美国货币政策变动对中国短期资本流动的影响
发布时间：2018-11-08 16:22
【摘要】：短期资本流动对一国经济会产生强烈的干扰作用,而美联储的货币政策的变化又会引起短期资本的剧烈波动。2014年美联储宣布退出量化宽松政策,2015年人民币进行汇改,人民币贬值趋势形成,美元逐步进入加息周期,中国国际短期资本外流压力陡然提升。2016年全年,我国外汇储备跌破三万亿大关。近年来,中国资本与金融账户的顺逆差交替出现,标志着中国所面临的国际资本流动(尤其是短期资本流动)的波动性已经显著增强。笔者认为,造成中国短期资本流动性大幅提高的重要原因是国内外货币政策的不可预测性。纵观全球局势,发达国家货币政策出现了大分化。目前,美国已经退出量化宽松政策并开启加息周期而欧元区与日本在量化宽松政策上越陷越深,发达经济体的货币政策分歧造成全球范围内对未来流动性总量松紧程度的判断出现分化。反观中国国内,对于未来利率水平如何变动的看法也不尽一致。利率预期的不确定性,再加上汇率变动的不确定性对新时期经济形势下的短期流动资本管理造成了极大的挑战。在此背景下,本文首先通过梳理美国货币政策变化的外溢效应的相关文献研究找到本文的突破口,着重分析美国货币政策变化对中国短期资本流动这一具有现实意义的课题。然后详细分析美国货币政策影响中国短期资本流动的理论基础和作用机制:美国货币政策的变化通过改变中美利率差异、汇率差异两种渠道作用于中国短期资本的流动。实证部分,本文选取中国短期资本流动、美国货币政策指数、利率水平、人民币汇率水平和国内资产价格作为变量,通过构建VAR模型来定量分析美国货币政策对中国短期资本流动的影响。实证结果表明:美联储加息,货币政策收紧将导致中国短期资本持续流出。美国货币政策变动通过改变中美利率水平差异和汇率水平差异来影响中国短期资本流动的效果非常明显,中国要谨防美联储货币政策转向后资本外流带来的系统性风险。最后,分别从中国机制体制改革和加强短期资本管控能力两个方面提出自己的政策建议。
[Abstract]:Short-term capital flows can have a strong disruptive effect on a country's economy, and changes in the Fed's monetary policy can lead to sharp fluctuations in short-term capital. In 2014, the Fed announced its withdrawal from quantitative easing, and the renminbi was reformed in 2015. China's foreign exchange reserves fell below the $3 trillion mark for the whole of 2016 as the renminbi weakened, the dollar gradually entered a rate hike cycle, and the pressure on China's international short-term capital outflow rose sharply. In recent years, China's balance of capital and financial accounts has alternately appeared, indicating that the volatility of international capital flows (especially short-term capital flows) that China is facing has increased significantly. The author believes that the unpredictability of monetary policy at home and abroad is an important reason for the substantial increase of short-term capital liquidity in China. Looking at the global situation, developed countries' monetary policy has been greatly divided. Now, the United States has pulled out of quantitative easing and started a cycle of interest rate hikes, while the euro zone and Japan are getting deeper and deeper in quantitative easing. Divergences in monetary policy in developed economies have led to a global divergence of judgments about how much liquidity will be tight in the future. China, on the other hand, has different views on how interest rates will change in the future. The uncertainty of interest rate expectation combined with the uncertainty of exchange rate changes has posed a great challenge to the short-term liquidity capital management in the new economic situation. Under this background, this paper firstly finds a breakthrough by combing the literature about the spillover effect of American monetary policy change, focusing on the practical significance of American monetary policy change to China's short-term capital flow. Then the theoretical basis and mechanism of the influence of American monetary policy on China's short-term capital flows are analyzed in detail: the changes of American monetary policy affect the short-term capital flows in China by changing the interest rate difference between China and the United States, and by changing the exchange rate difference. In the empirical part, this paper selects China's short-term capital flow, US monetary policy index, interest rate level, RMB exchange rate and domestic asset price as variables. VAR model is used to analyze the impact of American monetary policy on China's short-term capital flows. Empirical results show that the Federal Reserve rate rise, monetary policy tightening will lead to sustained short-term capital outflows from China. Changes in U.S. monetary policy affect China's short-term capital flows by changing the differences in interest rates and exchange rates between China and the United States. China should guard against the systemic risks of capital outflows after the Fed's monetary policy shift. Finally, the author puts forward his own policy suggestions from two aspects of China's institutional reform and strengthening the ability of short-term capital control.
【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】：F827.12;F832.6
[Abstract]:Short-term capital flows can have a strong disruptive effect on a country's economy, and changes in the Fed's monetary policy can lead to sharp fluctuations in short-term capital. In 2014, the Fed announced its withdrawal from quantitative easing, and the renminbi was reformed in 2015. China's foreign exchange reserves fell below the $3 trillion mark for the whole of 2016 as the renminbi weakened, the dollar gradually entered a rate hike cycle, and the pressure on China's international short-term capital outflow rose sharply. In recent years, China's balance of capital and financial accounts has alternately appeared, indicating that the volatility of international capital flows (especially short-term capital flows) that China is facing has increased significantly. The author believes that the unpredictability of monetary policy at home and abroad is an important reason for the substantial increase of short-term capital liquidity in China. Looking at the global situation, developed countries' monetary policy has been greatly divided. Now, the United States has pulled out of quantitative easing and started a cycle of interest rate hikes, while the euro zone and Japan are getting deeper and deeper in quantitative easing. Divergences in monetary policy in developed economies have led to a global divergence of judgments about how much liquidity will be tight in the future. China, on the other hand, has different views on how interest rates will change in the future. The uncertainty of interest rate expectation combined with the uncertainty of exchange rate changes has posed a great challenge to the short-term liquidity capital management in the new economic situation. Under this background, this paper firstly finds a breakthrough by combing the literature about the spillover effect of American monetary policy change, focusing on the practical significance of American monetary policy change to China's short-term capital flow. Then the theoretical basis and mechanism of the influence of American monetary policy on China's short-term capital flows are analyzed in detail: the changes of American monetary policy affect the short-term capital flows in China by changing the interest rate difference between China and the United States, and by changing the exchange rate difference. In the empirical part, this paper selects China's short-term capital flow, US monetary policy index, interest rate level, RMB exchange rate and domestic asset price as variables. VAR model is used to analyze the impact of American monetary policy on China's short-term capital flows. Empirical results show that the Federal Reserve rate rise, monetary policy tightening will lead to sustained short-term capital outflows from China. Changes in U.S. monetary policy affect China's short-term capital flows by changing the differences in interest rates and exchange rates between China and the United States. China should guard against the systemic risks of capital outflows after the Fed's monetary policy shift. Finally, the author puts forward his own policy suggestions from two aspects of China's institutional reform and strengthening the ability of short-term capital control.
【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】：F827.12;F832.6
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