货币政策规则对国际资本流动与人民币汇率的时变影响——基于TVP-SV-VAR模型的实证检验

The Time-varying Effects of Monetary Policy Rules on International Capital Flow and RMB Exchange Rate——Empirical Test Based on TVP-SV-VAR Model

本文从货币政策理论出发,构建以稳定国际资本流动与人民币汇率的"多目标"货币政策规则理论模型,并采用1998年1月至2019年11月的月度数据,建立开放经济下的TVP-SV-VAR模型,实证检验不同货币政策规则下货币供应冲击、利率冲击对国际资本流动与人民币汇率的时变与动态影响。结果表明:(1)不同时间阶段,货币政策冲击对国际资本流动和人民币汇率的影响存在较强的时变特征。(2)等间隔脉冲响应表明,货币政策冲击对国际资本流动的短期影响效应要高于中长期,而对人民币汇率的影响却存在一定滞后性和扩散性,且价格型规则更有利于熨平外部冲击对国际资本流动与人民币汇率的影响。(3)时点脉冲响应表明,利率冲击对国际资本流动和人民币汇率的影响弱于货币供应冲击,且利率冲击对国际资本流动的影响回到稳态均衡的速度更快。总体来看,在调节国际资本流动和稳定人民币汇率的效果上,价格型规则优于数量型规则,我国央行货币政策选择应逐步从数量型规则向价格型规则转变。

The main regulatory goals of traditional monetary policy rules are output and inflation,which have a good effect on the stability and development of the macro-economy.With the deep integration of the world economy,the frequent inflow and outflow of international capital and the violent fluctuations of foreign exchange market,which all together have caused the expanding volatility of China’s economy.Therefore,in an open economy,the stability of international capital flows and exchange rate are consideredvital economic indicators that a country’s central bank shouldtake into seriousconsider when formulating monetary policy.However,there are disagreement on whether quantitative or price rules are more effective in stabilizing international capital flows and RMB exchange rate.In view of this,the"multi-objective"monetary policy rule theoretical model is construated to stabilize international capital flow and RMB exchange rate.And using monthly data from January 1998 to November 2019,the TVP-SV-VAR model is established in an open economyto empirically test the time-varying and dynamic impact of money supply shock and interest rate shock on international capital flow and RMB exchange rate under different monetary policy rules.The results show that:(1)An different time periods,the impact of monetary policy shock on international capital flows and RMB exchange rate have strong time-varying characteristics.(2)The equal interval impulse response shows that the short-term effect of monetary policy shocks on international capital flows is higher than that in the medium and long-term,but the impact on the RMB exchange rate show signs of hysteresis and diffusion,and price rules are more conducive to smoothing the impact of external shocks on international capital flows and RMB exchange rate.(3)The point-in-time impulse response shows that the impact of interest rate shocks on international capital flows and RMB exchange rate is weaker than that of money supply shocks,and the impact of interest rate shocks on international capital flows returns to steady-state equilibrium more quickly.Therefore,price rule is superior to quantitative rule in the effect of stabilizing international capital flow and RMB exchange rate.The choice of monetary policy rules of the Chinese central bank should gradually change from quantitative rule to price rule,which also serves the best choice for the Chinese central bank to implement monetary policy to regulate macro-economy in the post-financial crisis era.