汇率对跨境资本流动的影响是非对称的吗?——基于门限自回归模型

Is The Effect Of Exchange Rate On Cross-Border Capital Flows Asymmetric?——Based on TAR Model

经济理论和各国经验表明,汇率对跨境资本流动及国际收支平衡具有重要意义。本文基于门限自回归模型,利用2005年1月-2019年10月的173期月度数据考察了汇率对不同期限、不同项目用途的跨境资本流动的非对称影响。分析表明:1.汇率是重要的门限变量;2.即期汇率对跨境资本流动净额、长期跨境资本流动以及经常账户跨境资本流动具有不对称影响,短期跨境资本流动和资本金融账户的跨境资本流动受汇率预期的不对称影响更显著;3.经济增长主要影响经常账户跨境资本的流动规模,利差主要影响资本金融账户的跨境资本流动大小。

Economic theory and national experience show that exchange rates are important for cross-border capital flows and balance of payments.Based on the Threshold Autoregression Model(TAR),this paper uses 173 monthly data from January 2005 to October 2019 to investigate the asymmetric impact of exchange rate on cross-border capital flows for different periods and projects.The analysis shows that:1.Exchange rate is an important threshold variable;2.Spot exchange rate has asymmetric effects on net crossborder capital flows,long-term cross-border capital flows and current account cross-border capital flows,while short-term cross-border capital flows and capital financial account cross-border capital flows are more significantly affected by asymmetric exchange rate expectations;3.Economic growth mainly affects the current account cross-border capital flows,and interest rate spreads mainly affect the capital financial account cross-border capital flows.