外部冲击、人民币汇率波动和短期跨境资本流动——基于MS-VAR模型

External Shocks, RMB Exchange Rate Fluctuations and Short-term Cross-border Capital Flows——Based on the MS-VAR Model

当前我国面临较为复杂的国际形势,全球市场不确定性增多,外部冲击将对我国汇率波动和短期跨境资本流动产生重要影响。本文构建了MS-VAR模型对外部冲击、人民币汇率波动和短期跨境资本流动的动态关系进行实证检验。实证结果表明:全球风险因素、美国数量型以及价格型货币政策调整会对我国汇率市场和短期跨境资本流动产生重要冲击效应;当我国金融市场遭受次贷危机、欧债危机、美国货币政策调整和美联储加息等外部冲击时,人民币汇率和短期跨境资本的波动性显著增强,并形成非对称效应。基于研究结果,本文提出将跨境资本流动纳入宏观审慎管理范畴、协调使用多种资本管理工具、不断完善跨境资本流动的监测和预警体系等政策建议。

Currently, China is facing a complex international situation, and the uncertainty factors in global financial market increase significantly. Under this circumstance,the external shocks of the international market will influence the exchange rate fluctuations and short-term cross-border capital flows in China. This paper establishes the MSVAR model to carry on the empirical research. The empirical results indicate that:Global risk factors,the U.S. Quantitative Monetary Policy and Price-based Monetary Policy have a great impact on exchange rate fluctuations and shortterm cross-border capital flows in China; When suffered from the subprime mortgage crisis, the European debt crisis,the US monetary policy adjustment,the Fed rate hike and other external shocks,the volatility of exchange rate and short-term cross-border capital flows will increase significantly,and thus forming an asymmetric effect. Finally,this paper proposes several strategic suggestions such as integrating short-term cross-border capital flows into macroprudential financial supervision, coordinating the use of various capital management tools and improving the shortterm cross-border capital flows monitoring and early warning system.