跨境资本流动与人民币汇率波动

International Capital Flow and RMB Exchange Rate

随着人民币汇率、短期国际资本流动之间的互动愈发频繁,跨境资本流动对我国金融体系的冲击日益明显。本文基于2005年9月到2019年12月的月度数据,构建了VAR模型,实证分析了短期跨境资本流动、人民币汇率之间的关系。结果表明,汇率变动是引起我国短期国际资本流动的原因,汇率对短期国际资本的走势具有一定的预测能力;物价水平变动在国际资本流动—人民币汇率波动机制中所起的传导作用并不明显;汇率变动受短期国际资本流动变化影响较大。因此,应加强资本管制与宏观审慎监管,促进跨境资本流动与人民币汇率间的良好互动。

With the interaction between RMB exchange rates and short-term international capital flows is increasing Frequently, the impact of cross-border capital flows on China’s financial system is increasingly obvious. Based on the monthly data from September 2005 to December 2019, this paper builds a VAR model to empirically analyze the dynamic relationship between short-term cross-border capital flows and the RMB exchange rate. The results show that exchange rate changes are the cause of China’s short-term international capital flows, and the exchange rate has a certain ability to predict the trend of short-term international capital;price level changes are transmitted in the international capital flow-RMB exchange rate fluctuation mechanism the effect is not obvious;exchange rate changes are greatly affected by short-term changes in international capital flows. Therefore, we should continue to strengthen capital control and macro-prudential supervision, and promote good interaction between cross-border capital flows and the RMB exchange rate.