人民币国际化背景下资本账户开放风险测度研究

Research on Risk Measurement of Capital Account Liberalization in the RMB Internationalization

加入SDR后,人民币国际化与资本账户开放必然存在交互作用。在人民币国际化背景下,可以运用在岸人民币市场和离岸人民币市场利率平价理论测算实际资本账户开放度,进行风险测度。研究发现,随着中国资本账户开放程度不断增加,分析人民币供求需要在全球金融市场范围内来讨论。整体而言,实际资本账户开放度具有波动聚集效应。人民币加入SDR以来,资本账户开放度的波动率呈下降趋势,资本账户开放风险趋于稳定。但是,POT模型中实际资本账户开放度的ES估计值变大,说明期望波动率上升,资本账户开放带来的风险复杂化,平均波动率变化增加。现阶段,研究人民币国际化背景下资本账户开放可能出现的风险,把握好去杠杆和维护流动性基本稳定之间的平衡,有序化解、处置突出的风险点,有利于促进人民币国际化和资本账户开放,实现国家金融安全。

With RMB included in the basket of the Special Drawing Rights, there must be interactions between RMB internationalization and capital account liberalization. In the RMB internationalization, we can use the interest rate parity theory of Onshore and Offshore RMB market to measure the de facto measures of capital account liberalization and its risk.Following the equilibrium and the theory of interest rate parity, this paper creatively establishes the supply and demand model of RMB from the perspective of Onshore and Offshore RMB market. Using the Variable Parameter State Space Model and Kalman filter method, this paper proposes a new method to calculate the de facto measures of capital account liberalization.Then, based on the risk analysis of GARCH-M model, this research provides the GARCH-M-POT model to examine the risk measurement, in order to analyze the situation and risk of the de facto measures of capital account liberalization in recent years, especially after RMB joined SDR.The findings show that, with China’s capital account liberalization, the analysis of RMB supply and demand needs to be discussed in the global financial market. The real capital account liberalization has the volatility clustering effect. Since RMB joined SDR, the volatility of capital account liberalization has been decreasing, and the risk of capital account liberalization tends to be stable.However, the ES value of the actual capital account liberalization, which is estimated by POT model, has increased since RMB joined SDR, indicating that if the expected volatility rises, the risk of capital account liberalization will be complicated,and the change of average volatility will increase dramatically.Furthermore, studying the possible risks of capital account liberalization with the supply and demand of RMB allows us to better manage deleveraging and maintain the basic liquidity stability, promote RMB internationalization and capital account liberalization, and achieve the goal of national financial security.