發(fā)布時(shí)間：2019-08-04 09:13

【摘要】：本文通過(guò)構(gòu)建2010年1月至2016年7月的VAR模型,實(shí)證分析了新一輪美聯(lián)儲(chǔ)加息對(duì)中國(guó)跨境資本流動(dòng)的溢出效應(yīng)。脈沖響應(yīng)結(jié)果顯示:第一,美國(guó)隔夜拆借利率對(duì)我國(guó)跨境資本流動(dòng)各項(xiàng)目的沖擊均在零軸以下,表明實(shí)際聯(lián)邦基金利率對(duì)我國(guó)直接投資、證券投資、銀行部門(mén)的資本流動(dòng)為負(fù)向溢出效應(yīng)。第二,中美平均匯率對(duì)我國(guó)跨境資本流動(dòng)各項(xiàng)目的沖擊均在零軸以下,但沖擊幅度較美國(guó)隔夜拆借利率更大,表明人民幣匯率波動(dòng)對(duì)我國(guó)直接投資、證券投資、銀行部門(mén)的資本流動(dòng)有較強(qiáng)的負(fù)向溢出效應(yīng)。第三,美國(guó)隔夜拆借利率、中美平均匯率對(duì)我國(guó)跨境資本流動(dòng)各項(xiàng)目的沖擊幅度總體較小且不斷變?nèi)?這與新一輪美聯(lián)儲(chǔ)加息的節(jié)奏相對(duì)緩和以及我國(guó)人民幣匯率形成機(jī)制改革息息相關(guān)。因此,中國(guó)貨幣當(dāng)局應(yīng)及時(shí)關(guān)注和監(jiān)測(cè)跨境資本流動(dòng),警惕和防范美聯(lián)儲(chǔ)加息對(duì)跨境資本流動(dòng)的不利沖擊;進(jìn)一步完善人民幣匯率的市場(chǎng)化形成機(jī)制,增強(qiáng)人民幣兌美元匯率的雙向浮動(dòng)彈性,從根本上實(shí)現(xiàn)人民幣匯率預(yù)期的穩(wěn)定,進(jìn)而緩解匯率波動(dòng)對(duì)跨境資本流動(dòng)的沖擊。
[Abstract]:Based on the VAR model from January 2010 to July 2016, this paper empirically analyzes the spillover effect of a new round of Fed interest rate hike on cross-border capital flows in China. The impulse response results show that: first, the impact of overnight lending rate on various items of cross-border capital flow in China is below zero axis, indicating that the actual federal fund interest rate has a negative spillover effect on direct investment, securities investment and capital flow in the banking sector. Second, the impact of the average exchange rate between China and the United States on each item of cross-border capital flow in China is below zero axis, but the impact is larger than that of the overnight lending rate in the United States, which indicates that the fluctuation of RMB exchange rate has a strong negative spillover effect on China's direct investment, securities investment and capital flow in the banking sector. Third, the impact of the overnight lending rate of the United States and the average exchange rate between China and the United States on various items of cross-border capital flows in China is generally small and weakening, which is closely related to the relative moderation of the new round of Fed interest rate increase and the reform of RMB exchange rate formation mechanism in China. Therefore, Chinese monetary authorities should pay attention to and monitor cross-border capital flows in time, guard against and guard against the adverse impact of Fed interest rate hike on cross-border capital flows, further improve the marketization formation mechanism of RMB exchange rate, enhance the two-way floating elasticity of RMB exchange rate against the US dollar, fundamentally realize the stability of RMB exchange rate expectations, and thus alleviate the impact of exchange rate fluctuations on cross-border capital flows.
【作者單位】： 武漢大學(xué)經(jīng)濟(jì)與管理學(xué)院;
【基金】：教育部哲學(xué)社會(huì)科學(xué)研究重大課題攻關(guān)項(xiàng)目“歐美國(guó)家債務(wù)危機(jī)對(duì)我國(guó)的影響及對(duì)策研究”(12JZD029);教育部哲學(xué)社會(huì)科學(xué)研究重大課題攻關(guān)項(xiàng)目“經(jīng)濟(jì)發(fā)展新常態(tài)下我國(guó)貨幣政策體系建設(shè)研究”(15JZD013) 國(guó)家社會(huì)科學(xué)基金一般項(xiàng)目“我國(guó)流動(dòng)性結(jié)構(gòu)失衡的宏觀經(jīng)濟(jì)影響與貨幣政策選擇研究”(14BJY187)
【分類(lèi)號(hào)】：F832.6

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本文編號(hào)：2522833