汇率变化对国际资本流动的影响:基于面板向量自回归模型的分析

The Effects of Exchange Rate Change on International Capital Flow: An Analysis Based on Panel Vector Autoregressive Model

论文基于全球35个经济体2005—2020年的季度面板数据,利用面板向量自回归(PVAR)模型实证研究了汇率变化对国际资本流动的影响。研究结果表明,当本国汇率升值时短期和长期国际资本的净流入都会增加,当本国汇率波动幅度加大时短期和长期国际资本的净流入都会减少。汇率升值对短期和长期国际资本流动的影响更为迅速但持续效应较短,汇率波动幅度加大对短期和长期国际资本流动的影响速度相对较慢但持续效应更长。在不同的汇率预期下,汇率水平及波动率的变化对短期和长期国际资本流动的影响存在显著差异。在此基础上,论文给出了相应的对策建议。

Based on the quarterly panel data of 35 economies from 2005 to 2020, this paper empirically studies the impact of exchange rate change on international capital flow by using panel vector autoregressive(PVAR) model. The results show that when the domestic currency exchange rate appreciates, the net inflow of short-term and long-term international capital will increase, and when the fluctuation of domestic currency exchange rate increases, the net inflow of short-term and long-term international capital will decrease. The impact of exchange rate appreciation on short-term and long-term international capital flow is more rapid but the lasting effect is shorter, and the increase in exchange rate fluctuations has a relatively slower but longer-lasting effect on short-term and long-term international capital flow. Under different exchange rate expectations, there are significant differences in the impact of changes in exchange rate level and volatility on short-term and long-term international capital flow. On this basis, this paper gives some countermeasures and suggestions.