人民币汇率对短期国际资本流动的不对称影响研究:基于NARDL模型

Research on the Asymmetrical Influence of Exchange Rate on Short-term International Capital Flow:Based on NARDL model

风险厌恶型投资者对投资损失和盈利的反应程度存在差异,这会导致汇率正向和负向变化对短期国际资本流动的影响存在非对称性。文章运用NARDL模型分析了1999~2018年间人民币汇率水平、汇率预期和汇率波动的双向变化对中国各类短期国际资本流动的影响。研究结果显示,人民币汇率的双向变化对短期国际资本流动的影响存在显著的不对称性,人民币贬值和贬值预期对短期国际资本流动的影响比升值的影响更显著,而汇率因素对不同类型资本流动的影响则存在明显差异。文章建议,中国应该防范人民币汇率在短期内出现过度波动,从基本面上保证人民币汇率不出现趋势性贬值和贬值预期,贬值期间则应加强对短期资本流出的监管并对不同类型资本进行分类监管。

Due to the differences in investor’s response to losses and earnings,the effects of positive and negative exchange rate changes on short-term international capital flows are asymmetric.This paper uses the NARDL model to analyze the impact of positive and negative changes in RMB exchange rate,exchange rate expectations and exchange rate fluctuations on various short-term international capital flows in China from 1999 to 2018.The results show that the asymmetry of the impact of RMB exchange rate factors on various short-term international capital flows in the short term is more obvious than the long-term.The impact of RMB depreciation and depreciation expectation on short-term international capital flows is more significant than the appreciation,and the impact of exchange rate factors on different types of capital flows is significantly different.Therefore,China should guard against excessive changes in the RMB exchange rate in the short term,prevent the trend of RMB depreciation and depreciation expectation,strengthen the supervision of short-term capital outflows during the depreciation period,and classify and supervise different types of capital flows.