人民币汇率预期、人民币国际化与短期资本流动

RMB Exchange Rate Expectation, RMB Internationalization, and Short-Term Capital Flow

首先,建立了货币需求的资产组合平衡模型考察人民币汇率预期对人民币国际化的影响。研究结果发现,人民币升值预期会提升国外投资者对人民币和人民币计价债券的需求,而人民币贬值预期会降低国外投资者的需求。在建立的短期资本流动决定模型中,人民币国际化程度的提高会通过降低资本流动成本带来短期资本流入的增多。然后,运用SVAR模型实证分析了2004年2月至2014年11月期间人民币汇率预期、人民币国际化与短期资本流动的互动关系。实证结果表明,人民币升值预期会通过促进人民币国际化程度的提高导致短期资本的流入。在三者的互动关系中,人民币国际化的影响力处于较低水平。通过一系列稳健性检验后,结论仍旧成立,这对于推动人民币国际化、人民币汇率制度改革和短期资本流动的监控具有重要的启示意义。

This paper builds an asset portfolio balance model to explore the effect of RMB exchange rate expectation on RMB internationalization. The results find that RMB exchange rate appreciation will increase the demands of foreign investors for RMB and RMBdominated bonds,and its depreciation will decrease the demands. In the determination model of short-term capital flow,it finds that the expansion of RMB internationalization will increase the short-term capital inflow through cost cut of capital flow. Then,with SVAR model and the data from February 2004 to November 2014,the paper empirically explores the interactions among RMB exchange rate expectation,RMB internationalization,and short-term capital flow,and the results indicate that RMB exchange rate expectation will cause short-term capital inflow by expansion of RMB internationalization. In the interactions among the three variables,the effect of RMB internationalization is at the lowest level,and this conclusion is still valid after a series of stability tests,which is quite meaningful for RMB internationalization,reform of exchange rate regime, and monitoring short-term capital flow.