短期国际资本流动,汇率预期与外汇干预的互动关系——基于SV-TVP-VAR模型的实证分析

Relationship of Short-term International Capital Flows,Exchange Rate Expectations and Foreign Exchange Interventions:Empirical Analysis Based on SV-TVP-VAR Model

2015年“811汇改”之后以及扩大金融双向开放的推进,汇率预期在经济运行中所扮演的角色越来越重要。文章首先从理论上厘清短期国际资本流动、汇率预期、外汇干预的联动关系,然后运用SV-TVP-VAR模型实证分析了2006年10月至2019年9月三者之间的动态关系。研究发现,短期国际资本流动与汇率预期、短期国际资本流动与外汇干预的时变影响系数为正,且短期国际资本流动与外汇干预的时变影响系数较大,汇率预期与外汇干预两者间关系的时变特征随着经济背景的不同而不一样,影响系数时正时负。外汇干预与短期国际资本流动都会对汇率预期产生影响,但汇率预期的形成更多取决于经济基本面情况。

Firstly,this study theoretically clarifies the comovement relation among short-term international capital flows,exchange rate expectations,and foreign exchange intervention,and then uses the SV-TVP-VAR model to empirically analyze the dynamic relationship among the three variables from October 2006 to September 2019.The study finds that the time-varying influence coefficients of short-term international capital flows,exchange rate expectations and short-term international capital flows and foreign exchange interventions are positive,and the time-varying influence coefficients of short-term international capital flows and foreign exchange interventions are relatively large.The time-varying characteristics of the relationship are different with different economy backgrounds,and the influence coefficient always switches between positive and negative.Both foreign exchange intervention and short-term international capital flows will have an impact on exchange rate expectations,but the formation of exchange rate expectations depends more on fundamental of the economy.