汇率波动加剧、资本流入反应与货币政策效应

RMB Exchange Rate Fluctuating Acceleration, Capital Inflows Reaction and Monetary Policy Effect

本文先构建带有汇率波动的内生经济增长模型,理论分析人民币汇率波动加剧对资本流入的影响,进而基于TVP-VAR-SV模型,实证研究人民币汇率波动、货币政策与资本流入之间的互动关系。理论结果表明,人民币汇率波动加剧对资本流入的影响是不确定的,主要取决于厂商对进口资本的依赖程度,以及出口商品价格在一般价格水平中的相对权重。实证结果表明,人民币汇率波动对于利率和资本流入的影响乘数在整个样本期内均表现为负值,且保持相对稳定,而利率波动对于资本流入的影响乘数则表现为"先低-后高-再低"的趋势,表现出时变特征;对于不同提前期的汇率波动冲击,预期在利率和资本流入反应中,起到重要作用;而不同时点的汇率波动冲击,资本流入反应程度与汇率波动幅度之间呈正相关关系。

This paper builds an endogenous growth models with RMB exchange rate fluctuations to analyze the influence of RMB exchange rate increasing fluctuations on capital inflows firstly, and then constructs a TVP-VAR-SV model to study the mutual relations among the RMB exchange rate fluctuations, monetary policy and capital inflows. The result is that the influence of RMB exchange rate increasing fluctuations on capital inflows is ambiguous in theory, mainly depending on the manufacturer＇s dependence on imported capital and the export commodity＇s price relative weight in the general price level. The positive result is that the impact of the RMB exchange rate fluctuations on interest rate and capital inflows multiplier was negative and remained relatively stable. While the effects of interest rate fluctuations on capital inflows is shown as a ＂low- high-low＂ trend. For exchange rate shocks of the different time in advance, ex- pectation plays an important role in the reaction of interest rate and capital inflows. And for the different time of exchange rate shocks, there is a positive correlation between the degree of capital inflows and the exchange rate fluctuations.