人民币汇率波动对国际资本流入的影响及其动态相关性研究

Study on the Impact of Renminbi Exchange Rate Volatility upon International Capital Inflow and Their Dynamic Relevance

利用1994年以来人民币名义有效汇率与国际资本流入的月度数据,建立考虑in-Mean效应的多元BEKKGARCH VAR模型,实证分析汇率波动对国际资本流入的影响及其动态相关性。结果表明,可预测的汇率变化对短期国际资本流入有显著的正效应,对长期资本流入有显著的负效应;不可预测的汇率不确定性对短期资本流入有显著负效应,对长期国际资本流入无显著影响。汇率波动与短期国际资本流入存在"正向反馈效应"和"波动溢出效应"两类动态相关机制,与长期国际资本流之间的动态相关性较弱。这对我国进一步深化汇率形成机制改革,稳步推进资本账户开放有重要的政策启示。

By using the monthly data of nominal effective Renminbi exchange rate and international capital inflow since 1994, and constructing a multivariate BEKK-GARCH VAR model considering in-Mean effect, an empirical analysis is made on the impact of exchange rate volatility upon international capital inflow and their dynamic relevance. The results indicate that the effect of predictable exchange rate change on short-term international capital inflow is apparently positive, while it is clearly negative on long-term international capital inflow; that the effect of unpredictable exchange rate uncertainty on sort-term capital inflow is apparently negative, while it has no obvious effect on long-term capital inflow. There is strongly ＂positive feedback effect＂ and ＂volatility spillover effect＂ between exchange rate volatility and short-term international capital inflow, while the dynamic relevance between exchange rate volatility and long-term capital inflow is much weaker. The results have important policy implications for further deepening the reform of exchange rate system and opening capital account in China.