短期国际资本流动对人民币汇率的影响研究

发布时间：2018-04-26 10:10

本文选题：短期国际资本 + 人民币汇率　；参考：《湖南大学》2016年硕士论文

【摘要】：改革开放以来,我国经济全球化的程度不断提高,国际资本流动不可避免,尽管我国实行资本项目管制,但是随着汇率市场化改革和资本账户开放进程的推进,短期国际资本流动对一国的商品市场、外汇市场、货币市场产生复杂的作用,对我国的影响越来越大。一方面,短期国际资本流入促进资本投资、技术进步和企业公司制管理,进而促进实体经济发展；另一方面,短期国际资本流出也会引起通货紧缩、信贷收紧和股市暴跌。本文在汇率市场化改革和资本账户逐渐开放的背景下,选取2005年第3季度到2014年第4季度数据,通过查阅中外相关文献,总结出已有研究的特点和进度,选取新的角度对短期国际资本流动和人民币汇率进行研究。通过对研究对象的统计和描述,发现我国短期国际资本流动规模越来越大,这是因为我国资本账户开放程度逐渐加大,资本流入流出更加通畅。另一方面,随着我国汇率市场化改革进程的不断加深,人民币汇率波动幅度逐渐增加,并且汇率弹性加大,即使面临短期国际资本流动,也能保持汇率的稳定性,汇率改革取得了一定的成果。虽然短期国际资本流动的规模越来越大,波动性程度越来越高,但是我国汇率的稳定性却获得了很大的提升。在短期国际资本净流动、短期国际资本总流入、短期国际资本总流出三个视角下,分别结合其他变量中美利差、中美通货膨胀差异率、外汇干预程度因素,运用R软件,通过VAR实证方法,分析了它们对人民币汇率的影响,得出短期国际资本净流动和短期国际资本总流入对人民币汇率的影响基本一致,短期内使人民币汇率升值,长期内,引起人民币汇率贬值；短期国际资本总流出在短期内使人民币汇率贬值,长期内使人民币汇率升值；中美利差在短期内使人民币汇率升值,长期内人民币汇率贬值；外汇干预程度在短期国际资本总流出时,对人民币形成支撑,央行干预使市场产生人民币汇率升值预期：根据方差分解对比分析,发现短期国际资本总流出对人民币汇率的影响大于短期国际资本总流入对汇率的影响。因此建议我国进一步推进利率市场化改革,坚持人民币汇率市场化形成机制,增强汇率调节国际收支的功能。另一方面,加强对短期国际资本流动的监测和管理,对投机性资本采取征收托宾税等措施限制套利套汇行为。其次,加强金融创新,提供多种工具对冲汇率风险,增强市场自身的调节功能。大力发展人民币离岸市场,推行人民币国际化,加强对境外市场人民币工具的创新。
[Abstract]:Since the reform and opening up, the degree of economic globalization in our country has been increasing continuously, and the international capital flow is inevitable. Although our country implements capital account control, but with the advance of the exchange rate marketization reform and the process of capital account opening, Short-term international capital flow has a complex effect on a country's commodity market, foreign exchange market and money market, and has more and more influence on our country. On the one hand, short-term international capital inflows promote capital investment, technological progress and corporate management, thus promoting the development of the real economy; on the other hand, short-term international capital outflow will also cause deflation, credit tightening and stock market collapse. Under the background of exchange rate marketization reform and the gradual opening of capital account, this paper selects the data from the third quarter of 2005 to the fourth quarter of 2014, and summarizes the characteristics and progress of the existing research by consulting the relevant literature at home and abroad. Select a new perspective to study short-term international capital flows and RMB exchange rate. Through the statistics and description of the research objects, it is found that the scale of short-term international capital flow is becoming larger and larger in China, which is because the opening degree of capital account in our country is gradually increasing, and the capital inflow and outflow are more unobstructed. On the other hand, with the deepening of China's exchange rate marketization reform, the fluctuation of RMB exchange rate increases gradually, and the exchange rate elasticity increases. Even in the face of short-term international capital flows, it can also maintain the stability of the exchange rate. Exchange rate reform has achieved some results. Although the scale of short-term international capital flows is increasing and the degree of volatility is increasing, the stability of China's exchange rate has been greatly improved. Under the three visual angles of short-term net international capital flow, short-term total international capital inflow and short-term total international capital outflow, combining with other variables, the Sino-US interest rate, the inflation difference between China and the United States, and the factors of the degree of foreign exchange intervention, R software is used, respectively. Through the empirical method of VAR, this paper analyzes their influence on the RMB exchange rate, and concludes that the short-term net international capital flow and the short-term total international capital inflow have the same effect on the RMB exchange rate, and make the RMB exchange rate appreciate in the short run, and in the long run, Causes RMB exchange rate depreciation; Short-term international capital outflow makes RMB exchange rate depreciate in the short term, makes RMB exchange rate appreciate in the long run, the interest rate difference between China and the United States makes RMB exchange rate appreciate in the short term, and RMB exchange rate depreciates in the long term; The degree of foreign exchange intervention supports the RMB when the short-term total international capital flows out, and the central bank intervention makes the market expect RMB exchange rate appreciation: according to the variance decomposition and contrast analysis, It is found that the impact of short-term total international capital outflow on the RMB exchange rate is greater than that of short-term total international capital inflow on the exchange rate. Therefore, it is suggested that our country should further promote the reform of interest rate marketization, adhere to the mechanism of RMB exchange rate marketization, and strengthen the function of exchange rate in regulating the balance of payments. On the other hand, we should strengthen the monitoring and management of short-term international capital flows and impose Tobin tax on speculative capital to limit arbitrage. Secondly, strengthen the financial innovation, provide a variety of tools to hedge exchange rate risk, and enhance the market's own regulatory function. Vigorously develop the offshore market of RMB, promote RMB internationalization, and strengthen innovation of RMB instruments in overseas market.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.6

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