资本项目开放中的货币危机预警研究

Study on the Early Warning of Currency Crisis in the Process of Capital Account Liberalization in China

20世纪90年代以来,世界金融危机频繁爆发,不同程度地反映了国际资本流动对经济和金融的负面影响。随着我国资本项目开放的步伐逐步加快,构建资本项目开放中的风险预警系统是涉及到我国经济健康发展和宏观经济调控的重大课题。本文运用具有马尔科夫区制转换的向量自回归模型,构建了面向资本项目开放的货币危机预警模型。研究结果表明,预警模型发出风险信号的时机比较符合我国现实情况。文中对引发货币危机的潜在因素进行分析,针对发现的问题提出提高中央银行贷币政策独立性、加快利率和汇率形成机制改革、引入成熟市场经济调节方式等政策建议。

Since 1990s,frequent outbreaks of financial crisis reflect the negative impact by international capital flows on global economy and finance.With the acceleration of RMB capital account liberalization,establishing a risk warning system in that progress becomes an important topic to China for its economic development and macroeconomic control.This paper adopts Markov-Switching Vector Auto Regressive（MS-VAR） model to build up a risk warning model for currency crisis in RMB capital account liberalization.Research results show that the time when this model alerts is in line with China＇s actual status.The paper analyzes potential factors which may cause a currency crisis,and provides suggestions including enhancing independence of monetary policy of central bank,speeding up interest rate and exchange rate formation mechanism and introducing adjustment mode of mature economy for solving problems.