本文選題：資本項(xiàng)目開放　切入點(diǎn)：外匯干預(yù)　出處：《對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)》2014年博士論文　論文類型：學(xué)位論文

【摘要】：本文深入分析了資本賬戶開放進(jìn)程中我國(guó)匯率干預(yù)的目標(biāo)、機(jī)制及有效性，建立了國(guó)際資本流動(dòng)背景下均衡匯率及匯率決定的一般均衡分析框架，然后，在這個(gè)匯率決定的一般均衡分析框架下，將資本自由度作為衡量不同時(shí)期資本賬戶開放的程度的指標(biāo)融入理論模型中，建立了基于資本項(xiàng)目開放測(cè)度下的外匯干預(yù)理論與模型，并分別從福利損失函數(shù)的視角以及匯率決定的視角探討了外匯干預(yù)的最優(yōu)反應(yīng)函數(shù)。在對(duì)資本項(xiàng)目開放下的外匯干預(yù)進(jìn)行國(guó)際經(jīng)驗(yàn)研究時(shí)，主要考察了美日發(fā)達(dá)國(guó)家和巴西新興市場(chǎng)經(jīng)濟(jì)體在外匯干預(yù)方面的實(shí)踐經(jīng)驗(yàn)，對(duì)不同經(jīng)濟(jì)發(fā)展階段、宏觀政策環(huán)境和資本自由度條件下外匯干預(yù)的目標(biāo)、操作機(jī)制、有效性及其與貨幣政策協(xié)調(diào)問(wèn)題進(jìn)行了系統(tǒng)研究。在對(duì)我國(guó)外匯干預(yù)的目標(biāo)、干預(yù)特征和沖銷操作進(jìn)行考察時(shí)，實(shí)證研究了我國(guó)外匯干預(yù)的反應(yīng)函數(shù)和有效性；介紹了我國(guó)資本項(xiàng)目開放進(jìn)程與自由度度量，系統(tǒng)研究了資本項(xiàng)目開放對(duì)我國(guó)經(jīng)濟(jì)體系、金融市場(chǎng)和匯率形成的效應(yīng)，具體分析了資本項(xiàng)目開放對(duì)我國(guó)外匯干預(yù)目標(biāo)、傳導(dǎo)機(jī)制和有效性的影響，并探討了資本項(xiàng)目開放條件下外匯干預(yù)與貨幣政策協(xié)調(diào)問(wèn)題。 本文采用規(guī)范分析與實(shí)證研究相結(jié)合的研究方法，結(jié)合歷史經(jīng)驗(yàn)分析與比較研究，并探索數(shù)學(xué)建模與金融研究的有機(jī)結(jié)合。在分析研究世界主要經(jīng)濟(jì)體以及我國(guó)資本項(xiàng)目開放進(jìn)程中匯率干預(yù)的目標(biāo)、手段及有效性的歷史經(jīng)驗(yàn)分析的基礎(chǔ)上，建立理論模型并從實(shí)證的角度進(jìn)行了深入研究。 本文研究認(rèn)為資本項(xiàng)目開放與匯率、利率市場(chǎng)化存在顯著互動(dòng)關(guān)系。資本項(xiàng)目開放后，資本流動(dòng)、外匯干預(yù)與貨幣政策協(xié)調(diào)問(wèn)題將更加突出，人民幣匯率體制進(jìn)一步市場(chǎng)化將是平衡問(wèn)題的關(guān)鍵。對(duì)此，本文提出如下政策建議：漸進(jìn)式推進(jìn)資本項(xiàng)目開放；完善宏觀審慎監(jiān)管體系，建立開放經(jīng)濟(jì)條件下市場(chǎng)化調(diào)節(jié)國(guó)際資本流動(dòng)的多層次工具體系；伴隨資本項(xiàng)目逐步開放，協(xié)調(diào)推進(jìn)匯率、利率市場(chǎng)化改革；在資本項(xiàng)目開放和利率、匯率市場(chǎng)化背景下，需要重新定位我國(guó)外匯干預(yù)政策目標(biāo)，推動(dòng)干預(yù)目標(biāo)由影響、穩(wěn)定匯率水平逐步向穩(wěn)定市場(chǎng)秩序轉(zhuǎn)變，進(jìn)一步提高貨幣政策獨(dú)立性，強(qiáng)化貨幣當(dāng)局貨幣政策公信力和信譽(yù)度；大力支持香港人民幣離岸市場(chǎng)發(fā)展，促進(jìn)跨境貿(mào)易投資的人民幣結(jié)算；加快國(guó)內(nèi)金融市場(chǎng)發(fā)展和基礎(chǔ)制度建設(shè)。 本文最主要的創(chuàng)新有兩點(diǎn)，第一，重新定義了“均衡匯率”的內(nèi)涵，認(rèn)為從研究均衡匯率以及匯率失衡對(duì)于匯率政策的指導(dǎo)意義而言，名義匯率的研究更有現(xiàn)實(shí)意義。于是建立了涵蓋產(chǎn)品市場(chǎng)、資產(chǎn)市場(chǎng)和貨幣市場(chǎng)的開放經(jīng)濟(jì)下的一般均衡模型，并將資本開放自由度作為衡量不同時(shí)期資本賬戶開放的程度的指標(biāo)融入理論模型中。同時(shí)，考慮了資本管制與風(fēng)險(xiǎn)溢價(jià)的未抵補(bǔ)利率平價(jià)引入到宏觀經(jīng)濟(jì)模型中，并推導(dǎo)出名義匯率變化率的函數(shù)；而且分別從福利損失函數(shù)的視角以及匯率決定的視角探討了央行的最優(yōu)外匯函數(shù)。第二，通過(guò)實(shí)證研究的方法建立了我國(guó)央行的外匯干預(yù)反應(yīng)函數(shù)，目前國(guó)內(nèi)學(xué)者在這方面的研究不多，主要困難在于數(shù)據(jù)獲得和解釋變量的選取上。本文的不足主要局限于我國(guó)的高頻數(shù)據(jù)和發(fā)達(dá)國(guó)家早期數(shù)據(jù)的獲得困難上，今后這將是進(jìn)一步研究的發(fā)展方向。
[Abstract]:In this paper, in-depth analysis of China's exchange rate intervention in the process of capital account liberalization goals, mechanism and effectiveness, established under international capital flow equilibrium general equilibrium exchange rate and exchange rate decision analysis framework, and then, the exchange rate in a general equilibrium analysis framework, the degree of freedom of capital as a measure of capital account liberalization in different periods the degree of the index into the theoretical model, a measure of capital account liberalization under the foreign exchange intervention theory and based on the model, and from the perspective of welfare loss function and exchange rate perspective to explore the optimal reaction function of the foreign exchange intervention. Intervention in the open of capital project for the empirical study, mainly investigated practical experience of developed countries and emerging market economy in Brazil in the foreign exchange intervention, in different stages of economic development, macroeconomic policy and investment environment The degree of freedom under the condition of foreign exchange intervention target, operation mechanism, makes a systematic research on the effectiveness of monetary policy and the coordination problem. In China's foreign exchange intervention on the target, inspected intervention and sterilizing operation characteristics, response function and empirical research on the effectiveness of China's foreign exchange intervention; introduced China's capital account the opening process and degree of freedom measurement, system of capital account opening of China's economic system, the effect of financial market and the RMB exchange rate formation, detailed analysis of China's foreign exchange intervention on capital account opening, transmission mechanism and effectiveness, and to explore the intervention in the foreign exchange and monetary policy coordination in the capital in an open condition.
This paper adopts the research methods of normative analysis and empirical research, combining the research and comparison analysis of historical experience, and explore the organic combination of research on Modeling and mathematical finance. In the analysis of the world's major economies, China's capital account opening in the process of exchange rate intervention targets, analyzing the historical experience and the effectiveness of the method the establishment of the theoretical model, and conducted in-depth study from an empirical perspective.
This study suggests that the exchange rate and open capital account, there was significant interaction between the interest rate market. Capital flows after the opening of the capital account, foreign exchange intervention, and monetary policy coordination issues will be more prominent, the RMB exchange rate system will be the key to further market equilibrium problems. For this, this paper proposes the following policy recommendations: to promote the gradual opening of the capital account; perfect the macro prudential supervision system, the establishment of open economy market-oriented regulation of international capital flow multi-level tool system; with the gradual opening of capital projects, promoting the coordination of exchange rate, interest rate marketization reform; in the opening of the capital account and interest rate, exchange rate market background, the need to redefine the policy goal of China's foreign exchange intervention, promote intervention affected by the target, stabilizing the exchange rate level and gradually changed to stabilize the market order, to further improve the independence of monetary policy, strong currency when The credibility and credibility of the monetary policy are strongly supported by the development of RMB offshore market in Hongkong, the RMB settlement of cross-border trade and investment, and the acceleration of the development of domestic financial market and the construction of basic system.
There are two points, the main innovation of this thesis first, redefines the connotation of "equilibrium exchange rate", that the exchange rate from the equilibrium exchange rate and the exchange rate imbalance of policy guidance, the nominal exchange rate is of more practical significance. So the establishment of the products covered market, general equilibrium model of open economy asset markets and currency markets under the, and will open capital freedom as a measure of capital account liberalization in different periods of degree index into the model. At the same time, considering not covered interest rate parity of capital controls and the risk premium into macroeconomic models, function and derive the nominal exchange rate change rate; and from the perspective of exchange rate and welfare loss function from the perspective of decision to explore the optimal foreign exchange function of the central bank. Second, through empirical research methods to establish the foreign exchange intervention in China - letter The number of domestic scholars at present not much research in this area, the main difficulty lies in data acquisition and interpretation of selected variables. The high frequency data of the inadequacy of this paper is mainly confined to China and developed countries early data was difficult to obtain, in the future it will be further research direction.

【學(xué)位授予單位】：對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.6;F832.51

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