投资者预期稳定性、跨境资本流动与人民币汇率波动——基于离岸汇率引导的视角

Stability of Investor Expectation, Cross-border Capital Flows, and CNY Exchange Rate Fluctuations——From the Perspective of CNH Exchange Rate Guidance

在金融市场开放的背景下,如何做好开放中的风险管控至关重要。本文将投资者预期稳定性作为导致跨境资本流动的预期因素,并将离岸在岸汇差作为重要的传导变量,使用SVAR模型和TVP-VAR模型系统性地研究了预期、跨境资本流动与汇率波动的关系及时变特征。研究发现:第一,投资者预期稳定性的下降显著扩大了离岸在岸汇差、降低了跨境资金净流入,进而促进人民币贬值;第二,离岸在岸汇差的扩大促进了在岸人民币汇率贬值,这一效应在“8·11”汇改后逐渐增强,且在汇率升值期较弱、贬值期较强;第三,跨境资本净流入显著促进了人民币汇率升值,这一作用同样在汇改后逐渐增强。本文的研究为稳步推进资本账户开放、防范外汇市场风险提供了理论参考。

With the gradual opening of China's capital account and the increase of cross-border capital flows, the role of risk management has been critical. This article takes economic policy uncertainty as the expected factor leading to cross-border capital flows, and sets the CNH-CNY exchange rate spread as an important transmission variable. The SVAR model and TVP-VAR model are used to systematically examine the relationship between expectations, cross-border capital flows, and exchange rate fluctuations, as well as the time-varying characteristics of this relationship. Research has found that, firstly, in the short term, the increase in economic policy uncertainty significantly expands the exchange rate spread, reduces the net inflow of cross-border capital, and thus promotes the depreciation of the exchange rate. Secondly, the expansion of the CNH-CNY exchange rate spread has promoted the depreciation of the CNY exchange rate in the short term. Its impact on the exchange rate over the same term is weak during the appreciation period and strong during the depreciation period. Its impact on future exchange rates gradually increased following the "8·11" exchange rate reform, and had a significant negative impact on cross-border capital net inflows for a period of time. Thirdly, the net inflow of cross-border capital significantly promoted the appreciation of the RMB exchange rate and this effect gradually strengthened after the exchange rate reform. This study provides a theoretical reference for steadily promoting the opening of capital accounts and preventing foreign exchange market risks.