我國國際資本流動與貨幣沖銷有效性研究：2000-2012
發(fā)布時間：2019-06-12 00:26
【摘要】：自2000年以來,我國的國際收支出現(xiàn)持續(xù)雙順差。我國是國際資本的凈流入國,使人民幣長期處于升值壓力之中。為了維持匯率的相對穩(wěn)定或有序升值,央行需要在外匯市場買入外匯賣出本幣進行干預,加上我國實行了強制結(jié)售匯制度,導致我國外匯儲備規(guī)模急劇增加。貨幣當局資產(chǎn)負債表中國外資產(chǎn)的規(guī)模不斷擴大,造成基礎(chǔ)貨幣的膨脹,并通過貨幣乘數(shù)效應導致國內(nèi)貨幣供給的擴張,增加通貨膨脹的壓力并影響了貨幣政策的獨立性。因此,為了削弱外匯儲備增加帶來的貨幣供給擴張效應,央行主要利用發(fā)行央票和調(diào)整準備金率等工具來進行沖銷操作。貨幣沖銷的有效性直接影響到了我國貨幣政策的獨立性,并且對物價穩(wěn)定和內(nèi)外均衡有著十分重要的意義。本文首先從理論分析角度,梳理了國際資本流動對貨幣政策的影響,以及貨幣沖銷的必要性；然后描述了近年來不同形式資本流動的特點和變化,并從穩(wěn)定性和波動性角度分析其對外匯儲備的不同影響；還總結(jié)了我國的沖銷現(xiàn)狀,討論了我國沖銷工具的特點、成本和缺陷。在實證方面,本文采用修正的BGT模型和OLS方法,估計我國2000年至2012年期間國際資本流動與貨幣供給的定量關(guān)系,用沖銷系數(shù)反映貨幣沖銷的有效程度,用抵消系數(shù)反映資本流動對貨幣政策的抵消程度；并利用遞歸系數(shù)法估計了兩系數(shù)的動態(tài)變化過程；同時,對不同形式資本流動的沖銷力度進行了實證分析和比較。最后,對如何減輕外匯沖銷壓力提出了若干建議。通過上述理論分析和實證檢驗,發(fā)現(xiàn)如下結(jié)論：1.總體而言,2000年至2012年間,我國的貨幣沖銷是有效的。沖銷系數(shù)為-0.944,表明央行的干預措施對沖了大部分國際資本流動引發(fā)的貨幣供給變化。但資本流動的抵消效應也比較大,抵消系數(shù)為-0.833。因此認為我國的貨幣政策獨立性受到影響。隨著未來資本項目管制的放松和利率市場化改革,抵消效應可能會更大,將加大央行沖銷的難度。2.央行對不同形式的資本流動的沖銷力度是不同的。穩(wěn)定性較高的資本流動對外匯儲備的貢獻率較高,而央行對其的沖銷力度低于對波動性較大的資本流動的沖銷力度。可能的原因有：一、穩(wěn)定性較高的資本流動的規(guī)模要大于波動性較大的資本流動,其增加幅度超過了央行能夠沖銷的范圍；二、波動性較大的資本流動對經(jīng)濟的沖擊大,央行有意識地在其大規(guī)模流入時加大沖銷干預。另外,把資本流動按外匯來源分類,發(fā)現(xiàn)央行對外國直接投資的沖銷力度最大,認為與其規(guī)模的不斷擴大和占外匯來源的比重提高相關(guān)；從動態(tài)變化上看,2006年后央行才開始對外國直接投資進行沖銷,在2009年和2010年連續(xù)加大了對非直接投資的沖銷,可能與這兩個時期的高通脹壓力有關(guān)。3.我國采用發(fā)行央票和調(diào)節(jié)存款準備金率的沖銷工具,獲得了一定成效。但是隨著沖銷規(guī)模的擴大和沖銷成本的上升,以及工具本身存在的缺陷,限制了我國貨幣沖銷的能力。4.2012年的資本流出緩解了央行的沖銷壓力并減少了央行的沖銷直接成本,但是隨著2013年資本的大規(guī)模流入,外匯儲備的增長與穩(wěn)健貨幣政策、去杠桿化政策之間的沖突會逐漸加重,央行未來又將承受巨大的沖銷壓力。從短期來看,應提高沖銷干預的有效性,進一步改善沖銷工具、匯率制度和外匯管理制度；從長期來說,我國必須進一步改善國際收支的巨額順差,包括調(diào)整經(jīng)濟結(jié)構(gòu)和外貿(mào)政策等。
[Abstract]:China's balance of payments has continued to have a double surplus since 2000. China is the net inflow country of international capital, so that the RMB is in the pressure of appreciation for a long time. In order to maintain the relative stability or the orderly appreciation of the exchange rate, the central bank needs to intervene in the foreign exchange market to buy foreign exchange and sell the local currency, plus the forced settlement of the foreign exchange system in our country, which has led to a sharp increase in the scale of foreign exchange reserves in our country. The expansion of the external assets of the balance sheet of the monetary authorities has led to the expansion of the base currency and the expansion of domestic currency supply through the monetary multiplier effect, increasing the pressure of inflation and affecting the independence of the monetary policy. Therefore, in order to weaken the currency supply expansion effect brought by the increase of the foreign exchange reserve, the central bank mainly uses tools such as the issuance of the central ticket and the adjustment of the reserve ratio to reverse the operation. The effectiveness of the reversal of money has a direct effect on the independence of the monetary policy of our country, and it is of great significance to the price stability and the internal and external balance. This paper first analyzes the influence of international capital flow on monetary policy and the necessity of currency reversal from the angle of theoretical analysis, and then describes the characteristics and changes of different forms of capital flow in recent years, and analyzes the different effects on foreign exchange reserves from the angle of stability and volatility. The paper also summarizes the reverse current situation of our country, and discusses the characteristics, cost and defects of the reverse tool in our country. In this paper, we use the modified BGT model and OLS method to estimate the quantitative relation between the international capital flow and the money supply for the period from 2000 to 2012. The dynamic process of two coefficients is estimated by the recursive coefficient method, and the reverse force of different forms of capital flows is analyzed and compared. Finally, some suggestions are put forward to how to reduce the foreign exchange reverse pressure. Through the above-mentioned theoretical analysis and empirical test, the following conclusions are found:1. In general, in the period 2000-2012, our country's currency reversal is effective. The write-off factor is-0.944, indicating that the central bank's intervention has hedges most of the changes in money supply triggered by the flow of international capital. However, the offset effect of capital flow is also large, and the offset coefficient is-0.833. Therefore, our country's monetary policy independence is affected. With the deregulation of the future capital project and the market-oriented reform of interest rate, the offset effect may be larger and the difficulty of the central bank's reversal will be increased. The central bank's reversal of different forms of capital flows is different. The higher stability of capital flows has a higher contribution to foreign exchange reserves, and the central bank's reverse is less than the reversal of the volatility of capital flows. The possible causes are:1. The higher-stability capital flows are larger than the volatility of the capital flows, the increase of which exceeds the range that the central bank can write off; and the relatively volatile capital flows have a great impact on the economy, The central bank has consciously stepped up the write-off intervention in its large-scale inflow. In addition, the capital flow is classified according to the source of foreign exchange, and it is found that the central bank's reversal of foreign direct investment is the largest, which is considered to be related to the expansion of its size and the specific gravity of the source of foreign exchange; from the dynamic change, the central bank has started to reverse the foreign direct investment in 2006, The continuous increase in the reversal of non-direct investment in 2009 and 2010 may be related to the high inflation pressures of these two periods. Our country adopts the reverse tool of issuing the central ticket and adjusting the reserve ratio of the deposit reserve, and has obtained some effect. But with the expansion of the write-off scale and the rise in the write-off cost, as well as the shortcomings in the tool itself, the ability to reverse our currency is limited. With the growth of foreign exchange reserves and the prudent monetary policy, the conflict between deleveraging and deleveraging will gradually increase, and the central bank will bear huge write-off pressure in the future. In the short term, the effectiveness of the write-off intervention should be improved, the reverse tool, the exchange rate system and the foreign exchange management system should be further improved; in the long term, our country must further improve the large surplus of the balance of payments, including the adjustment of the economic structure and the foreign trade policy.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.6
本文編號：2497575
[Abstract]:China's balance of payments has continued to have a double surplus since 2000. China is the net inflow country of international capital, so that the RMB is in the pressure of appreciation for a long time. In order to maintain the relative stability or the orderly appreciation of the exchange rate, the central bank needs to intervene in the foreign exchange market to buy foreign exchange and sell the local currency, plus the forced settlement of the foreign exchange system in our country, which has led to a sharp increase in the scale of foreign exchange reserves in our country. The expansion of the external assets of the balance sheet of the monetary authorities has led to the expansion of the base currency and the expansion of domestic currency supply through the monetary multiplier effect, increasing the pressure of inflation and affecting the independence of the monetary policy. Therefore, in order to weaken the currency supply expansion effect brought by the increase of the foreign exchange reserve, the central bank mainly uses tools such as the issuance of the central ticket and the adjustment of the reserve ratio to reverse the operation. The effectiveness of the reversal of money has a direct effect on the independence of the monetary policy of our country, and it is of great significance to the price stability and the internal and external balance. This paper first analyzes the influence of international capital flow on monetary policy and the necessity of currency reversal from the angle of theoretical analysis, and then describes the characteristics and changes of different forms of capital flow in recent years, and analyzes the different effects on foreign exchange reserves from the angle of stability and volatility. The paper also summarizes the reverse current situation of our country, and discusses the characteristics, cost and defects of the reverse tool in our country. In this paper, we use the modified BGT model and OLS method to estimate the quantitative relation between the international capital flow and the money supply for the period from 2000 to 2012. The dynamic process of two coefficients is estimated by the recursive coefficient method, and the reverse force of different forms of capital flows is analyzed and compared. Finally, some suggestions are put forward to how to reduce the foreign exchange reverse pressure. Through the above-mentioned theoretical analysis and empirical test, the following conclusions are found:1. In general, in the period 2000-2012, our country's currency reversal is effective. The write-off factor is-0.944, indicating that the central bank's intervention has hedges most of the changes in money supply triggered by the flow of international capital. However, the offset effect of capital flow is also large, and the offset coefficient is-0.833. Therefore, our country's monetary policy independence is affected. With the deregulation of the future capital project and the market-oriented reform of interest rate, the offset effect may be larger and the difficulty of the central bank's reversal will be increased. The central bank's reversal of different forms of capital flows is different. The higher stability of capital flows has a higher contribution to foreign exchange reserves, and the central bank's reverse is less than the reversal of the volatility of capital flows. The possible causes are:1. The higher-stability capital flows are larger than the volatility of the capital flows, the increase of which exceeds the range that the central bank can write off; and the relatively volatile capital flows have a great impact on the economy, The central bank has consciously stepped up the write-off intervention in its large-scale inflow. In addition, the capital flow is classified according to the source of foreign exchange, and it is found that the central bank's reversal of foreign direct investment is the largest, which is considered to be related to the expansion of its size and the specific gravity of the source of foreign exchange; from the dynamic change, the central bank has started to reverse the foreign direct investment in 2006, The continuous increase in the reversal of non-direct investment in 2009 and 2010 may be related to the high inflation pressures of these two periods. Our country adopts the reverse tool of issuing the central ticket and adjusting the reserve ratio of the deposit reserve, and has obtained some effect. But with the expansion of the write-off scale and the rise in the write-off cost, as well as the shortcomings in the tool itself, the ability to reverse our currency is limited. With the growth of foreign exchange reserves and the prudent monetary policy, the conflict between deleveraging and deleveraging will gradually increase, and the central bank will bear huge write-off pressure in the future. In the short term, the effectiveness of the write-off intervention should be improved, the reverse tool, the exchange rate system and the foreign exchange management system should be further improved; in the long term, our country must further improve the large surplus of the balance of payments, including the adjustment of the economic structure and the foreign trade policy.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.6
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，本文編號：2497575
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