【摘要】：短期資本流動對一國經濟會產生強烈的干擾作用,而美聯儲的貨幣政策的變化又會引起短期資本的劇烈波動。2014年美聯儲宣布退出量化寬松政策,2015年人民幣進行匯改,人民幣貶值趨勢形成,美元逐步進入加息周期,中國國際短期資本外流壓力陡然提升。2016年全年,我國外匯儲備跌破三萬億大關。近年來,中國資本與金融賬戶的順逆差交替出現,標志著中國所面臨的國際資本流動(尤其是短期資本流動)的波動性已經顯著增強。筆者認為,造成中國短期資本流動性大幅提高的重要原因是國內外貨幣政策的不可預測性�？v觀全球局勢,發(fā)達國家貨幣政策出現了大分化。目前,美國已經退出量化寬松政策并開啟加息周期而歐元區(qū)與日本在量化寬松政策上越陷越深,發(fā)達經濟體的貨幣政策分歧造成全球范圍內對未來流動性總量松緊程度的判斷出現分化。反觀中國國內,對于未來利率水平如何變動的看法也不盡一致。利率預期的不確定性,再加上匯率變動的不確定性對新時期經濟形勢下的短期流動資本管理造成了極大的挑戰(zhàn)。在此背景下,本文首先通過梳理美國貨幣政策變化的外溢效應的相關文獻研究找到本文的突破口,著重分析美國貨幣政策變化對中國短期資本流動這一具有現實意義的課題。然后詳細分析美國貨幣政策影響中國短期資本流動的理論基礎和作用機制:美國貨幣政策的變化通過改變中美利率差異、匯率差異兩種渠道作用于中國短期資本的流動。實證部分,本文選取中國短期資本流動、美國貨幣政策指數、利率水平、人民幣匯率水平和國內資產價格作為變量,通過構建VAR模型來定量分析美國貨幣政策對中國短期資本流動的影響。實證結果表明:美聯儲加息,貨幣政策收緊將導致中國短期資本持續(xù)流出。美國貨幣政策變動通過改變中美利率水平差異和匯率水平差異來影響中國短期資本流動的效果非常明顯,中國要謹防美聯儲貨幣政策轉向后資本外流帶來的系統(tǒng)性風險。最后,分別從中國機制體制改革和加強短期資本管控能力兩個方面提出自己的政策建議。
[Abstract]:Short-term capital flows can have a strong disruptive effect on a country's economy, and changes in the Fed's monetary policy can lead to sharp fluctuations in short-term capital. In 2014, the Fed announced its withdrawal from quantitative easing, and the renminbi was reformed in 2015. China's foreign exchange reserves fell below the $3 trillion mark for the whole of 2016 as the renminbi weakened, the dollar gradually entered a rate hike cycle, and the pressure on China's international short-term capital outflow rose sharply. In recent years, China's balance of capital and financial accounts has alternately appeared, indicating that the volatility of international capital flows (especially short-term capital flows) that China is facing has increased significantly. The author believes that the unpredictability of monetary policy at home and abroad is an important reason for the substantial increase of short-term capital liquidity in China. Looking at the global situation, developed countries' monetary policy has been greatly divided. Now, the United States has pulled out of quantitative easing and started a cycle of interest rate hikes, while the euro zone and Japan are getting deeper and deeper in quantitative easing. Divergences in monetary policy in developed economies have led to a global divergence of judgments about how much liquidity will be tight in the future. China, on the other hand, has different views on how interest rates will change in the future. The uncertainty of interest rate expectation combined with the uncertainty of exchange rate changes has posed a great challenge to the short-term liquidity capital management in the new economic situation. Under this background, this paper firstly finds a breakthrough by combing the literature about the spillover effect of American monetary policy change, focusing on the practical significance of American monetary policy change to China's short-term capital flow. Then the theoretical basis and mechanism of the influence of American monetary policy on China's short-term capital flows are analyzed in detail: the changes of American monetary policy affect the short-term capital flows in China by changing the interest rate difference between China and the United States, and by changing the exchange rate difference. In the empirical part, this paper selects China's short-term capital flow, US monetary policy index, interest rate level, RMB exchange rate and domestic asset price as variables. VAR model is used to analyze the impact of American monetary policy on China's short-term capital flows. Empirical results show that the Federal Reserve rate rise, monetary policy tightening will lead to sustained short-term capital outflows from China. Changes in U.S. monetary policy affect China's short-term capital flows by changing the differences in interest rates and exchange rates between China and the United States. China should guard against the systemic risks of capital outflows after the Fed's monetary policy shift. Finally, the author puts forward his own policy suggestions from two aspects of China's institutional reform and strengthening the ability of short-term capital control.
【學位授予單位】：山東大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F827.12;F832.6

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本文編號：2319023