中国资本管制有效性的动态研究

发布时间：2018-05-28 22:50

本文选题：资本流出 + 资本流入　；参考：《山东大学》2017年硕士论文

【摘要】：尽管学术界与政界一直对于资本管制的利弊存在着持续的争论,但上世纪九十年代以来,随着各国资本管制不断开放、金融工具不断创新、资本市场全球化加速,国际短期资本频繁流动成为新兴市场国家经济和金融极大的不稳定因素,金融危机频发使得资本管制的必要性得到更多的肯定。随着人民币在2016年10月1日正式纳入IMF特别提款权一篮子货币,中国资本项目可兑换和人民币国际化进程已进入关键阶段。这一过程中,面对国内金融市场不够完善、规避汇率风险能力较差等问题,中国应继续实施必要的管制措施以应对日益复杂的国际资本自由流动带来的不确定风险,在保持汇率稳定的条件下,坚定、稳步推进资本市场的有序开放。在这样的背景下,研究当前中国资本管制的有效性仍然具有十分重要的意义。目前,国内学者通常用投资—储蓄相关性分析、利率平价法等方法,将一国的宏观经济变量之间的特定关系与资本管制有效性相联系,从而间接验证资本管制是否有效,并得出了较为一致的结论,即中国资本管制仅在短期内有效,在长期内趋于无效。但使用宏观变量之间的关系进行验证,仅能从整体上反映一国资本管制有效性,其间接的反映效果也不乏诸多局限,如忽略了多种其他重要因素对宏观变量关系的影响、结果主要以静态时点结果为主、难以对细分的资本类别下的管制效果进行分析等。本文希望在已有研究基础上对资本流入管制和资本流出管制进行分类研究,分别构建资本管制强度指数,并对两者在不同政策目标的效果上进行动态分析和比较,有助于分析中国当前资本管制的效果和人民币资本项目开放进程中资本管制重点应关注的问题。本文首先对中国资本流入管制和资本流出管制构建了详细而有针对性的衡量指标。接下来选取中国1998年到2015年实际产出、国内外真实利差、实际汇率、资本流动(包括资本流入和资本流出)和资本管制强度(包括资本流入管制强度和资本流出管制强度)五组变量的季度数据进行实证检验。由于2005年7月,中国进行了汇率形成机制改革,2005年7月后的汇率波动相较于前一时段明显加大,势必会对资本管制的有效性产生影响,因此本文将研究时间段分为2005年汇率改革前和汇改后两个阶段分别建立VAR模型和脉冲响应分析,观察资本流入管制和资本流出管制对这些目标政策变量的动态影响,以反映资本流入管制和资本流出管制分别对宏观政策目标的效果。实证结果表示,2005年汇改后的资本管制有效性相比于汇改前这一阶段明显降低,尤其是体现在两方面:第一,在资本流出加剧的情况下,不能很好地控制资本流出;第二,汇率市场化提高的情况下,资本管制总体上对汇率的稳定效果都不甚理想。根据实证分析结果,本文提出了相应的政策建议。
[Abstract]:Although there has been an ongoing debate between academia and political circles about the advantages and disadvantages of capital control, since the 1990s, with the continuous opening of capital controls in various countries, the continuous innovation of financial instruments and the acceleration of the globalization of capital markets, The frequent flow of international short-term capital has become a great unstable factor in the economy and finance of emerging market countries, and the frequent financial crisis has made the necessity of capital control more affirmed. The process of China's capital account convertibility and internationalization of the renminbi has entered a critical stage with the yuan formally being included in the IMF SDR basket on October 1, 2016. In the process, faced with the problems of imperfect domestic financial markets and poor ability to avoid exchange rate risks, China should continue to implement necessary regulatory measures to cope with the uncertain risks brought about by the increasingly complex free flow of international capital. Under the condition of maintaining stable exchange rate, we will steadily promote the orderly opening of capital markets. In this context, the study of the effectiveness of China's capital control is still of great significance. At present, domestic scholars usually use investment-savings correlation analysis, interest rate parity method and other methods to link the specific relationship between macroeconomic variables of a country and the effectiveness of capital control, so as to indirectly verify the effectiveness of capital control. The conclusion is that China's capital control is only effective in the short term and tends to be ineffective in the long run. However, using the relationship between macro variables can only reflect the effectiveness of a country's capital control as a whole, and there are many limitations in its indirect effect, such as neglecting the influence of many other important factors on the macro variable relationship. The results are mainly static time results, so it is difficult to analyze the control effect under the subdivided capital categories. This paper hopes to classify capital inflow control and capital outflow control on the basis of existing research, construct capital control intensity index separately, and make dynamic analysis and comparison on the effect of different policy objectives. It is helpful to analyze the effect of China's current capital control and the problems that should be paid attention to in the process of RMB capital account opening. Firstly, this paper constructs a detailed and targeted index for capital inflow control and capital outflow control in China. Next, select China's actual output from 1998 to 2015, the real domestic and foreign interest rate difference, the real exchange rate. The quarterly data of capital flow (including capital inflow and capital outflow) and capital control intensity (including capital inflow control intensity and capital outflow control intensity) are tested empirically. As China carried out the exchange rate formation mechanism reform in July 2005, the exchange rate fluctuation after July 2005 obviously increased compared with the previous period, which is bound to have an impact on the effectiveness of capital control. Therefore, this paper divides the period of study into two stages: before and after the exchange rate reform in 2005, and establishes VAR model and impulse response analysis, respectively, to observe the dynamic influence of capital inflow control and capital outflow control on these target policy variables. In order to reflect the effect of capital inflow control and capital outflow control on macro policy objectives. The empirical results show that the effectiveness of capital control after the exchange rate reform in 2005 is significantly lower than that before the exchange rate reform, especially in two aspects: first, the capital outflow can not be controlled well when the capital outflow intensifies; second, Under the situation of exchange rate marketization, capital control is not very good for the stabilization of exchange rate. According to the results of empirical analysis, this paper puts forward the corresponding policy recommendations.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.1

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