国际资本流动、外汇市场干预与人民币汇率

International Capital Flow, Foreign Exchange Intervention and RMB Exchange Rate

文章构建了基于外部均衡的资本流动、外汇市场干预与汇率分析框架,理论模型表明资本流动对汇率的影响取决于国内投资者和国际投资者的风险偏好,经济当局对资本流动进行积极的冲销干预有利于稳定汇率。对中国的资本流动、外汇市场干预和人民币汇率进行实证研究发现,相对于资本流入而言,资本流出冲击对人民币汇率的影响更为显著。对资本类型进行细分发现,不同类型的资本流动对人民币汇率的影响存在差异,其中证券投资资本流动对人民币汇率的影响最为强烈,因此经济当局对证券投资资本的冲销比例也高于其他资本。同时汇率变动对资本流动的影响因资本类型而异。

This paper sets up a framework of and exchange rate from the aspect of external capital flow, foreign exchange intervention balance. The theoretical model shows that the effect of capital flow on exchange rate depends on the risk appetite of domestic and foreign investors. Sterilized intervention helps to stabilize exchange rate. The empirical research on Chinese capital flow, foreign exchange intervention and RMB exchange rate shows that the effect of capital outflow on exchange rate is larger than that of capital inflow. The effect of capital flow on exchange rate varies because of different types of capital flow. Because the effect of portfolio investment capital flow on RMB exchange rate is stronger than that of other types, the sterilization ratio of portfolio investment capital flow is higher than that of other types. The effect of exchange rate on capital flow also depends on the type of capital flow.