外汇市场压力、短期国际资本流动及通货膨胀——基于马尔可夫区制转换模型的实证研究

Exchange Market Pressure, Short-term International Capital Flows and Inflation:An Empirical Study Based on MS-VAR Model

本文探讨了外汇市场压力、短期国际资本流动及通货膨胀之间的相互关系,采用MS-VAR模型实证分析了上述变量在我国的动态变化关系。结果表明:人民币处于较强升值区制使短期资本流入且通胀上升;转为较强贬值区制则使短期资本大量外流且通胀下降;而人民币转向适度升贬值区制将使短期资本小幅流出且通胀下降。当前将人民币引向适度升贬值区制能够均衡外汇市场压力、短期国际资本流动和通货膨胀三方面的政策考虑,对我国经济较为有利。

We theoretically analyze the interaction among exchange market pressure, short-term international capital flows and inflation, and apply MS-VAR model on the dynamic relationship among these variables in China. The result indicates that capi- tal flows into China and inflation pressure increases when exchange of RMB is within a strong appreciation regime. Mean- while, a transition to strong depreciation regime may result in large capital outflow and decrease of inflation rate. When the ex- change rate of RMB moves into a moderate regime, capital flows out in a relatively small scale and inflation rate decreases. The transition of the exchange rate of RMB to a moderate regime has a positive impact on current economy, taking account of exchange market pressure, short-term international capital flows and inflation.