新一轮美联储加息对中国跨境资本流动溢出效应研究

An empirical analysis on the spillover effect of the new round of the Fed rate rise on China's cross-border capital flows

本文通过构建2010年1月至2016年7月的VAR模型,实证分析了新一轮美联储加息对中国跨境资本流动的溢出效应。脉冲响应结果显示:第一,美国隔夜拆借利率对我国跨境资本流动各项目的冲击均在零轴以下,表明实际联邦基金利率对我国直接投资、证券投资、银行部门的资本流动为负向溢出效应。第二,中美平均汇率对我国跨境资本流动各项目的冲击均在零轴以下,但冲击幅度较美国隔夜拆借利率更大,表明人民币汇率波动对我国直接投资、证券投资、银行部门的资本流动有较强的负向溢出效应。第三,美国隔夜拆借利率、中美平均汇率对我国跨境资本流动各项目的冲击幅度总体较小且不断变弱,这与新一轮美联储加息的节奏相对缓和以及我国人民币汇率形成机制改革息息相关。因此,中国货币当局应及时关注和监测跨境资本流动,警惕和防范美联储加息对跨境资本流动的不利冲击;进一步完善人民币汇率的市场化形成机制,增强人民币兑美元汇率的双向浮动弹性,从根本上实现人民币汇率预期的稳定,进而缓解汇率波动对跨境资本流动的冲击。

Through constructing a VAR model from Jan 2010 to Jul 2016, this paper makes an empirical analysis on the spillover effect on the new round of Fed rate rise on China＇ s cross-border capital flows. Impulse response shows the following re- suits： Firstly, the impact of the US overnight lending rate on China＇ s cross-border capital flows is below zero axis. This phenome- non indicates that the real federal fund rate has a negative spillover effect on China＇ s direct investment, security investment and banks＇ capital flows. Secondly, the impact of average exchange rate between China and America on China＇ s cross-border capi- tal flows is below the zero axis, and the impact is even greater than the America＇ s overnight lending rate. It indicates that the fluctuation of RMB exchange rate has a strong negative spillover effect on China＇ s direct investment, security investment and banks＇ capital flows. Thirdly, the overall impacts of America＇ s overnight lending rate and the average exchange rate between America and China on China＇ s cross-border capital flows are small and constantly become weaker. This phenomenon is closely related to relatively mild rhythm of the new round of Fed rate rise and the reform of RMB exchange rate＇ s formation mechanism in China. Policy suggestions include： China＇ s monetary authorities should pay close attention to and monitor the cross-border capital flows at any time, vigilant and prevent the adverse impact of the Fed rate rise on China＇ s cross-border capital flows; We should further improve the formation mechanism of RMB exchange rate, enhance the bi-directional floating elasticity of the exchange rate between RMB and US dollars and achieve RMB exchange rate＇ s stability fundamentally. Only in this way can we further ease the impact of exchange rate volatility on cross-border capital flows.