本文關鍵詞：利率市場化、匯率改制與國際資本流動的關系研究　出處：《經(jīng)濟研究》2017年04期 　論文類型：期刊論文

  更多相關文章： 利率市場化 匯率改革 資本賬戶開放

【摘要】：隨著利率市場化改革、匯率改制以及資本賬戶開放改革進程的加快推進,我國金融市場面臨著前所未有的挑戰(zhàn)。本文從理論上分析了國際資本流動與利率、匯率之間的時變和互動關系,并采用時變參數(shù)向量自回歸模型實證分析了三者之間的時變動態(tài)關系。通過進一步分析不同時間階段我國利率市場化改革、匯率改制以及資本賬戶開放等對中美利差、匯率波動和國際資本流動的影響效應,結(jié)果發(fā)現(xiàn):利率對匯率和國際資本流動的傳導渠道相對有限;匯率對利率的傳導受阻,但對國際資本流動的影響相對較為順暢;國際資本流動對利率傳導相對較弱,而對匯率的影響十分顯著�？梢�,在利率—匯率—資本流動三者相互傳導過程中,利率渠道最為不順暢。利率對國際資本流動影響渠道受阻,除了因為我國利率的價格機制作用有限和資本賬戶管制外,另外一個原因則在于匯率日波動受限從而削弱了利率對匯率波動的傳導效應,并使得"非平拋利率平價"曲線無法更好地發(fā)揮作用。同時為了避免由于難以控制的資本外逃而導致系統(tǒng)性金融風險,基于本文的研究結(jié)果,我國金融市場化改革應該遵循如下改革順序:利率市場化—匯率改制—資本賬戶開放。
[Abstract]:With the reform of marketization of interest rate, the reform of exchange rate and the acceleration of the reform of capital account opening, China's financial market is facing unprecedented challenges. This paper theoretically analyzes the international capital flow and interest rate. The time-varying and interactive relationship between the exchange rate and the time-varying parameter vector autoregressive model is used to empirically analyze the time-varying dynamic relationship between the three. Through further analysis of the different time stages of interest rate marketization reform in China. The effects of exchange rate reform and capital account opening on the spread between China and the United States, exchange rate fluctuations and international capital flows. The results show that the transmission channels of interest rate to exchange rate and international capital flow are relatively limited; The transmission of exchange rate to interest rate is blocked, but the influence on international capital flow is relatively smooth; International capital flow is relatively weak to the transmission of interest rate, but the influence on exchange rate is very obvious. Thus, in the process of transmission of interest rate, exchange rate and capital flow, we can see. The channel of interest rate is the most unsmooth. The influence of interest rate on international capital flow is blocked, except for the limited function of price mechanism of interest rate and capital account control in our country. Another reason is that exchange rate daily fluctuations are limited, which weakens the transmission effect of interest rate to exchange rate volatility. In order to avoid the systemic financial risk caused by the capital flight which is difficult to control, it is based on the research results of this paper. China's financial marketization reform should follow the following reform order: interest rate marketization-exchange rate reform-capital account opening.
【作者單位】： 暨南大學經(jīng)濟學院;華南師范大學經(jīng)濟與管理學院;重慶大學經(jīng)濟與工商管理學院;英國諾丁漢大學;廈門大學經(jīng)濟學院統(tǒng)計系、王亞南經(jīng)濟研究院;
【基金】：國家自然科學基金(71673033,71303081,71371160) 教育部人文社科基金(16YJA790058)資助
【分類號】：F832.5;F832.6
【正文快照】： 一、引言 在有效市場中,利率、匯率與國際資本流動三者之間存在一種自動平衡機制,而“非平拋利率平價”直接影響該自動平衡機制能否得以有效實現(xiàn)。在資本自由流動和浮動匯率制度下,如果存在足夠多的交易能力和交易機會,則套利力量將使得國際金融市場上相似金融資產(chǎn)的收益率趨

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