反市场预期的人民币汇率操作能有效遏制短期资本流入吗?——基于MS-VAR模型的实证分析

Can the Exchange Rate Operations of RMB Against the Market Expectation Prevent Short-term Capital Inflows:An Empirical Study Based on MS-VAR Model

本文使用MS-VAR模型实证分析了2005年7月以来,我国中央银行在人民币汇率市场上的反市场预期操作对短期资本流入数量的影响。实证结果表明,在2005年7月至2013年12月的不同时间区间里,反市场预期的人民币汇率操作对短期资本流入数量的影响存在着显著的两区制特征,不同区制的划分主要以国际宏观经济环境是否存在极大的不确定性为依据。相对于正常的国际宏观经济环境时期,在国际经济环境不确定性加大的金融危机全面爆发背景下,人民币汇率操作对短期资本流入规模的抑制效果更明显。但考虑到汇改以来的短期资本月度平均规模,这种抑制的总体效果仍然是有限的。因此,有必要借助加强资本账户管制等手段来抑制短期资本的过度流入。

By using MS-VAR model, this paper examines the impact of China＇s central bank operating the foreign ex- change rate of RMB against the market expectation on the short-term capital inflows between July 2005 and December 2013. The results show that, the exchange rate operations of RMB effects on the inflows of short-term capital, and such impacts can be divided into two regimes due to whether or not there is great uncertainty on international financial market. Compared to the normal time of international financial market, the uncertainty raised by the global financial crisis would make such operation of China＇s central bank to constrain the inflows of short term capital effectively. However, the average scale of the inflow of short-term capital per month is so large that the total effect of such operation is still limited. Therefore, it is essential to strengthen the capital account controls as well as other means to prevent the excessive inflows of short-term capital.