人民币汇率、资产价格与短期国际资本流动——基于汇率弹性区间调整前后的实证研究

RMB Exchange Rate, Asset Prices and Short-term International Capital Flows Based——Based on the Empirical Study on Two Periods Before and After the Reform Exchange Rate System

基于2005年7月至2012年12月的月度数据,分两阶段运用VAR模型实证分析人民币汇率、资产价格与我国短期国际资本流动之间的动态关系。研究表明:人民币汇率的升值及升值预期,会导致短期国际资本流入我国;同时在人民币兑美元交易浮动幅度扩大后,短期国际资本流动自身的解释能力占到82%。为了更好地应对短期国际资本流动的冲击,我国必须加强对短期资本流动的监督与审查,尽快完善人民币汇率形成机制。

This article is based on July 2005 to December 2012 monthly data, the VAR model in two stages using empirical analysis of the RMB exchange rate, asset prices and short-term international capital flows of the dynamic relationship between. The empirical results show that the appreciation of the RMB exchange rate will lead to short-term international capital into our country;floating band of RMB against the U.S. dollar trading space to expand, the short-term international capital flows, their explanatory power accounted for 82%. In order to better cope with the impact of short-term international capital flows, China must strengthen the supervision on short-term capital flows and review, and gradually form a mechanism of the RMB exchange rate flexibility.