美元周期性波动对我国跨境资本流动的非对称效应研究
|
摘要
文章基于2006年10月至2018年6月的月度数据,运用理论模型和MSVAR模型分析美元周期性波动对我国跨境资本流动的非对称效应。研究表明,中美利差对跨境资本流动的影响存在非对称效应,当投资者不存在恐慌避险情绪时,利差的变化将不会引起大规模的跨国资本流动;美元指数对跨境资本流动的冲击效应具有一定的时滞性,美元升值将引发跨境资本流出,且冲击效应持续时间明显长于利差冲击;避险情绪指数和人民币汇率对跨境资本流动影响较弱,但呈现非对称性特征。加息和缩表后美元升值对资本外流的推动作用明显强于加息和缩表前,表明第三轮强周期下美元升值对我国跨境资本流动的影响更大。
Based on the monthly data from October 2006 to June 2018, this paper uses the theoretical model and MSVAR model to analyze the asymmetric effects of US dollar cyclical fluctuations on cross-border capital flows in China. The research shows that, there is an asymmetric effect of interest rate differentials between China and the United States on cross-border capital flows. When there is no risk aversion among the investors, the change of interest rate differentials will not lead to large-scale cross-border capital flows. The impact of US dollar index on cross-border capital flows has a certain time lag. The appreciation of US dollar will lead to cross-border capital outflows, and the duration of the impact is significantly longer than that of interest rate differentials shock. The risk aversion index and the RMB exchange rate have a weaker impact on cross-border capital flows, but show asymmetrical characteristics. The effect of US dollar appreciation on capital outflow after the Fed rate rise and reserves retrenchment is stronger than before, which indicates that US dollar appreciation has greater impact on China's cross-border capital flows in the third strong cycle.
Based on the monthly data from October 2006 to June 2018, this paper uses the theoretical model and MSVAR model to analyze the asymmetric effects of US dollar cyclical fluctuations on cross-border capital flows in China. The research shows that, there is an asymmetric effect of interest rate differentials between China and the United States on cross-border capital flows. When there is no risk aversion among the investors, the change of interest rate differentials will not lead to large-scale cross-border capital flows. The impact of US dollar index on cross-border capital flows has a certain time lag. The appreciation of US dollar will lead to cross-border capital outflows, and the duration of the impact is significantly longer than that of interest rate differentials shock. The risk aversion index and the RMB exchange rate have a weaker impact on cross-border capital flows, but show asymmetrical characteristics. The effect of US dollar appreciation on capital outflow after the Fed rate rise and reserves retrenchment is stronger than before, which indicates that US dollar appreciation has greater impact on China's cross-border capital flows in the third strong cycle.
引文
[1]AGOSIN M R,HUAITA F.Overreaction in capital flows to emerging markets:booms and sudden stops[J].Journal of International Money and Finance,2012,31(5):1140-1155.
[2]AHMED S,ZLATE A.Capital flows to emerging market economies:a brave new world?[J].Journal of International Money and Finance,2014,48(2):221-248.
[3]陈创练,杨子晖.“泰勒规则”、资本流动与汇率波动研究[J].金融研究,2013(11):60-73.
[4]董有德,谢钦骅.汇率波动对新兴市场国家资本流动的影响研究---基于23个新兴市场国家2000-2013年的季度数据[J].国际金融研究,2015(6):42-52.
[5]唐国强,王彬.汇率调整、资本项目开放与跨境资本流动---新兴市场经验对我国的启示[J].中央财经大学学报,2017(4):104-116.
[6]GERLACH S,PETER A.The economics of the Dollar Cycle[M].Massachusetts:The MIT Press Classics Series,1990:1-170.
[7]刘晓曙.人民币汇率走向绕不开美元周期[N].第一财经日报,2014-05-05(1).
[8]沈建光.全球经济与美元周期共振[J].中国外汇,2015(1):14-16.
[9]孙寅浩.美元周期-成因的实证研究[J].投资研究,2016(7):141-149.
[10]李欢丽,李石凯.美联储缩表对强势美元周期与新兴市场的影响研究[J].世界经济与政治论坛,2017(11):54-68.
[11]MILESI-FERRETTI G M,TILLE C.The Great Retrenchment:international capital flows during the global financial crisis[J].Economic Policy,2011,26(4):285-342.
[12]张明,谭小芬.中国短期资本流动的主要驱动因素:2000-2012[J].世界经济,2013(11):93-116.
[13]朱孟楠,陈欣铭.外汇市场压力、短期国际资本流动及通货膨胀---基于马尔可夫区制转换模型的实证研究[J].投资研究,2013(3):33-45.
[14]刘骏斌,刘晓星.美元加息、人民币汇率与短期跨国资本流动---基于适应性预期的视角[J].财经科学,2017(8):38-52.
[15]陈创练,姚树洁,郑挺国,等.利率市场化、汇率改制与国际资本流动的关系研究[J].经济研究,2017(4):64-77.
[16]万淼.美国四轮量化宽松货币政策对我国跨境资本流动的影响分析[J].经济数学,2014(3):48-55.
[17]肖卫国,兰晓梅.新一轮美联储加息对中国跨境资本流动溢出效应研究[J].经济学家,2017(2):84-90.
[18]KROLZIG H.Econometric modelling of Markov-switching Vector Auto Regressions using MSVAR for ox[M].Oxford:Nuffield College,1998:1-26.
[19]刘莉亚.境外“热钱”是否推动了股市、房市的上涨?---来自中国市场的证据[J].金融研究,2008(10):48-70.
[20]李芳,李秋娟.人民币汇率与房地产价格的互动关系---基于2005-2012年月度数据的MS-VAR模型分析[J].国际金融研究,2014(3):86-96.
[21]REY H.Dilemma not trilemma:the global financial cycle and monetary policy independence[J].NBERWorking Paper,2015(5):1-37.
[22]伍戈,陆简.全球避险情绪与资本流动---“二元悖论”成因探析[J].金融研究,2016(11):1-14.
[23]国际货币基金组织.全球金融稳定报告[M].北京:中国金融出版社,2011:1-50.
[2]AHMED S,ZLATE A.Capital flows to emerging market economies:a brave new world?[J].Journal of International Money and Finance,2014,48(2):221-248.
[3]陈创练,杨子晖.“泰勒规则”、资本流动与汇率波动研究[J].金融研究,2013(11):60-73.
[4]董有德,谢钦骅.汇率波动对新兴市场国家资本流动的影响研究---基于23个新兴市场国家2000-2013年的季度数据[J].国际金融研究,2015(6):42-52.
[5]唐国强,王彬.汇率调整、资本项目开放与跨境资本流动---新兴市场经验对我国的启示[J].中央财经大学学报,2017(4):104-116.
[6]GERLACH S,PETER A.The economics of the Dollar Cycle[M].Massachusetts:The MIT Press Classics Series,1990:1-170.
[7]刘晓曙.人民币汇率走向绕不开美元周期[N].第一财经日报,2014-05-05(1).
[8]沈建光.全球经济与美元周期共振[J].中国外汇,2015(1):14-16.
[9]孙寅浩.美元周期-成因的实证研究[J].投资研究,2016(7):141-149.
[10]李欢丽,李石凯.美联储缩表对强势美元周期与新兴市场的影响研究[J].世界经济与政治论坛,2017(11):54-68.
[11]MILESI-FERRETTI G M,TILLE C.The Great Retrenchment:international capital flows during the global financial crisis[J].Economic Policy,2011,26(4):285-342.
[12]张明,谭小芬.中国短期资本流动的主要驱动因素:2000-2012[J].世界经济,2013(11):93-116.
[13]朱孟楠,陈欣铭.外汇市场压力、短期国际资本流动及通货膨胀---基于马尔可夫区制转换模型的实证研究[J].投资研究,2013(3):33-45.
[14]刘骏斌,刘晓星.美元加息、人民币汇率与短期跨国资本流动---基于适应性预期的视角[J].财经科学,2017(8):38-52.
[15]陈创练,姚树洁,郑挺国,等.利率市场化、汇率改制与国际资本流动的关系研究[J].经济研究,2017(4):64-77.
[16]万淼.美国四轮量化宽松货币政策对我国跨境资本流动的影响分析[J].经济数学,2014(3):48-55.
[17]肖卫国,兰晓梅.新一轮美联储加息对中国跨境资本流动溢出效应研究[J].经济学家,2017(2):84-90.
[18]KROLZIG H.Econometric modelling of Markov-switching Vector Auto Regressions using MSVAR for ox[M].Oxford:Nuffield College,1998:1-26.
[19]刘莉亚.境外“热钱”是否推动了股市、房市的上涨?---来自中国市场的证据[J].金融研究,2008(10):48-70.
[20]李芳,李秋娟.人民币汇率与房地产价格的互动关系---基于2005-2012年月度数据的MS-VAR模型分析[J].国际金融研究,2014(3):86-96.
[21]REY H.Dilemma not trilemma:the global financial cycle and monetary policy independence[J].NBERWorking Paper,2015(5):1-37.
[22]伍戈,陆简.全球避险情绪与资本流动---“二元悖论”成因探析[J].金融研究,2016(11):1-14.
[23]国际货币基金组织.全球金融稳定报告[M].北京:中国金融出版社,2011:1-50.