人民币汇率变动对我国热钱流动的影响及政策建议

发布时间：2018-07-26 07:38

【摘要】：当巨额热钱进出一国时，会对该国的金融稳定构成极大的威胁。如果处理不当甚至有发生金融危机的危险。而之前学者在关于人民币汇率变动对热钱流动的影响方面的研究还有一些不足。此文通过运用2006年1月到2014年8月月度热钱流动的高频数据，分别对美元兑人民币即期汇率变动对热钱流动的影响及远期汇率变动对热钱流动的影响进行实证研究及对比分析。以CIP模型为理论基础，同时建立热钱流动受即期汇率波动(EFS)、利率差(Margin)影响以及热钱流动受远期汇率波动(EFF)、利率差影响的向量自回归（VAR）模型，进行脉冲响应分析、方差分解分析，最终得出以下结论：第一、热钱流动会受到上一个月和上两个月的热钱流动（HMF）、Margin、EFS、EFF的影响，同时从包含EFF的向量自回归模型中发现热钱流入还具备一定的趋势。具体来说：热钱流动随着之前月份HMF的增加有所增加，随着上一个月Margin的增大而增加，随着上两个月Margin的增大而减少，近期效应明显；随着上一个月和上两月人民币贬值有所减少；第二、与包含EFS的向量自回归模型相比，包含EFF的向量自回归模型的拟合程度更高、效果更好，所以远期汇率的状况对热钱流动的冲击更显著；第三、通过脉冲响应分析发现，不论是Margin、EFS、还是EFF对热钱跨境流动的影响都是长远的；第四、HMF产生波动时，可以将82%的影响归因于HMF本身，7.0%左右的影响可以归因于Margin因素,11%左右的影响归因于EFF因素。根据这些结论，提出以下的政策建议：第一，可以通过增加汇率浮动区间、外汇市场操作来控制汇率预期，并且制定政策要有前瞻性。第二、通过完善国际收支检测系统、制定热钱流动应急预案以及建立跨国热钱监测预警机制来加强外汇变动的检测与统计。第三、短期控制国际资本流动成本来调控资本流动规模，，长期则要积极推动利率市场化，逐渐减少利率差波动导致的巨额跨境流动。第四、制定政策要考虑政策的时滞性以及汇率、利率变动对热钱影响的时滞性。
[Abstract]:When a huge amount of hot money flows in and out of a country, it poses a great threat to the country's financial stability. If mishandled, there is even a risk of a financial crisis. Previous scholars on the RMB exchange rate changes on the impact of hot money flows, there are some deficiencies. By using the high frequency data of monthly hot money flow from January 2006 to August 2014, this paper makes an empirical study and comparative analysis on the impact of spot exchange rate changes against RMB on hot money flows and forward exchange rate changes on hot money flows. Based on CIP model, a vector autoregressive (VAR) model of hot money flows affected by spot exchange rate fluctuation, (EFS), rate difference (Margin) and forward exchange rate volatility (EFF), interest rate difference is established. The impulse response analysis and variance decomposition analysis are carried out. Finally, the following conclusions are drawn: first, hot money flows will be influenced by the flow of hot money in the last month and two months. At the same time, from the vector autoregressive model including EFF, it is found that there is a certain trend in the inflow of hot money. Specifically, the flow of hot money increased with the increase of HMF in the previous month, increased with the increase of Margin in the last month, and decreased with the increase of Margin in the last two months. With the decrease of RMB depreciation in the last month and the last two months, second, the vector autoregressive model including EFF has higher fitting degree and better effect than the vector autoregressive model including EFS. Therefore, the impact of forward exchange rate status on hot money flows is more significant. Thirdly, the impulse response analysis shows that both the margin EFS and EFF have a long-term impact on the cross-border flow of hot money. 82% of the effects can be attributed to the HMF itself, about 7.0% of the effect can be attributed to the Margin factor, about 11% of the effect can be attributed to the EFF factor. According to these conclusions, the following policy suggestions are put forward: first, we can control the exchange rate expectation by increasing the exchange rate floating band, foreign exchange market operation, and make the policy to be forward-looking. Secondly, we should strengthen the detection and statistics of foreign exchange by perfecting the balance of payments detection system, formulating emergency plan of hot money flow and establishing transnational hot money monitoring and warning mechanism. Third, to control the cost of international capital flows in the short term to control the scale of capital flows, in the long run, we should actively promote the marketization of interest rates and gradually reduce the huge cross-border flows caused by the fluctuation of interest rates. Fourth, we should consider the delay of policy and the influence of exchange rate and interest rate on hot money.
【学位授予单位】：沈阳工业大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.6

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