利率市场化、汇率改制与国际资本流动的关系研究

发布时间：2018-01-17 23:16

本文关键词：利率市场化、汇率改制与国际资本流动的关系研究　出处：《经济研究》2017年04期 　论文类型：期刊论文

【摘要】：随着利率市场化改革、汇率改制以及资本账户开放改革进程的加快推进,我国金融市场面临着前所未有的挑战。本文从理论上分析了国际资本流动与利率、汇率之间的时变和互动关系,并采用时变参数向量自回归模型实证分析了三者之间的时变动态关系。通过进一步分析不同时间阶段我国利率市场化改革、汇率改制以及资本账户开放等对中美利差、汇率波动和国际资本流动的影响效应,结果发现:利率对汇率和国际资本流动的传导渠道相对有限;汇率对利率的传导受阻,但对国际资本流动的影响相对较为顺畅;国际资本流动对利率传导相对较弱,而对汇率的影响十分显著。可见,在利率—汇率—资本流动三者相互传导过程中,利率渠道最为不顺畅。利率对国际资本流动影响渠道受阻,除了因为我国利率的价格机制作用有限和资本账户管制外,另外一个原因则在于汇率日波动受限从而削弱了利率对汇率波动的传导效应,并使得"非平抛利率平价"曲线无法更好地发挥作用。同时为了避免由于难以控制的资本外逃而导致系统性金融风险,基于本文的研究结果,我国金融市场化改革应该遵循如下改革顺序:利率市场化—汇率改制—资本账户开放。
[Abstract]:With the reform of marketization of interest rate, the reform of exchange rate and the acceleration of the reform of capital account opening, China's financial market is facing unprecedented challenges. This paper theoretically analyzes the international capital flow and interest rate. The time-varying and interactive relationship between the exchange rate and the time-varying parameter vector autoregressive model is used to empirically analyze the time-varying dynamic relationship between the three. Through further analysis of the different time stages of interest rate marketization reform in China. The effects of exchange rate reform and capital account opening on the spread between China and the United States, exchange rate fluctuations and international capital flows. The results show that the transmission channels of interest rate to exchange rate and international capital flow are relatively limited; The transmission of exchange rate to interest rate is blocked, but the influence on international capital flow is relatively smooth; International capital flow is relatively weak to the transmission of interest rate, but the influence on exchange rate is very obvious. Thus, in the process of transmission of interest rate, exchange rate and capital flow, we can see. The channel of interest rate is the most unsmooth. The influence of interest rate on international capital flow is blocked, except for the limited function of price mechanism of interest rate and capital account control in our country. Another reason is that exchange rate daily fluctuations are limited, which weakens the transmission effect of interest rate to exchange rate volatility. In order to avoid the systemic financial risk caused by the capital flight which is difficult to control, it is based on the research results of this paper. China's financial marketization reform should follow the following reform order: interest rate marketization-exchange rate reform-capital account opening.
【作者单位】：暨南大学经济学院;华南师范大学经济与管理学院;重庆大学经济与工商管理学院;英国诺丁汉大学;厦门大学经济学院统计系、王亚南经济研究院;
【基金】：国家自然科学基金(71673033,71303081,71371160) 教育部人文社科基金(16YJA790058)资助
【分类号】：F832.5;F832.6
【正文快照】： 一、引言在有效市场中,利率、汇率与国际资本流动三者之间存在一种自动平衡机制,而“非平抛利率平价”直接影响该自动平衡机制能否得以有效实现。在资本自由流动和浮动汇率制度下,如果存在足够多的交易能力和交易机会,则套利力量将使得国际金融市场上相似金融资产的收益率趋

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