国际收支对人民币汇率动态影响机制

发布时间：2018-10-30 16:20

【摘要】：本文基于国际收支平衡和投资者资产偏好视角建立了国际收支和资本流动对人民币汇率影响的理论模型并进行实证检验。研究结果显示,经常账户和金融账户的随机波动率不断增强,汇率的随机波动率呈周期性变化,外汇市场干预的随机波动率的时变性并不明显;时变冲击响应结果显示,经常账户、金融账户、资本流动对人民币汇率影响的动态效应并不明显;非时变冲击响应结果显示,金融账户尤其是证券投资是中短期人民币汇率变动的主要驱动因素,汇率可以对金融账户发挥调节作用,但对经常账户的调节作用较差;资本流入的随机波动率不断增强,而资本流出的随机波动率近年来有所趋缓;国内投资者和国际投资者表现出较为相似的资产偏好,汇率对资本流入的调节效应强于对资本流出的调节效应。
[Abstract]:Based on the perspective of balance of payments and investors' asset preference, this paper establishes a theoretical model of the impact of balance of payments and capital flows on the RMB exchange rate and conducts an empirical test. The results show that the random volatility of current account and financial account is increasing, the random volatility of exchange rate is changing periodically, and the time variation of the random volatility of foreign exchange market intervention is not obvious. The results of time-varying shock response show that the dynamic effects of current account, financial account and capital flow on RMB exchange rate are not obvious. The results of time-invariant shock response show that financial account, especially securities investment, is the main driving factor of RMB exchange rate change in the short and medium term. Exchange rate can regulate the financial account, but not the current account. The random volatility of capital inflow is increasing, while the random volatility of capital outflow has slowed down in recent years. Domestic and international investors show similar asset preference, and the adjustment effect of exchange rate on capital inflow is stronger than that on capital outflow.
【作者单位】：厦门大学经济学院;
【基金】：国家自然科学基金项目“动态优化视角下的中国外汇储备全面风险管理研究”(71473208) 教育部哲学社会科学重大课题攻关项目“中国外汇储备的科学管理及战略问题研究”(12JZD027) 中央高校基本科研业务费专项资助“人民币离岸金融市场发展研究”(20720161053)
【分类号】：F832.6

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