资本项目开放进程中的外汇干预：目标、机制与有效性

发布时间：2018-03-13 10:36

本文选题：资本项目开放　切入点：外汇干预　出处：《对外经济贸易大学》2014年博士论文　论文类型：学位论文

【摘要】：本文深入分析了资本账户开放进程中我国汇率干预的目标、机制及有效性，建立了国际资本流动背景下均衡汇率及汇率决定的一般均衡分析框架，然后，在这个汇率决定的一般均衡分析框架下，将资本自由度作为衡量不同时期资本账户开放的程度的指标融入理论模型中，建立了基于资本项目开放测度下的外汇干预理论与模型，并分别从福利损失函数的视角以及汇率决定的视角探讨了外汇干预的最优反应函数。在对资本项目开放下的外汇干预进行国际经验研究时，主要考察了美日发达国家和巴西新兴市场经济体在外汇干预方面的实践经验，对不同经济发展阶段、宏观政策环境和资本自由度条件下外汇干预的目标、操作机制、有效性及其与货币政策协调问题进行了系统研究。在对我国外汇干预的目标、干预特征和冲销操作进行考察时，实证研究了我国外汇干预的反应函数和有效性；介绍了我国资本项目开放进程与自由度度量，系统研究了资本项目开放对我国经济体系、金融市场和汇率形成的效应，具体分析了资本项目开放对我国外汇干预目标、传导机制和有效性的影响，并探讨了资本项目开放条件下外汇干预与货币政策协调问题。本文采用规范分析与实证研究相结合的研究方法，结合历史经验分析与比较研究，并探索数学建模与金融研究的有机结合。在分析研究世界主要经济体以及我国资本项目开放进程中汇率干预的目标、手段及有效性的历史经验分析的基础上，建立理论模型并从实证的角度进行了深入研究。本文研究认为资本项目开放与汇率、利率市场化存在显著互动关系。资本项目开放后，资本流动、外汇干预与货币政策协调问题将更加突出，人民币汇率体制进一步市场化将是平衡问题的关键。对此，本文提出如下政策建议：渐进式推进资本项目开放；完善宏观审慎监管体系，建立开放经济条件下市场化调节国际资本流动的多层次工具体系；伴随资本项目逐步开放，协调推进汇率、利率市场化改革；在资本项目开放和利率、汇率市场化背景下，需要重新定位我国外汇干预政策目标，推动干预目标由影响、稳定汇率水平逐步向稳定市场秩序转变，进一步提高货币政策独立性，强化货币当局货币政策公信力和信誉度；大力支持香港人民币离岸市场发展，促进跨境贸易投资的人民币结算；加快国内金融市场发展和基础制度建设。本文最主要的创新有两点，第一，重新定义了“均衡汇率”的内涵，认为从研究均衡汇率以及汇率失衡对于汇率政策的指导意义而言，名义汇率的研究更有现实意义。于是建立了涵盖产品市场、资产市场和货币市场的开放经济下的一般均衡模型，并将资本开放自由度作为衡量不同时期资本账户开放的程度的指标融入理论模型中。同时，考虑了资本管制与风险溢价的未抵补利率平价引入到宏观经济模型中，并推导出名义汇率变化率的函数；而且分别从福利损失函数的视角以及汇率决定的视角探讨了央行的最优外汇函数。第二，通过实证研究的方法建立了我国央行的外汇干预反应函数，目前国内学者在这方面的研究不多，主要困难在于数据获得和解释变量的选取上。本文的不足主要局限于我国的高频数据和发达国家早期数据的获得困难上，今后这将是进一步研究的发展方向。
[Abstract]:In this paper, in-depth analysis of China's exchange rate intervention in the process of capital account liberalization goals, mechanism and effectiveness, established under international capital flow equilibrium general equilibrium exchange rate and exchange rate decision analysis framework, and then, the exchange rate in a general equilibrium analysis framework, the degree of freedom of capital as a measure of capital account liberalization in different periods the degree of the index into the theoretical model, a measure of capital account liberalization under the foreign exchange intervention theory and based on the model, and from the perspective of welfare loss function and exchange rate perspective to explore the optimal reaction function of the foreign exchange intervention. Intervention in the open of capital project for the empirical study, mainly investigated practical experience of developed countries and emerging market economy in Brazil in the foreign exchange intervention, in different stages of economic development, macroeconomic policy and investment environment The degree of freedom under the condition of foreign exchange intervention target, operation mechanism, makes a systematic research on the effectiveness of monetary policy and the coordination problem. In China's foreign exchange intervention on the target, inspected intervention and sterilizing operation characteristics, response function and empirical research on the effectiveness of China's foreign exchange intervention; introduced China's capital account the opening process and degree of freedom measurement, system of capital account opening of China's economic system, the effect of financial market and the RMB exchange rate formation, detailed analysis of China's foreign exchange intervention on capital account opening, transmission mechanism and effectiveness, and to explore the intervention in the foreign exchange and monetary policy coordination in the capital in an open condition.
This paper adopts the research methods of normative analysis and empirical research, combining the research and comparison analysis of historical experience, and explore the organic combination of research on Modeling and mathematical finance. In the analysis of the world's major economies, China's capital account opening in the process of exchange rate intervention targets, analyzing the historical experience and the effectiveness of the method the establishment of the theoretical model, and conducted in-depth study from an empirical perspective.
This study suggests that the exchange rate and open capital account, there was significant interaction between the interest rate market. Capital flows after the opening of the capital account, foreign exchange intervention, and monetary policy coordination issues will be more prominent, the RMB exchange rate system will be the key to further market equilibrium problems. For this, this paper proposes the following policy recommendations: to promote the gradual opening of the capital account; perfect the macro prudential supervision system, the establishment of open economy market-oriented regulation of international capital flow multi-level tool system; with the gradual opening of capital projects, promoting the coordination of exchange rate, interest rate marketization reform; in the opening of the capital account and interest rate, exchange rate market background, the need to redefine the policy goal of China's foreign exchange intervention, promote intervention affected by the target, stabilizing the exchange rate level and gradually changed to stabilize the market order, to further improve the independence of monetary policy, strong currency when The credibility and credibility of the monetary policy are strongly supported by the development of RMB offshore market in Hongkong, the RMB settlement of cross-border trade and investment, and the acceleration of the development of domestic financial market and the construction of basic system.
There are two points, the main innovation of this thesis first, redefines the connotation of "equilibrium exchange rate", that the exchange rate from the equilibrium exchange rate and the exchange rate imbalance of policy guidance, the nominal exchange rate is of more practical significance. So the establishment of the products covered market, general equilibrium model of open economy asset markets and currency markets under the, and will open capital freedom as a measure of capital account liberalization in different periods of degree index into the model. At the same time, considering not covered interest rate parity of capital controls and the risk premium into macroeconomic models, function and derive the nominal exchange rate change rate; and from the perspective of exchange rate and welfare loss function from the perspective of decision to explore the optimal foreign exchange function of the central bank. Second, through empirical research methods to establish the foreign exchange intervention in China - letter The number of domestic scholars at present not much research in this area, the main difficulty lies in data acquisition and interpretation of selected variables. The high frequency data of the inadequacy of this paper is mainly confined to China and developed countries early data was difficult to obtain, in the future it will be further research direction.

【学位授予单位】：对外经济贸易大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.6;F832.51

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