本文關(guān)鍵詞：利率市場(chǎng)化、匯率改制與國際資本流動(dòng)的關(guān)系研究　出處：《經(jīng)濟(jì)研究》2017年04期 　論文類型：期刊論文

  更多相關(guān)文章： 利率市場(chǎng)化 匯率改革 資本賬戶開放

【摘要】：隨著利率市場(chǎng)化改革、匯率改制以及資本賬戶開放改革進(jìn)程的加快推進(jìn),我國金融市場(chǎng)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(dòng)與利率、匯率之間的時(shí)變和互動(dòng)關(guān)系,并采用時(shí)變參數(shù)向量自回歸模型實(shí)證分析了三者之間的時(shí)變動(dòng)態(tài)關(guān)系。通過進(jìn)一步分析不同時(shí)間階段我國利率市場(chǎng)化改革、匯率改制以及資本賬戶開放等對(duì)中美利差、匯率波動(dòng)和國際資本流動(dòng)的影響效應(yīng),結(jié)果發(fā)現(xiàn):利率對(duì)匯率和國際資本流動(dòng)的傳導(dǎo)渠道相對(duì)有限;匯率對(duì)利率的傳導(dǎo)受阻,但對(duì)國際資本流動(dòng)的影響相對(duì)較為順暢;國際資本流動(dòng)對(duì)利率傳導(dǎo)相對(duì)較弱,而對(duì)匯率的影響十分顯著�？梢�,在利率—匯率—資本流動(dòng)三者相互傳導(dǎo)過程中,利率渠道最為不順暢。利率對(duì)國際資本流動(dòng)影響渠道受阻,除了因?yàn)槲覈实膬r(jià)格機(jī)制作用有限和資本賬戶管制外,另外一個(gè)原因則在于匯率日波動(dòng)受限從而削弱了利率對(duì)匯率波動(dòng)的傳導(dǎo)效應(yīng),并使得"非平拋利率平價(jià)"曲線無法更好地發(fā)揮作用。同時(shí)為了避免由于難以控制的資本外逃而導(dǎo)致系統(tǒng)性金融風(fēng)險(xiǎn),基于本文的研究結(jié)果,我國金融市場(chǎng)化改革應(yīng)該遵循如下改革順序:利率市場(chǎng)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(xué)經(jīng)濟(jì)學(xué)院;華南師范大學(xué)經(jīng)濟(jì)與管理學(xué)院;重慶大學(xué)經(jīng)濟(jì)與工商管理學(xué)院;英國諾丁漢大學(xué);廈門大學(xué)經(jīng)濟(jì)學(xué)院統(tǒng)計(jì)系、王亞南經(jīng)濟(jì)研究院;
【基金】：國家自然科學(xué)基金(71673033,71303081,71371160) 教育部人文社科基金(16YJA790058)資助
【分類號(hào)】：F832.5;F832.6
【正文快照】： 一、引言 在有效市場(chǎng)中,利率、匯率與國際資本流動(dòng)三者之間存在一種自動(dòng)平衡機(jī)制,而“非平拋利率平價(jià)”直接影響該自動(dòng)平衡機(jī)制能否得以有效實(shí)現(xiàn)。在資本自由流動(dòng)和浮動(dòng)匯率制度下,如果存在足夠多的交易能力和交易機(jī)會(huì),則套利力量將使得國際金融市場(chǎng)上相似金融資產(chǎn)的收益率趨

【相似文獻(xiàn)】

相關(guān)期刊論文 前10條

1 羅貝;冷洛;;國際資本流動(dòng)的效應(yīng)分析[J];云南財(cái)經(jīng)大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2008年04期

2 陳瑤;王曉蘭;;國際資本流動(dòng)對(duì)金融業(yè)穩(wěn)定性影響研究綜述[J];華商;2008年02期

3 張寶珍;“當(dāng)前國際資本流動(dòng)問題”研討會(huì)在京舉行[J];世界經(jīng)濟(jì);1991年11期

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本文編號(hào)：1438402