热钱流动与人民币汇率波动的相关性实证研究

An Empirical Research on the Correlation between Hot Money Flows and RMB Exchange Rate Fluctuation

本文利用VAR模型,分析了热钱流动与人民币汇率波动的相关性,为人民币汇率制度的完善提供政策支持和启示。研究结果表明热钱流动对人民币汇率波动的反应具有滞后性。短期看汇率的波动能够较大程度地影响热钱流动,但是热钱的流动对人民币汇率的波动影响较小,从长期来看更小。

By the means of the VAR model, this paper analyzes the correlation between the influence ot not money and RMB exchange rate in order to provide policy support and inspiration for the perfecting system of the RMB exchange rate. The research shows that the effect of hot money flows on RMB exchange rate fluctuaton, has the significant lag. In a short term, the fluctuations of the exchange rate can greatly influence the flow of the hot money, but the latter has little influence on the former, in the long term, even less.