中美货币政策分化、人民币汇率与短期跨境资本流动关系研究

Research on the Relationship between Sino-Us Monetary Policy Divergence,RMB Exchange Rate and Short-term Cross-border Capital Flows

随着我国金融市场改革和资本账户开放的稳步推进,中美货币政策分化、人民币汇率和短期跨境资本之间的联系越发紧密。本文通过构建DCCGARCH模型和TVP-SV-VAR模型,实证分析了2007年1月至2023年2月的中美货币政策分化、人民币汇率与短期跨境资本之间的互动关系。研究发现,人民币汇率、中美利差、短期跨境资本三者具有较强的时变性特征,中美利差与人民币汇率的动态相关性最高。中美利差是人民币汇率的重要决定因素,也是短期资本跨境流动的主要驱动因素。“8·11汇改”顺畅了人民币汇率、中美利差和短期跨境资本之间的传导机制,增强了人民币汇率弹性。由此,本文提出关注中美货币政策分化、深化汇率市场化改革和推进资本项目开放等政策建议。

With the steady progress of China’s financial market reform and capital account opening,the linkages between China-US monetary policy divergence,RMB exchange rate and short-term cross-border capital have become closer.This paper empirically analyzes the interaction among Sino-US monetary policy divergence,RMB exchange rate and short-term cross-border capital from January 2007 to February 2023 by constructing a DCC-GARCH model and a TVP-SV-VAR model.It is found that the RMB exchange rate,the US-China interest rate spread,and short-term cross-border capital have strong time-varying characteristics,and the US-China interest rate spread has the highest dynamic correlation with the RMB exchange rate.The US-China interest rate spread is an important determinant of the RMB exchange rate and the main driver of short-term cross-border capital.The“8·11 exchange rate reform”has smoothed the transmission mechanism among the RMB exchange rate,the US-China interest rate spread and shortterm cross-border capital,and enhanced the flexibility of the RMB exchange rate.It is thus proposed to pay more attention to the divergence of monetary policies between China and the United States,deepen the market-oriented reform of the exchange rate,and promote the opening of the capital account and other policy recommendations.