短期国际资本流动对人民币汇率波动的影响——基于Markov Switching-VAR方法的分析

Impact of Short-term International Capital Flow on RMB Exchange Rate Fluctuation:An Analysis based on Markov Switching-VAR Method

随着美国货币政策的不断变化,由退出量化宽松货币政策到重回量化宽松货币政策,使国际资本流动格局不断发生变化,加之近年来中国金融市场逐渐对外开放,短期国际资本流动的变化对人民币汇率稳定带来了挑战。本文通过构建Markov Switching-VAR模型,运用2005年7月-2018年3月数据实证分析短期国际资本流动对人民币汇率的动态影响。研究结果表明:通过汇率预期、货币市场、国际收支、相对通货膨胀与相对利率差等传导渠道,短期国际资本流动对人民币汇率产生正向影响,并在不同的市场状态下呈现出不同的特征和非对称性;同时,人民币汇率的变动也对短期资本流动具有反向作用。因此,中国应加强对短期国际资本流动的监管,加快人民币汇率机制改革,协调汇率政策与利率政策,以保障中国金融市场的稳定和中国经济的稳健运行。

With the continuous change of US monetary policy,the pattern of international capital flow has been constantly changing from quitting quantitative easing monetary policy to returning to quantitative easing monetary policy.In addition,China′s financial market has gradually opened up in recent years.The change of short-term international capital flow has brought challenges to the stability of RMB exchange rate.By constructing Markov switching-VAR model,this paper empirically analyzes the dynamic impact of short-term international capital flow on RMB exchange rate by using the data from July 2005 to March 2018.The results show that:through the transmission channels of exchange rate expectation,money market,balance of payments,relative inflation and relative interest rate difference,short-term international capital flow has a positive impact on RMB exchange rate,and shows different characteristics and asymmetry under different market conditions;at the same time,the change of RMB exchange rate has a reverse effect on short-term capital flow.Therefore,China should strengthen the supervision of short-term international capital flow,accelerate the reform of RMB exchange rate mechanism,and coordinate the exchange rate policy and interest rate policy,so as to ensure the stability of China′s financial market and the steady operation of China′s economy.