“泰勒规则”、资本流动与汇率波动研究

Taylor Rule,Capital Mobility and Real Exchange Rate Fluctuations

本文从货币政策"泰勒规则"反应式出发,通过构建资本流动管制下汇率和通胀率决定的动态理论模型,以考察资本流动管制下汇率和通胀率系统的稳定性以及五类冲击对主要宏观变量的影响,并结合结构式VAR方法对长期人民币实际汇率波动的影响因素展开深入研究。本文研究发现,人民币长期汇率波动主要来源于商品市场,且相比于供给冲击,受需求冲击的影响较大;而短期汇率波动则取决于货币市场的冲击因素;此外,央行干预依然是影响汇率波动的重要因素。与此同时,泰勒规则对汇率波动的影响不具有长期持久性,并且由于我国存在资本流动管制,使得以利率为中介工具的货币政策对汇率决定的影响十分有限。因此,中央银行逐步放开资本流动管制以适应有管理的浮动汇率制度显得十分必要,而减少央行干预也有助于增强我国货币政策的独立性。在此基础上,我们得出了富有政策含义的若干启示。

This paper extends and builds a dynamic model with capital control when monetary policy follows a Taylor rule interest rate reaction function. And then we employ SVAR model to investigate the influencing fac- tors of the RMB exchange rate fluctuation based on the long - run constraints of the theoretical model. The em- pirical results show that demand shock, not supply shock, plays a dominant role in explaining the real RMB ex- change rate fluctuation. Furthermore, intervention activity of the central bank is also an important crucial factor of the exchange rate variations. However, the effect of the Taylor rule on the exchange rate fluctuation is not persistent in the long - term, and the monetary policy, intermediary tools of interest rate reaction function adjus- ting to output gap and inflation targets have little impact on the fluctuation of RMB exchange rate as a result of capital control. Therefore, the central bank should gradually open up capital account in order to adapt to the managed floating system of RMB exchange rate, and the reduction of central bank intervention can contribute to the independence of China＇s monetary policy. At last this paper puts forward some policy enlightenments.