资本账户开放对我国金融市场的时变影响研究

Research on the Time-varying Influence of Capital Account Liberalization on China’s Financial Market

构建了囊括资本账户开放、债券市场、股票市场和外汇市场的一般均衡理论模型,并利用SV-TVP-VAR模型实证检验了资本账户开放对我国三类金融市场的动态时变冲击。研究发现:(1)随着金融市场体制改革的逐步推进,资本账户开放对我国金融市场的影响日益加深,其对外汇市场的冲击最大,债券市场次之,对股票市场影响较小。(2)短期来看,资本账户开放有利于我国金融市场的发展;但长远来看,资本账户开放将对金融市场造成负向冲击。(3)由于我国对短期资本流动管理一直较为慎重,因此,与资本账户总体开放相比,短期资本账户的开放对我国金融市场的冲击性稍弱,但存在易变性。

This paper constructs a general equilibrium theory model covering capital account liberalization,bond market,stock market and foreign exchange market,and then empirically tests the time-varying effects of capital account liberalization on those financial markets in China by using SV-TVP-VAR model.The study finds the following conclusions.Firstly,with the gradual advancement of financial market system reform,the impact of capital account liberalization on China’s financial markets is deepening,among which that on foreign exchange market is the strongest,followed by that on bond market and then that on stock market.Secondly,in the short term,the liberalization of capital account is conducive to the development of domestic financial markets,but a negative one in the long run.Thirdly,compared with the overall liberalization of capital accounts,that of short-term capital accounts has a weaker yet volatile impact on China’s financial markets since China has been cautious in the management of short-term capital flows.