發(fā)布時(shí)間：2018-11-08 16:22

【摘要】：短期資本流動(dòng)對(duì)一國(guó)經(jīng)濟(jì)會(huì)產(chǎn)生強(qiáng)烈的干擾作用,而美聯(lián)儲(chǔ)的貨幣政策的變化又會(huì)引起短期資本的劇烈波動(dòng)。2014年美聯(lián)儲(chǔ)宣布退出量化寬松政策,2015年人民幣進(jìn)行匯改,人民幣貶值趨勢(shì)形成,美元逐步進(jìn)入加息周期,中國(guó)國(guó)際短期資本外流壓力陡然提升。2016年全年,我國(guó)外匯儲(chǔ)備跌破三萬(wàn)億大關(guān)。近年來(lái),中國(guó)資本與金融賬戶的順逆差交替出現(xiàn),標(biāo)志著中國(guó)所面臨的國(guó)際資本流動(dòng)(尤其是短期資本流動(dòng))的波動(dòng)性已經(jīng)顯著增強(qiáng)。筆者認(rèn)為,造成中國(guó)短期資本流動(dòng)性大幅提高的重要原因是國(guó)內(nèi)外貨幣政策的不可預(yù)測(cè)性。縱觀全球局勢(shì),發(fā)達(dá)國(guó)家貨幣政策出現(xiàn)了大分化。目前,美國(guó)已經(jīng)退出量化寬松政策并開(kāi)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(dá)經(jīng)濟(jì)體的貨幣政策分歧造成全球范圍內(nèi)對(duì)未來(lái)流動(dòng)性總量松緊程度的判斷出現(xiàn)分化。反觀中國(guó)國(guó)內(nèi),對(duì)于未來(lái)利率水平如何變動(dòng)的看法也不盡一致。利率預(yù)期的不確定性,再加上匯率變動(dòng)的不確定性對(duì)新時(shí)期經(jīng)濟(jì)形勢(shì)下的短期流動(dòng)資本管理造成了極大的挑戰(zhàn)。在此背景下,本文首先通過(guò)梳理美國(guó)貨幣政策變化的外溢效應(yīng)的相關(guān)文獻(xiàn)研究找到本文的突破口,著重分析美國(guó)貨幣政策變化對(duì)中國(guó)短期資本流動(dòng)這一具有現(xiàn)實(shí)意義的課題。然后詳細(xì)分析美國(guó)貨幣政策影響中國(guó)短期資本流動(dòng)的理論基礎(chǔ)和作用機(jī)制:美國(guó)貨幣政策的變化通過(guò)改變中美利率差異、匯率差異兩種渠道作用于中國(guó)短期資本的流動(dòng)。實(shí)證部分,本文選取中國(guó)短期資本流動(dòng)、美國(guó)貨幣政策指數(shù)、利率水平、人民幣匯率水平和國(guó)內(nèi)資產(chǎn)價(jià)格作為變量,通過(guò)構(gòu)建VAR模型來(lái)定量分析美國(guó)貨幣政策對(duì)中國(guó)短期資本流動(dòng)的影響。實(shí)證結(jié)果表明:美聯(lián)儲(chǔ)加息,貨幣政策收緊將導(dǎo)致中國(guó)短期資本持續(xù)流出。美國(guó)貨幣政策變動(dòng)通過(guò)改變中美利率水平差異和匯率水平差異來(lái)影響中國(guó)短期資本流動(dòng)的效果非常明顯,中國(guó)要謹(jǐn)防美聯(lián)儲(chǔ)貨幣政策轉(zhuǎn)向后資本外流帶來(lái)的系統(tǒng)性風(fēng)險(xiǎn)。最后,分別從中國(guó)機(jī)制體制改革和加強(qiáng)短期資本管控能力兩個(gè)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(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F827.12;F832.6

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本文編號(hào)：2319023