汇率波动加剧、资本流入反应与货币政策效应

发布时间：2018-03-27 19:59

本文选题：汇率波动　切入点：货币政策　出处：《国际贸易问题》2016年07期

【摘要】：本文先构建带有汇率波动的内生经济增长模型,理论分析人民币汇率波动加剧对资本流入的影响,进而基于TVP-VAR-SV模型,实证研究人民币汇率波动、货币政策与资本流入之间的互动关系。理论结果表明,人民币汇率波动加剧对资本流入的影响是不确定的,主要取决于厂商对进口资本的依赖程度,以及出口商品价格在一般价格水平中的相对权重。实证结果表明,人民币汇率波动对于利率和资本流入的影响乘数在整个样本期内均表现为负值,且保持相对稳定,而利率波动对于资本流入的影响乘数则表现为"先低-后高-再低"的趋势,表现出时变特征;对于不同提前期的汇率波动冲击,预期在利率和资本流入反应中,起到重要作用;而不同时点的汇率波动冲击,资本流入反应程度与汇率波动幅度之间呈正相关关系。
[Abstract]:This paper first constructs an endogenous economic growth model with exchange rate fluctuations, analyzes theoretically the impact of RMB exchange rate volatility on capital inflow, and then empirically studies RMB exchange rate volatility based on TVP-VAR-SV model. The theoretical results show that the impact of RMB exchange rate fluctuation on capital inflow is uncertain, which mainly depends on the degree of dependence of firms on imported capital. The empirical results show that the influence multiplier of RMB exchange rate fluctuation on interest rate and capital inflow is negative in the whole sample period and remains relatively stable. On the other hand, the multiplier of interest rate fluctuation on capital inflow is the trend of "low first-then high-then low", showing time-varying characteristics, and for the exchange rate fluctuation shock of different lead times, it is expected to be in the reaction of interest rate and capital inflow. The impact of exchange rate fluctuations at different time points, the degree of capital inflow response and the exchange rate volatility range are positively correlated.
【作者单位】：上海师范大学商学院;
【基金】：国家社会科学基金项目(16BJY168) 国家自然科学基金资助项目(71471117) 教育部人文社会科学规划项目(12JYC790020) 上海市教委科研创新重点项目(14ZS105)
【分类号】：F832.6;F822.0

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