人民币指数构建及其对跨境资本流动的影响

RMB Index Construction and Its Impact on Cross-border Capital Flows

中国跨境资本流动规模日渐扩大,逐渐演变为系统性金融风险爆发的重要源头之一。为厘清人民币综合价值变化对跨境资本流动的影响及其特征,尝试构建一个新的人民币指数,并深入分析其对跨境资本流动的作用。选取美元、欧元、日元、韩元、英镑和新加坡元6种货币,遵循经常项目为主、资本项目为辅的原则,以2012年至2016年样本货币发行国与中国的双边贸易以及它们对中国的直接投资数据作为货币权重基准,构建新版人民币指数。在此基础上,详细探讨人民币指数对不同类型跨境资本流动的影响程度和方向,并进一步区分影响的静态特征和动态特征。研究结果表明,①新版人民币指数能够综合反映人民币价值变化,并且与CFETS人民币汇率指数走势基本一致,因此,可以认为该指数具备足够的有效性。②人民币指数是各类跨境资本流动变量的格兰杰原因,而反向的因果关系却不存在。③人民币指数能够预示跨境资本流动的随后变化,即人民币指数上升,1个季度后资本流入下降,2个季度后资本流出上升;反之,人民币指数下降,1个季度后资本流入上升,2个季度后资本流出下降。④人民币指数对跨境资本流动的冲击存在时变特征,特别是对跨境资本流入而言,这一特征更明显。在新的政治经济形势下,提出新版人民币指数并研究其对跨境资本流动影响的特征,一方面可为跨境资本流动的监测和预警提供借鉴思考,从而有效防控系统性金融风险;另一方面还可为人民币国际化进程提供新的视角和参考。

The scale of cross-border capital flows in China is expanding nowadays,and it has gradually become one of the important sources of the outbreak of systemic financial risk.In order to clarify the influence and its characteristic of the comprehensive value of RMB on cross-border capital flows,this study attempts to build a new RMB index and deeply study its impact on crossborder capital flows.This study selects six currencies,namely the Dollar,Euro,Japanese yen,Won,Pound and Singapore dollar,to construct a new RMB index.By following the principle of current account as the dominant while capital account as the auxiliary,this study chooses the bilateral trade volume between the countries of sample currencies and China,and the FDI from them to China as currency weight base.And then this study discusses detailed the influence degree and direction of the RMB index on various kinds of cross-border capital flows,and further distinguishes the static and dynamic characteristics of the above influence.The results show that:first,the RMB index constructed in this study can reflect the change of RMB value.And it is basically consistent with the CFETS RMB exchange rate index.Therefore,it can be considered that the RMB index has sufficient validity.Second,the RMB index is the granger cause of various kinds of cross-border capital flows,while the reverse causal relationship does not exist.Third,the RMB index can indicate subsequent changes in cros-border capital flows.Specifically,when the RMB index rises(falls),the change of capital inflows will decrease(increase)after one quarter,while the change of capital outflows tends to increase(decrease)after two quarters.Fourth,the impact of the RMB index on cross-border capital flows has time-varying characteristics,especially for the impact on the changes of cross-border capital inflows.Given the new political and economic context,it has two implications by proposing a new RMB index and analyzing the characteristics of its impact on cross-border capital flows.On the one hand,it can provide reference for monitoring and early warning of cross-border capital flows,so as to effectively prevent and control systemic financial risk.On the other hand,it can provide a new perspective and guidance for the process of RMB internationalization.