汇率变动与双边贸易统计数据差异:基于国际游资套汇跨境流动视角

Exchange Rate Changes and Bilateral Trade Data Discrepancies:From the Perspective of Arbitrage in International Hot Money Cross-Border Flows

国际游资跨境流动已经严重干扰一国金融市场的正常秩序与健康运行,然而其行为具有高度隐蔽性导致难以被准确识别与监管。基于贸易伙伴国双边统计数据存在巨大差异的典型化事实,本文利用2010—2017年中国与167个贸易伙伴的贸易镜像数据,以“811汇改”事件为政策冲击,考察人民币实际汇率变动对通过贸易渠道进行国际游资跨境转移的影响。研究结果表明,人民币汇率变动的确给资本跨境流动带来了套利机会,在资本不能跨国自由流动的条件下,国际游资会借助贸易渠道,通过错报贸易数据实现跨境转移,从而导致双边贸易统计数据存在大量差异。贸易伙伴国的异质性检验表明,贸易伙伴的收入水平和贸易规模会影响汇率对双边贸易数据差异的边际效应,而套汇虚假贸易与错报行为不因距离远近而有不同,与同质产品相比投机者更倾向通过差异化产品的错报来实现国际游动资本的跨境流动,相对于低价值产品,投机者更趋向于选择高价值商品进行进出口错报。本文为有效防范与监管国际游动资本跨境转移提供了有益的政策借鉴。

A large amount of money flows out of developing countriesas a result of tax evasion,trade data misreporting and corruption.Illegal capital is often hidden in the process of cross-border flow,and its real amount is difficult to grasp from official data.An important motive for large-scale illegal capital flows is arbitrage.China has strict controls on cross-border capital flows,forcing illicit capital to choose to enter or withdraw from the country via other channels depending on exchange rate changes.Misreporting of trade data is a common means to move capital into or out of a country.More and more studies have shown that intentional misreporting by enterprises is the main reason for bilateral trade discrepancies.Therefore,it is of great theoretical and practical significance to identify the path of how enterprises achieve the cross-border transfer of international hot money by misreporting of trade data for the purpose of arbitrage.Giventhat there are gaps in bilateral trade data between partner countries,this paper uses the trade data of China and its 167 partners during the 2010-2017 period to examine the impact of changes in the real exchange rate of RMB on cross-border transfers of international hot money through trade channels,especially the effect of the latest round of exchange rate reform starting in 2015 on international illegal capital flows.The results show that the fluctuation of the RMB exchange rate does create currency arbitrage opportunities for cross-border capital flows,and under the condition that capital cannot flow freely,the international hot money uses trade channels to flow across borders using misreported trade data,resulting in a large number of discrepancies in bilateral trade statistics.This problem is particularly prominent under the impact of the"811 Exchange Rate Reform."The heterogeneity test of trading partners shows that the income level and trade scale of trading partners affect the marginal effect of exchange rates on the discrepancies in bilateral trade,while fraud trade and misreporting behavior caused by currency arbitrage do not vary with distance.Speculators are more likely to choose high-value goods and differentiated products for misreporting.The marginal contributions of this paper are as follows.First of all,it provides new empirical evidence for the motive of trade data misreporting in China,which helps to measure the real trade volume between China and its partners.Secondly,this paper proves that the intentional misreporting of enterprises caused by exchange rate changes is also an important reason for the discrepancies in bilateral trade.Thirdly,it enriches existing research by revealing that under strict capital controls,international trade is an important channel for international hot money to achieve cross-border flows.Fourth,it provides empirical evidence for the scientific evaluation of exchange rate policy and customs regulation.