我国国际资本流动与货币冲销有效性研究：2000-2012

发布时间：2019-06-12 00:26

【摘要】：自2000年以来,我国的国际收支出现持续双顺差。我国是国际资本的净流入国,使人民币长期处于升值压力之中。为了维持汇率的相对稳定或有序升值,央行需要在外汇市场买入外汇卖出本币进行干预,加上我国实行了强制结售汇制度,导致我国外汇储备规模急剧增加。货币当局资产负债表中国外资产的规模不断扩大,造成基础货币的膨胀,并通过货币乘数效应导致国内货币供给的扩张,增加通货膨胀的压力并影响了货币政策的独立性。因此,为了削弱外汇储备增加带来的货币供给扩张效应,央行主要利用发行央票和调整准备金率等工具来进行冲销操作。货币冲销的有效性直接影响到了我国货币政策的独立性,并且对物价稳定和内外均衡有着十分重要的意义。本文首先从理论分析角度,梳理了国际资本流动对货币政策的影响,以及货币冲销的必要性；然后描述了近年来不同形式资本流动的特点和变化,并从稳定性和波动性角度分析其对外汇储备的不同影响；还总结了我国的冲销现状,讨论了我国冲销工具的特点、成本和缺陷。在实证方面,本文采用修正的BGT模型和OLS方法,估计我国2000年至2012年期间国际资本流动与货币供给的定量关系,用冲销系数反映货币冲销的有效程度,用抵消系数反映资本流动对货币政策的抵消程度；并利用递归系数法估计了两系数的动态变化过程；同时,对不同形式资本流动的冲销力度进行了实证分析和比较。最后,对如何减轻外汇冲销压力提出了若干建议。通过上述理论分析和实证检验,发现如下结论：1.总体而言,2000年至2012年间,我国的货币冲销是有效的。冲销系数为-0.944,表明央行的干预措施对冲了大部分国际资本流动引发的货币供给变化。但资本流动的抵消效应也比较大,抵消系数为-0.833。因此认为我国的货币政策独立性受到影响。随着未来资本项目管制的放松和利率市场化改革,抵消效应可能会更大,将加大央行冲销的难度。2.央行对不同形式的资本流动的冲销力度是不同的。稳定性较高的资本流动对外汇储备的贡献率较高,而央行对其的冲销力度低于对波动性较大的资本流动的冲销力度。可能的原因有：一、稳定性较高的资本流动的规模要大于波动性较大的资本流动,其增加幅度超过了央行能够冲销的范围；二、波动性较大的资本流动对经济的冲击大,央行有意识地在其大规模流入时加大冲销干预。另外,把资本流动按外汇来源分类,发现央行对外国直接投资的冲销力度最大,认为与其规模的不断扩大和占外汇来源的比重提高相关；从动态变化上看,2006年后央行才开始对外国直接投资进行冲销,在2009年和2010年连续加大了对非直接投资的冲销,可能与这两个时期的高通胀压力有关。3.我国采用发行央票和调节存款准备金率的冲销工具,获得了一定成效。但是随着冲销规模的扩大和冲销成本的上升,以及工具本身存在的缺陷,限制了我国货币冲销的能力。4.2012年的资本流出缓解了央行的冲销压力并减少了央行的冲销直接成本,但是随着2013年资本的大规模流入,外汇储备的增长与稳健货币政策、去杠杆化政策之间的冲突会逐渐加重,央行未来又将承受巨大的冲销压力。从短期来看,应提高冲销干预的有效性,进一步改善冲销工具、汇率制度和外汇管理制度；从长期来说,我国必须进一步改善国际收支的巨额顺差,包括调整经济结构和外贸政策等。
[Abstract]:China's balance of payments has continued to have a double surplus since 2000. China is the net inflow country of international capital, so that the RMB is in the pressure of appreciation for a long time. In order to maintain the relative stability or the orderly appreciation of the exchange rate, the central bank needs to intervene in the foreign exchange market to buy foreign exchange and sell the local currency, plus the forced settlement of the foreign exchange system in our country, which has led to a sharp increase in the scale of foreign exchange reserves in our country. The expansion of the external assets of the balance sheet of the monetary authorities has led to the expansion of the base currency and the expansion of domestic currency supply through the monetary multiplier effect, increasing the pressure of inflation and affecting the independence of the monetary policy. Therefore, in order to weaken the currency supply expansion effect brought by the increase of the foreign exchange reserve, the central bank mainly uses tools such as the issuance of the central ticket and the adjustment of the reserve ratio to reverse the operation. The effectiveness of the reversal of money has a direct effect on the independence of the monetary policy of our country, and it is of great significance to the price stability and the internal and external balance. This paper first analyzes the influence of international capital flow on monetary policy and the necessity of currency reversal from the angle of theoretical analysis, and then describes the characteristics and changes of different forms of capital flow in recent years, and analyzes the different effects on foreign exchange reserves from the angle of stability and volatility. The paper also summarizes the reverse current situation of our country, and discusses the characteristics, cost and defects of the reverse tool in our country. In this paper, we use the modified BGT model and OLS method to estimate the quantitative relation between the international capital flow and the money supply for the period from 2000 to 2012. The dynamic process of two coefficients is estimated by the recursive coefficient method, and the reverse force of different forms of capital flows is analyzed and compared. Finally, some suggestions are put forward to how to reduce the foreign exchange reverse pressure. Through the above-mentioned theoretical analysis and empirical test, the following conclusions are found:1. In general, in the period 2000-2012, our country's currency reversal is effective. The write-off factor is-0.944, indicating that the central bank's intervention has hedges most of the changes in money supply triggered by the flow of international capital. However, the offset effect of capital flow is also large, and the offset coefficient is-0.833. Therefore, our country's monetary policy independence is affected. With the deregulation of the future capital project and the market-oriented reform of interest rate, the offset effect may be larger and the difficulty of the central bank's reversal will be increased. The central bank's reversal of different forms of capital flows is different. The higher stability of capital flows has a higher contribution to foreign exchange reserves, and the central bank's reverse is less than the reversal of the volatility of capital flows. The possible causes are:1. The higher-stability capital flows are larger than the volatility of the capital flows, the increase of which exceeds the range that the central bank can write off; and the relatively volatile capital flows have a great impact on the economy, The central bank has consciously stepped up the write-off intervention in its large-scale inflow. In addition, the capital flow is classified according to the source of foreign exchange, and it is found that the central bank's reversal of foreign direct investment is the largest, which is considered to be related to the expansion of its size and the specific gravity of the source of foreign exchange; from the dynamic change, the central bank has started to reverse the foreign direct investment in 2006, The continuous increase in the reversal of non-direct investment in 2009 and 2010 may be related to the high inflation pressures of these two periods. Our country adopts the reverse tool of issuing the central ticket and adjusting the reserve ratio of the deposit reserve, and has obtained some effect. But with the expansion of the write-off scale and the rise in the write-off cost, as well as the shortcomings in the tool itself, the ability to reverse our currency is limited. With the growth of foreign exchange reserves and the prudent monetary policy, the conflict between deleveraging and deleveraging will gradually increase, and the central bank will bear huge write-off pressure in the future. In the short term, the effectiveness of the write-off intervention should be improved, the reverse tool, the exchange rate system and the foreign exchange management system should be further improved; in the long term, our country must further improve the large surplus of the balance of payments, including the adjustment of the economic structure and the foreign trade policy.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6

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