资本市场开放影响人民币汇率稳定吗——基于不同开放类型和领域的视角

Does Capital Market Opening Up Affect the Stability of RMB Exchange Rate——From the Perspective of Different Open Patterns and Fields

资本市场开放是否会影响汇率稳定,现有研究并没有给出确切的答案。本文采用分类事件研究法,探究了不同类型和领域的资本市场开放对人民币汇率稳定性的影响。结果表明:(1)在资本市场开放的两大类型中,被动型开放不会对人民币汇率稳定性产生显著影响,主动型开放能显著增大汇率波动,但对汇率水平的影响不显著;(2)在主动型开放的三个领域中,基金领域的开放所起作用最为显著,股市和债市的开放不会对汇率稳定性产生显著影响;(3)稳健性检验发现,处于下行周期的人民币汇率的稳定性比处于上升周期的要差,且资本市场开放更容易造成汇率波动幅度扩大。据此,本文从资本市场开放类型、开放领域以及汇率变动周期等角度提出了相应的结论与政策启示。

Does capital market openingup affect exchange rate stability?Existing research doesn't give an accurate answer.The paper carries out a classified event study to capture the influence of different opening up patterns and fields on the stability of RMB exchange rate.The result shows that the RMB exchange rate level remains constant under both passive and active capital market opening up patterns,however,the passive pattern has little influence on the stability of exchange rate volatility,while the active one increases the exchange rate volatility significantly.It shows further that among the three opening up fields under the active pattern,the fund field has the highest relevance to the stability of exchange rate volatility,while stock and bond fields show no significant influence.The robust test indicates that the stability of the RMB exchange rate under depreciation cycles is worse than that under appreciation cycles,in which the opening up of Chinese capital market is more likely to cause exchange rate depreciation and volatility expansion.Based on the results,this paper puts forward corresponding conclusions and policy enlightenments from the perspectives of the types of capital market openingup,opening up areas,and exchange rate fluctuation cycles.