利率市场化、汇率改制与国际资本流动的关系研究

Interest Rate Liberalization,Exchange Rate Reform,and International Capital Flow

随着利率市场化改革、汇率改制以及资本账户开放改革进程的加快推进,我国金融市场面临着前所未有的挑战。本文从理论上分析了国际资本流动与利率、汇率之间的时变和互动关系,并采用时变参数向量自回归模型实证分析了三者之间的时变动态关系。通过进一步分析不同时间阶段我国利率市场化改革、汇率改制以及资本账户开放等对中美利差、汇率波动和国际资本流动的影响效应,结果发现:利率对汇率和国际资本流动的传导渠道相对有限;汇率对利率的传导受阻,但对国际资本流动的影响相对较为顺畅;国际资本流动对利率传导相对较弱,而对汇率的影响十分显著。可见,在利率—汇率—资本流动三者相互传导过程中,利率渠道最为不顺畅。利率对国际资本流动影响渠道受阻,除了因为我国利率的价格机制作用有限和资本账户管制外,另外一个原因则在于汇率日波动受限从而削弱了利率对汇率波动的传导效应,并使得"非平抛利率平价"曲线无法更好地发挥作用。同时为了避免由于难以控制的资本外逃而导致系统性金融风险,基于本文的研究结果,我国金融市场化改革应该遵循如下改革顺序:利率市场化—汇率改制—资本账户开放。

Summary： As interest rate, exchange rate, and capital account reforms accelerate, the Chinese financial market faces unprecedented challenges. Most studies show that factors such as capital control, transaction cost, and limited arbitrage render the relationship between the interests and forward exchange rates as nonlinear and time-varying on a non-flat-rate parity curve. This paper builds a time-varying theoretical model to identify the relationships between the interest rate, exchange rate, and international capital flow based on the current market situation in China, where the monetary authority implements a managed floating exchange rate system and capital control. Using monthly data for 1997M01--2016M04, we establish a vector autoregressive model with time-varying parameters to estimate their relationships. Unlike the traditional constant VAR model, our framework can effectively derive the dynamic relationships between the three variables over time. The model can also be used to evaluate the effectiveness of a non-flat-rate parity curve in China. We analyze the effects of the market-oriented reform of the interest rate, the exchange rate system, and capital account liberalization on the interest and exchange rates and international capital flow. The results show that if the difference between the onshore and offshore RMB interest rates exceeds the threshold value, the effect of the interest rate on the exchange rate is positive, as is the effect of an interest rate shock on the international capital flow. However, if the difference between the onshore and offshore RMB interest rates is below the threshold value, the exchange rate depreciates or remains unchanged, and the positive effect of an interest rate shock on the international capital flow declines substantially. Thus, currency appreciation and interest rate expectation promote international capital inflows if and only if the risk premium is sufficiently large, making the effects of the interest rate and the exchange rate on the international capital flow time-varying conditional on the risk premium. These findings make a useful contribution to the literature. The analysis of time-varying variance decomposition shows that the effect of interest rate changes on the exchange rate and international capital flow is relatively limited. The transmission mechanism from the exchange rate to the interest rate is almost ineffective, although it is relatively effective from the exchange rate to the international capital flow. In sharp contrast, the effect of the international capital flow is limited on the interest rate but highly significant on the exchange rate. The reasons the effects of interest rate changes on the international capital flow and exchange rate are limited are twofold. First, the monetary authority still controls the capital account, which weakens the price transmission effect of interest rate changes on the other two variables. Second, the monetary authority controls the exchange rate volatility range, which results in the interest rate parity not holding well. Thus, the most urgent strategy of the three major financial market reforms is to improve the transmission mechanism of the interest rate to the exchange rate to further expand the range of RMB exchange rate fluctuations and liberalize capital accounts, which would improve the transmission effectiveness of monetary policy on international capital flow. It is therefore suggested that market-oriented reforms be implemented in the interest rate liberalization-exchange rate market reform-capital account liberalization sequence to prevent China from suffering a systematic financial crisis arising from unexpected capital flight.