中国跨境资本流动宏观审慎管理
|
摘要
2008年全球金融危机爆发后,面对跨境资本的快进快出,越来越多的国家使用宏观审慎管理工具来管理跨境资本流动。本文从外债管理和外汇市场管理两个维度阐述了中国的跨境资本流动宏观审慎管理,并分析了2015年下半年中国人民银行应对跨境资本流出采取的对远期售汇征收风险准备金的宏观审慎管理效果,该政策在2018年9月被监管当局重新启用。在此基础上,提出改善中国跨境资本流动宏观审慎管理的政策建议。
After the global financial crisis broke out in 2008, a large number of countries faced with the fast moving of cross-border capital flows, then more and more countries use macro-prudential management tools to regulate cross-border capital flows. This paper expounds the macro-prudential management of cross-border capital flows in China from two dimensions: one is the foreign debt management and the other is foreign exchange market management. This paper also analyzes the effect of levy risk reserve for the forward sales of foreign exchange, which was implemented by the People's Bank of China in the second half of 2015 in response to cross-border capital outflows. The regulatory authorities reactivated this macro-prudential management tool in September 2018 again. Therefore, this paper proposes policy recommendations for regulatory authorities to improve macro-prudential management capability of cross-border capital flows in China.
After the global financial crisis broke out in 2008, a large number of countries faced with the fast moving of cross-border capital flows, then more and more countries use macro-prudential management tools to regulate cross-border capital flows. This paper expounds the macro-prudential management of cross-border capital flows in China from two dimensions: one is the foreign debt management and the other is foreign exchange market management. This paper also analyzes the effect of levy risk reserve for the forward sales of foreign exchange, which was implemented by the People's Bank of China in the second half of 2015 in response to cross-border capital outflows. The regulatory authorities reactivated this macro-prudential management tool in September 2018 again. Therefore, this paper proposes policy recommendations for regulatory authorities to improve macro-prudential management capability of cross-border capital flows in China.
引文
[1]Korinek A, Sandri D. Capital Controls or Macro-prudential Regulation?[J]. Journal of International Economics,2016,99(218):27-42.
[2]Ostry, J. D., Ghosh A. R., Chamon M. and Qureshi Mahvash S. Tools for Managing Financial Stability Risks from Capital Inflows[J]. Journal of International Economics,2012.88:407-421.
[3]Prates D. The new IMF approach to capital account management and its blind spots:lessons from Brazil and South Korea[J]. International Review of Applied Economics,2014,28(2):210-239.
[4]Bruno Valentina, Shin Hyun Song. Assessing Macroprudential Policies:Case of Korea[J]. The Scandinavian Journal of Economics,2014(116):128-157.
[5]国家外汇管理局.中国跨境资本流动监测报告2011-2015[R/OL].[2018-12-10]www.safe.gov.cn.
[6]葛奇.宏观审慎管理政策和资本管制措施在新兴市场国家跨境资本流出入管理中的应用及其效果:兼析中国在资本账户自由化过程中面临的资本流动管理政策选择[J].国际金融研究,2017(3):3-14.
(1)目前国内个人不允许借用外债。
(2)短期外债指偿还期限在1年以内的对外借款。
(3)外债登记管理指的是凡是借用外债的境内机构需要向国家外汇管理局及其分支机构登记所借用外债的币种、金额、利率以及期限等信息。
(4)数据开始日期为2014年末。
(5)核心外债指非居民在韩国银行部门的存款,非核心外币负债季是外币负债总量减去核心外债的值。以银行部门的非核心外币负债为税基,依据其期限征收不同税率,期限越长税率越小。
(6)结售汇综合头寸指由银行办理对客户结售汇业务、自身结售汇业务、远期结售汇以及在银行间外汇市场平盘后剩余的资金,即综合头寸余额=收付实现制头寸余额+对客户远期结售汇累计未到期+对客户未到期期权Delta净敞口。
(7)权责发生制与收付实现制的区别在于,权责发生制在远期结售汇签约时计入头寸,即银行在远期结售汇签约后即可到即期银行间市场平盘;收付实现制只允许远期结售汇履约时计入头寸,即银行需在远期结售汇履约而非签约时才可到即期银行间市场平盘。现实操作中,银行与客户签订远期结售汇合约后,为对冲汇率风险,一般会立即在银行间外汇市场将同等金额的外汇进行与客户相反的操作。如果采用收付实现制对银行进行考核,即银行只能在远期结售汇履约时在外汇市场平盘,银行需要承担在此期间汇率波动的风险,银行在提供相关远期结售汇产品时会将这部分风险定价转移给客户或者选择不做这样业务从而不承担汇率风险。
[2]Ostry, J. D., Ghosh A. R., Chamon M. and Qureshi Mahvash S. Tools for Managing Financial Stability Risks from Capital Inflows[J]. Journal of International Economics,2012.88:407-421.
[3]Prates D. The new IMF approach to capital account management and its blind spots:lessons from Brazil and South Korea[J]. International Review of Applied Economics,2014,28(2):210-239.
[4]Bruno Valentina, Shin Hyun Song. Assessing Macroprudential Policies:Case of Korea[J]. The Scandinavian Journal of Economics,2014(116):128-157.
[5]国家外汇管理局.中国跨境资本流动监测报告2011-2015[R/OL].[2018-12-10]www.safe.gov.cn.
[6]葛奇.宏观审慎管理政策和资本管制措施在新兴市场国家跨境资本流出入管理中的应用及其效果:兼析中国在资本账户自由化过程中面临的资本流动管理政策选择[J].国际金融研究,2017(3):3-14.
(1)目前国内个人不允许借用外债。
(2)短期外债指偿还期限在1年以内的对外借款。
(3)外债登记管理指的是凡是借用外债的境内机构需要向国家外汇管理局及其分支机构登记所借用外债的币种、金额、利率以及期限等信息。
(4)数据开始日期为2014年末。
(5)核心外债指非居民在韩国银行部门的存款,非核心外币负债季是外币负债总量减去核心外债的值。以银行部门的非核心外币负债为税基,依据其期限征收不同税率,期限越长税率越小。
(6)结售汇综合头寸指由银行办理对客户结售汇业务、自身结售汇业务、远期结售汇以及在银行间外汇市场平盘后剩余的资金,即综合头寸余额=收付实现制头寸余额+对客户远期结售汇累计未到期+对客户未到期期权Delta净敞口。
(7)权责发生制与收付实现制的区别在于,权责发生制在远期结售汇签约时计入头寸,即银行在远期结售汇签约后即可到即期银行间市场平盘;收付实现制只允许远期结售汇履约时计入头寸,即银行需在远期结售汇履约而非签约时才可到即期银行间市场平盘。现实操作中,银行与客户签订远期结售汇合约后,为对冲汇率风险,一般会立即在银行间外汇市场将同等金额的外汇进行与客户相反的操作。如果采用收付实现制对银行进行考核,即银行只能在远期结售汇履约时在外汇市场平盘,银行需要承担在此期间汇率波动的风险,银行在提供相关远期结售汇产品时会将这部分风险定价转移给客户或者选择不做这样业务从而不承担汇率风险。