【摘要】：本文通過構建2010年1月至2016年7月的VAR模型,實證分析了新一輪美聯(lián)儲加息對中國跨境資本流動的溢出效應。脈沖響應結果顯示:第一,美國隔夜拆借利率對我國跨境資本流動各項目的沖擊均在零軸以下,表明實際聯(lián)邦基金利率對我國直接投資、證券投資、銀行部門的資本流動為負向溢出效應。第二,中美平均匯率對我國跨境資本流動各項目的沖擊均在零軸以下,但沖擊幅度較美國隔夜拆借利率更大,表明人民幣匯率波動對我國直接投資、證券投資、銀行部門的資本流動有較強的負向溢出效應。第三,美國隔夜拆借利率、中美平均匯率對我國跨境資本流動各項目的沖擊幅度總體較小且不斷變弱,這與新一輪美聯(lián)儲加息的節(jié)奏相對緩和以及我國人民幣匯率形成機制改革息息相關。因此,中國貨幣當局應及時關注和監(jiān)測跨境資本流動,警惕和防范美聯(lián)儲加息對跨境資本流動的不利沖擊;進一步完善人民幣匯率的市場化形成機制,增強人民幣兌美元匯率的雙向浮動彈性,從根本上實現(xiàn)人民幣匯率預期的穩(wěn)定,進而緩解匯率波動對跨境資本流動的沖擊。
[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】： 武漢大學經(jīng)濟與管理學院;
【基金】：教育部哲學社會科學研究重大課題攻關項目“歐美國家債務危機對我國的影響及對策研究”(12JZD029);教育部哲學社會科學研究重大課題攻關項目“經(jīng)濟發(fā)展新常態(tài)下我國貨幣政策體系建設研究”(15JZD013) 國家社會科學基金一般項目“我國流動性結構失衡的宏觀經(jīng)濟影響與貨幣政策選擇研究”(14BJY187)
【分類號】：F832.6

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本文編號：2522833