汇率市场化进程中短期国际资本流动影响因素实证分析

An Empirical Study on Factors Affecting the Short-run International Capital Flows in Framework of Market-oriented Reform of Exchange Rate

以汇率市场化指数和汇率预期为代表的汇率因素对短期国际资本流动的影响最为显著,其次是以股票价格和房地产价格为代表的资产价格因素,最后是利率因素。因此,加快汇率形成机制的市场化改革,增强汇率变动的灵活性,进而弱化人民币单边升值(贬值)预期,是合理引导短期国际资本流动的重要举措。

This paper uses the index of exchange rate marketization to elastically analyze the effect of market-oriented reform of exchange rate on short-run international capital flows,collecting data from January 2003 to December 2012.On this basis,we use VAR model to analyze the effects of exchange rate,interest rate and the asset prices on the flows of short-run international capital.The results show that the exchange rate has the greatest impact on short-run international capital flows,followed by asset prices,and finally by interest rate.Therefore,we should speed up the exchange rate reform to guide the rational flow of short-term international capital.