新一轮美联储加息对中国跨境资本流动溢出效应研究
发布时间：2019-08-04 09:13
【摘要】：本文通过构建2010年1月至2016年7月的VAR模型,实证分析了新一轮美联储加息对中国跨境资本流动的溢出效应。脉冲响应结果显示:第一,美国隔夜拆借利率对我国跨境资本流动各项目的冲击均在零轴以下,表明实际联邦基金利率对我国直接投资、证券投资、银行部门的资本流动为负向溢出效应。第二,中美平均汇率对我国跨境资本流动各项目的冲击均在零轴以下,但冲击幅度较美国隔夜拆借利率更大,表明人民币汇率波动对我国直接投资、证券投资、银行部门的资本流动有较强的负向溢出效应。第三,美国隔夜拆借利率、中美平均汇率对我国跨境资本流动各项目的冲击幅度总体较小且不断变弱,这与新一轮美联储加息的节奏相对缓和以及我国人民币汇率形成机制改革息息相关。因此,中国货币当局应及时关注和监测跨境资本流动,警惕和防范美联储加息对跨境资本流动的不利冲击;进一步完善人民币汇率的市场化形成机制,增强人民币兑美元汇率的双向浮动弹性,从根本上实现人民币汇率预期的稳定,进而缓解汇率波动对跨境资本流动的冲击。
[Abstract]:Based on the VAR model from January 2010 to July 2016, this paper empirically analyzes the spillover effect of a new round of Fed interest rate hike on cross-border capital flows in China. The impulse response results show that: first, the impact of overnight lending rate on various items of cross-border capital flow in China is below zero axis, indicating that the actual federal fund interest rate has a negative spillover effect on direct investment, securities investment and capital flow in the banking sector. Second, the impact of the average exchange rate between China and the United States on each item of cross-border capital flow in China is below zero axis, but the impact is larger than that of the overnight lending rate in the United States, which indicates that the fluctuation of RMB exchange rate has a strong negative spillover effect on China's direct investment, securities investment and capital flow in the banking sector. Third, the impact of the overnight lending rate of the United States and the average exchange rate between China and the United States on various items of cross-border capital flows in China is generally small and weakening, which is closely related to the relative moderation of the new round of Fed interest rate increase and the reform of RMB exchange rate formation mechanism in China. Therefore, Chinese monetary authorities should pay attention to and monitor cross-border capital flows in time, guard against and guard against the adverse impact of Fed interest rate hike on cross-border capital flows, further improve the marketization formation mechanism of RMB exchange rate, enhance the two-way floating elasticity of RMB exchange rate against the US dollar, fundamentally realize the stability of RMB exchange rate expectations, and thus alleviate the impact of exchange rate fluctuations on cross-border capital flows.
【作者单位】： 武汉大学经济与管理学院;
【基金】：教育部哲学社会科学研究重大课题攻关项目“欧美国家债务危机对我国的影响及对策研究”(12JZD029);教育部哲学社会科学研究重大课题攻关项目“经济发展新常态下我国货币政策体系建设研究”(15JZD013) 国家社会科学基金一般项目“我国流动性结构失衡的宏观经济影响与货币政策选择研究”(14BJY187)
【分类号】：F832.6
[Abstract]:Based on the VAR model from January 2010 to July 2016, this paper empirically analyzes the spillover effect of a new round of Fed interest rate hike on cross-border capital flows in China. The impulse response results show that: first, the impact of overnight lending rate on various items of cross-border capital flow in China is below zero axis, indicating that the actual federal fund interest rate has a negative spillover effect on direct investment, securities investment and capital flow in the banking sector. Second, the impact of the average exchange rate between China and the United States on each item of cross-border capital flow in China is below zero axis, but the impact is larger than that of the overnight lending rate in the United States, which indicates that the fluctuation of RMB exchange rate has a strong negative spillover effect on China's direct investment, securities investment and capital flow in the banking sector. Third, the impact of the overnight lending rate of the United States and the average exchange rate between China and the United States on various items of cross-border capital flows in China is generally small and weakening, which is closely related to the relative moderation of the new round of Fed interest rate increase and the reform of RMB exchange rate formation mechanism in China. Therefore, Chinese monetary authorities should pay attention to and monitor cross-border capital flows in time, guard against and guard against the adverse impact of Fed interest rate hike on cross-border capital flows, further improve the marketization formation mechanism of RMB exchange rate, enhance the two-way floating elasticity of RMB exchange rate against the US dollar, fundamentally realize the stability of RMB exchange rate expectations, and thus alleviate the impact of exchange rate fluctuations on cross-border capital flows.
【作者单位】： 武汉大学经济与管理学院;
【基金】：教育部哲学社会科学研究重大课题攻关项目“欧美国家债务危机对我国的影响及对策研究”(12JZD029);教育部哲学社会科学研究重大课题攻关项目“经济发展新常态下我国货币政策体系建设研究”(15JZD013) 国家社会科学基金一般项目“我国流动性结构失衡的宏观经济影响与货币政策选择研究”(14BJY187)
【分类号】：F832.6
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