跨境资本流动对我国货币和信贷市场的影响研究

The Impacts of International Capital Flows on China’s Money and Credit Markets

人民币汇率市场化进程中汇率波动频繁容易引起跨境资本流动。金融市场开放导致信贷规模和基础货币的联系变弱,即使对跨境资本进行完全管理,也很难有效估计国内信贷规模。本文的实证结果说明,我国现有相关政策的运行可以有效监管大部分跨境资本流动对基础货币的影响,但对货币供给和信贷规模的管理效果有限。本文还发现,虽然金融市场开放会减小对跨境资本的管理效果,但监管机构可以采用增加汇率弹性、加强监管程度、实施宏观审慎政策、减少监管成本、提高银行业竞争度、发展地方债市场和调整跨境资本结构等方式来缓冲跨境资本流动对国内货币供给和信贷规模的冲击。

This paper studies whether the cross-border capital flows may cause the expansion of China’s money supply and domestic credit.At the same time,will the marketization of RMB exchange rate,capital account openness and financial liberalization affect the ability of Chinese monetary authorities to manage money supply and domestic credit?This paper estimates the sterilization coefficients corresponding to China’s money and credit markets,further uses the fixed-time-window recursive estimation method to obtain the time-series data of sterilization coefficients,and analyzes the impacts of exchange rate elasticity,capital control,sterilization cost,capital flow structure,and several financial market openness indicators,including the proportion of foreign banks,the development of bond market,and the concentration of banking industry,on the sterilization effectiveness of China’s money and credit markets.Our empirical results confirm that China has sterilized most of the impacts of cross-border capital flows on monetary base.The extent of sterilization was 76.4%on average.However,the effect of sterilization on money supply and domestic credit decreases significantly.The average sterilization coefficients are 46.9%and 61.1%respectively.Moreover,this paper also finds that the sterilization coefficients for corporate credit and household credit are 53.8%and 66.5%respectively,indicating that cross-border capital inflows have a greater impact on corporate credit than household credit.The recursive estimation results further show that the effectiveness of sterilization in the money and credit markets is dynamic.This may be because the effectiveness of sterilization is not only affected by the central bank’s sterilization policy,but also changed due to the adjustment of exchange rate regimes and capital control policies,and even the different degree of financial market development.This paper also finds that although the progress of financial development may reduce the effectiveness of sterilization,Chinese monetary authorities can still reduce the impact of cross-border capital flows on money and credit markets by increasing exchange rate flexibility,strengthening capital control,implementing macroprudential policies,reducing sterilization costs,improving banking competition,developing public bond markets,and adjusting capital flow components.