利率平价偏离、资本账户开放与经济波动—基于小国DSGE模型的分析

The deviation of interest rate parity, capital account liberalization, and economicfluctuations

基于中国资本管制、意愿结售汇改革、冲销干预等特征,引入国际风险溢价构建一个小国开放经济DSGE模型,分析了利率平价偏离时资本账户开放对中国经济波动和社会福利的影响.理论分析和数值模拟表明:1)利率平价偏离程度上升会增加本国通胀风险,加剧经济波动,伴随社会福利水平下降,如果央行忽略利率平价偏离的影响,将低估外国货币政策冲击对本国通胀和经济波动,以及社会福利的影响;2)资本账户开放会减小本国通胀风险,降低本国经济波动,提高社会福利水平.因此,中国应该坚持资本账户开放,稳步推进利率和汇率市场化改革,减小利率平价偏离程度,进一步提高资本账户开放的收益.

Based on some "Chinese characteristics" such as capital account liberalization,reform of exchange settlement system,sterilized intervention and so on,this paper introduces international risk premium and builds a small open economy DSGE model to analyze the impact of capital account liberalization on economic fluctuations and welfare when interest rate parity does not hold. Theoretical analysis and numerical simulation show that: 1) The increase in deviation of Interest Rate Parity increases the inflation volatility,exacerbates the economic fluctuations,and decreases welfare. If the central bank ignores the impact of deviation of interest rate parity,the influence of foreign monetary policy shock on domestic inflation,economic fluctuations and welfare will be underestimated. 2) Capital account liberalization reduces the inflation volatility and economic fluctuations,and enhances social welfare. Therefore,China should insist on capital account liberalization,and interest rate and exchange rate marketization,which can reduce the international risk premium and further improve the payoff of capital account liberalization.