人民币汇率、汇率预期与短期跨境资本流动:基于MS-VAR模型的实证分析

Exchange Rate,Exchange Rate Expectations and Short-term Cross-border Capital Flows:Analysis Based on MS-VAR Model

在不同的宏观经济背景下,汇率和跨境资本流动之间的关系可能存在差异。文章利用MS-VAR模型对1999~2020年间不同经济区制下人民币汇率、汇率预期和跨境短期资本流动之间的联动机制进行了实证分析。文章将经济状态划分为区制1和区制2两个不同区制,两个区制间的转换节点主要位于国内重要汇改及2008年美国次贷危机等时点附近。相比于区制1,区制2下经济具有更大的波动性且经济状态的惯性更强。另外,在区制2下跨境短期资本流动冲击容易带来人民币汇率和汇率预期的同向变化,后者又会对跨境资本流动产生正向反馈。基于这些分析结论,文章对中国的外汇和资本账户管理提出了政策建议。

Under different macroeconomic background,the relationship between exchange rate and cross-border capital flow may be different.By using MS-VAR model,this paper conducts an empirical analysis on the linkage among the RMB exchange rate,exchange rate expectations,and cross-border short-term capital flows from 1999 to 2020.The model divides the economic status into two different regimes,and the transition nodes between the two regimes are mainly located near the time when China took important exchange rate regime reforms and when U.S.subprime crisis took place in 2008.Compared with regime 1,the economy under regime 2 has greater volatility and stronger inertia.In addition,the short-term capital flows shock under regime 2 is likely to bring about the RMB exchange rate and exchange rate expectations changing in same direction,which in turn generate positive feedback on cross-border capital flows.Based on these conclusions,this article makes advices on China′s policies about foreign exchange and capital account management.