人民币汇率、汇率预期与短期跨境资本流动

The RMB Exchange Rate,its Expectation and Short-term Cross-border Capital Flows

本文基于2005年8月-2022年6月的月度数据,分析了人民币汇率、汇率预期以及短期跨境资本流动现状,再运用时变参数向量自回归(TVP-SV-VAR)模型重点推演三者之间的非线性动态关系。研究发现:三者分别遭遇外部冲击时的波动率从小到大依次为:人民币汇率预期、人民币汇率、短期跨境资本流动;人民币汇率对汇率预期有显著正向影响,对短期跨境资本的影响在2017年前显著为正、之后并不显著;人民币汇率预期对短期跨境资本流动有显著负向影响,对人民币汇率的影响并不显著;多数情况下跨境短期资本流动对人民币汇率和汇率预期有显著正向影响;经济系统存在自平衡机制,当上述三个变量分别遭遇冲击时,各变量均能在2年内回到平衡状态。因此,建议相关部门在持续深化汇率市场化改革的基础上,还应加强汇率预期管理和完善短期跨境资本流动管理。

Based on the monthly data from August 2005 to June 2022,this paper analyzes the RMB exchange rate,exchange rate expectation and the current situation of short-term cross-border capital flows,and then uses the time-varying parameter vector autoregression(TVP-SV-VAR)model to deduce the nonlinear dynamic relationship between the three.The research finds that the volatility of the three variables when they encounter external shocks from small to large is:RMB exchange rate expectation,RMB exchange rate,short-term cross-border capital flow.The RMB exchange rate has a significant positive impact on exchange rate expectations,and the impact on short-term cross-border capital is significantly positive before 2017,but not after 2017.The expectation of RMB exchange rate has a significant negative impact on shortterm cross-border capital flows,but has no significant impact on RMB exchange rate;In most cases,cross-border shortterm capital flows have a significant positive impact on the RMB exchange rate and exchange rate expectations.There is a self balancing mechanism in the economic system.When the above three variables are impacted respectively,each variable can return to the equilibrium state within two years.Therefore,it is suggested that relevant authorities should also strengthen the management of exchange rate expectations and improve the management of short-term cross-border capital flows on the basis of deepening the reform of exchange rate marketization.