause the change of the stock and structure of assets in our country, thus affecting the fluctuation of RMB exchange rate. Therefore, the purpose of this paper is to explore the relationship between the international capital inflow and the RMB exchange rate by using the existing empirical data in China, and on this basis, to put forward some suggestions for the policy choice under the condition of capital opening. International capital flows have a wide influence on domestic economic variables, such as exchange rate, interest rate, foreign exchange reserves, domestic money supply and even domestic investment and reserves. On the other hand, while the US financial crisis has hit the global real economy, it has implemented its quantitative easing policy at the same time. As a result, some of the US dollars released from the crisis have entered the Chinese market to carry out arbitrage, in order to maintain the stability of the foreign exchange market. The domestic base currency increases passively, directly deepens the domestic inflation pressure. The exchange rate fluctuation will not only affect the domestic financial stability but also reduce the investment interest of domestic and foreign investors, so maintaining the relative stability of the exchange rate has become one of the guarantees of healthy economic development. According to the definition of the International Monetary Fund (IMF), the management of floating exchange rate (Managed Floating Exchange Rate) means that the government often intervenes in the foreign exchange market to keep the exchange rate moving in a direction conducive to the development of the country's economy. Therefore, based on the actual situation in China, this paper establishes a relevant model and theoretically explains the relationship between the pressure index of RMB foreign exchange market and capital inflow. In the empirical test, the macro variables representing government intervention policy are introduced to analyze the stability of RMB exchange rate: the author finds that there is a cointegration equation between real exchange rate and capital inflow at a significant level of 5%. When the proportion of capital inflow to GDP increases by one unit, the real effective exchange rate will increase by 0.36 units. The monetary sterilisation policy representing the government intervention means, the fiscal policy and the capital outflow control can to a certain extent smooth the fluctuation of the exchange rate.
【学位授予单位】：广东外语外贸大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.6
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