跨境资本流动与汇率波动的长期动态关系分析

An Analysis of the Long-Term Dynamic Relationship between Cross-Border Capital Flows and Exchange Rate Volatility

本文综合分析即期名义汇率、汇率预期与汇率制度弹性对跨境资本流动综合净额、外国直接投资净流入和新增外债的影响。研究发现,即期汇率在金融危机前后对跨境资本流动综合净额均无影响,而在金融危机后与外国直接投资净流入显著相关,与新增外债在金融危机前后都显著正相关;汇率预期在金融危机后与跨境资本流动综合净额、外国直接投资净流入的关系均变得更加复杂,但是与新增外债的负相关关系在金融危机后未变;汇率制度弹性对跨境资本流动净额的影响在金融危机后变得非线性化。

This paper presents a comprehensive analysis of the impacts of spot nominal exchange rate,exchange rate expectation and the elasticity of exchange rate system on the aggregate net cross-border capital flows,the net inflow of foreign direct investment and the new foreign debts.It is found that the spot exchange rate has no impact on the aggregate net cross-border capital flows before or after the financial crisis,but has a significant correlation with the net inflow of foreign direct investment after the financial crisis,and a significant positive correlation with the new foreign debts before or after the financial crisis;the relationship between exchange rate expectation and aggregate net cross-border capital flows as well as net inflow of foreign direct investment becomes more complicated after the financial crisis;however,the negative relationship between exchange rate expectation and new foreign debts doesn’t change after the financial crisis;the impact of the elasticity of exchange rate system on net cross-border capital flows becomes nonlinear after the financial crisis.