中国资本账户开放与外汇市场压力风险研究

发布时间：2018-05-26 23:23

本文选题：资本账户开放 + 外汇市场压力　；参考：《世界经济与政治论坛》2015年04期

【摘要】：基于中国1999-2013年的季度数据,从法定和事实两个层面测算了资本账户的开放程度,并通过综合考虑汇率波动与外汇储备变动的非模型依赖法测算了外汇市场压力。在此基础上,本文从理论视角探讨了资本账户开放与外汇市场压力风险的互动机制,并通过协整检验、构建误差修正模型和脉冲响应分析,对二者间的长期均衡关系和短期的相互影响进行了实证研究。研究结果发现,我国的资本账户开放度在法定层面呈现逐渐开放态势,事实层面受金融危机影响存在波动但整体趋于更加开放;人民币主要受到升值的外汇市场压力;二者间存在着长期均衡关系,且资本账户开放对外汇市场压力具有负向作用,即我国资本账户开放程度的提高会在长期导致人民币升值压力的增强,但二者间短期内的相互影响并不显著。
[Abstract]:Based on the quarterly data of China from 1999 to 2013, the opening degree of the capital account is calculated from the legal and factual aspects, and the foreign exchange market pressure is calculated by the non-model dependence method which considers the fluctuation of exchange rate and the change of foreign exchange reserves. On this basis, this paper discusses the interactive mechanism of capital account opening and foreign exchange market pressure risk from the perspective of theory, and constructs error correction model and impulse response analysis through cointegration test. The long-term equilibrium relationship and short-term interaction between the two are studied empirically. The results show that the openness of China's capital account is gradually open at the legal level, the fact level is affected by the financial crisis, but the whole tends to be more open, and the RMB is mainly under the pressure of appreciation of the foreign exchange market. There is a long-term equilibrium relationship between the two, and the opening of the capital account has a negative effect on the foreign exchange market pressure, that is, the increase of the opening degree of the capital account in China will lead to the increase of the pressure of RMB appreciation in the long run. However, the short-term interaction between the two is not significant.
【作者单位】：对外经济贸易大学国际经济贸易学院;南密西西比大学商学院;
【基金】：对外经济贸易大学国内外联合培养研究生项目赞助的阶段性成果
【分类号】：F832.6

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