套息交易、汇率波动和货币政策

发布时间：2018-06-25 01:05

本文选题：套息交易 + 汇率波动　；参考：《世界经济》2017年11期

【摘要】：本文将外汇市场上的微观金融主体,即套息交易者纳入传统的宏观经济模型中,并引入流动性螺旋机制,构建了汇率的金融决定模型,从而基于微观金融主体行为视角形成了对汇率波动现象的理论解释。本文进而提出"货币政策的汇率传染渠道",即美联储的货币政策影响套息交易者的行为,导致汇率波动,从而引发其他国家货币政策的变动。在此基础上,作者提出并检验了如下两个推论:在汇率制度的浮动程度达到较高水平之后,继续增加汇率制度的浮动程度,会削弱货币政策的独立性;在不同类别的资本项目中,与套息交易密切相关的资本项目的开放会更加显著地削弱货币政策独立性。最后,本文提出如下政策建议:适当的外汇干预是必要的;在资本开放的改革中,应优先开放与套息交易行为相关度较低的资本项目。
[Abstract]:In this paper, the micro-financial players in the foreign exchange market, that is, carry traders, are brought into the traditional macroeconomic model, and the liquidity spiral mechanism is introduced to construct the financial decision model of the exchange rate. Therefore, the theoretical explanation of exchange rate fluctuation is formed based on the view of micro financial subject behavior. This paper further puts forward the "exchange rate contagion channel of monetary policy", that is, the monetary policy of the Federal Reserve affects the behavior of carry traders and causes exchange rate fluctuations, thus causing the change of monetary policy in other countries. On this basis, the author puts forward and tests the following two inferences: after the floating degree of the exchange rate system reaches a higher level, it will weaken the independence of monetary policy if the floating degree of the exchange rate system continues to increase; In different types of capital account, the opening of capital account which is closely related to carry trade will weaken monetary policy independence more significantly. Finally, this paper puts forward the following policy suggestions: appropriate foreign exchange intervention is necessary, and in the reform of capital opening, priority should be given to opening capital accounts with low correlation with carry trading behavior.
【作者单位】：中山大学国际金融学院;南开大学金融学院;
【基金】：国家社科基金重大项目(16ZDA042) 教育部重点研究基地重大项目(14JJD790030) 国家自然科学基金青年项目(71603291)的阶段性成果
【分类号】：F822.0;F832.6

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