套息交易对中国短期资本流动的影响——基于动态资产组合理论的研究

Impact of Carry Trade on China's Short Term Capital Flows:An Empirical Study based on the Dynamic Portfolio Theory

本文基于动态资产组合最优权重的变化研究套息交易对中国短期跨境资本流动的影响。通过将人民币套息资产、美元无风险资产和美元风险资产作为基础资产,构建国际投资组合,计算动态最优权重并考察其对中国短期资本流动的影响。结果显示,当汇率及利差等状态变量随时间发生改变时,套息交易资产组合的最优权重也会随之发生改变,且能显著地解释我国短期资本流动的变化,但套息交易的资产配置并不是导致当前我国资本流动出现趋势性变化的根本原因。

This paper studies the impact of carry trade on China＇s short - term capital flows based on the dynamic portfolio theory. Specifically, we include RMB carry trade assets, dollar risk -free assets and dollar risky assets to establish an international portfolio and calculate their optimal weights to explain changes in short -term capital flows in China. The results show that the optimal portfolio weights can significantly predict changes in China＇s capital flows. Moreover, the carry trade effect is still not the fundamental reason that drives the trend of China＇s capital flows.