地缘政治风险对人民币汇率稳定的影响研究——市场恐慌和短期资本流动的视角

Study on the Influence of Geopolitical Risk on RMB Exchange Rate Stability——From the Perspective of Market Panic and Short-term Capital Flows

地缘政治风险是汇率波动的重要原因之一,探讨其对人民币汇率稳定的影响具有重要的现实意义。选取2005年7月至2021年10月的相关数据,运用时变向量自回归模型和波动溢出指数方法,基于市场恐慌和短期资本流动的视角研究了地缘政治风险对人民币汇率稳定的影响。研究发现,地缘政治风险对人民币汇率稳定存在显著的短期负向冲击,且这种负向影响具有明显的时变特征。地缘政治风险上升加剧了市场恐慌和短期资本流出,导致人民币汇率稳定性下降。人民币汇率稳定是地缘政治风险和市场恐慌波动溢出的净接收方,短期资本流动对人民币汇率稳定的定向净溢出随着人民币汇率市场化的深化逐渐显现。因此,维护人民币汇率稳定需要关注地缘政治风险及其导致的市场恐慌和短期资本流动的冲击。

Geopolitical risk is one of the important reasons for exchange rate fluctuations,and it is of great practical significance to discuss its influence on the stability of RMB exchange rate. Based on the data from July 2005 to October 2021,this paper uses time-varying vector autoregressive model and volatility spillover index method to study the impact of geopolitical risks on RMB exchange rate stability from the perspective of market panic and short-term capital flows. Results show that the negative impact of rising geopolitical risks on RMB exchange rate stability is mainly reflected in short term,and this negative impact has a significant time-varying characteristics. Rising geopolitical risks have exacerbated market panic and short-term capital outflows,leading to a decline in the stability of the RMB exchange rate. Compared with geopolitical risks and market panic,the RMB exchange rate stability is the net receiver of volatility spillover,and the directional net spillover of short-term capital flows on RMB exchange rate stability gradually appears with the deepening of RMB exchange rate marketization. Therefore,to maintain the stability of RMB exchange rate,attention should be paid to geopolitical risks and the impact of market panic and short-term capital flows caused by geopolitical risk.