人民币汇率制度变迁对我国短期资本流动的影响——基于汇率预期与汇率波动的视角

›› 2016, Vol. 28 ›› Issue (6): 65-75.

人民币汇率制度变迁对我国短期资本流动的影响——基于汇率预期与汇率波动的视角

田涛

湖北科技学院经济与管理学院, 咸宁 437100

收稿日期:2014-04-01 出版日期:2016-06-28 发布日期:2016-07-07
作者简介:田涛,湖北科技学院经济与管理学院副教授,博士。
基金资助:
湖北科技学院博士启动基金项目(BK1423);湖北省教育厅科学研究计划指导性项目(B2015078);湖北省教育厅人文社会科学研究青年项目(15Q216)。

Influence of RMB Exchange Rate System Evolution on Short-term Capital Flows in China——Based on the Perspective of Exchange Rate Expectations and Exchange Rate Volatility

Tian Tao

School of Economics and Management, Hubei University of Science and Technology, Xianning 437100

Received:2014-04-01 Online:2016-06-28 Published:2016-07-07

摘要/Abstract

摘要：

利用1997年1月-2013年10月人民币实际有效汇率的数据并采用ARCH模型得到人民币汇率波动率与预期变动率。在此基础上通过使用DCC-GARCH模型初步分析了汇率制度变迁的各个阶段人民币汇率波动率以及预期变动率与我国短期资本流动的关系,最后运用非线性Granger因果关系检验方法深入研究了人民币汇率波动率以及人民币汇率预期变动率与短期国际资本流动之间的关系。研究表明,无论是整个样本期间还是汇率市场化进程中的各个阶段,人民币汇率预期变动率对短期国际资本流动的影响均显著大于人民币汇率波动率对短期国际资本流动的影响;特别是"汇改"以后,随着人民币汇率变动弹性增强,短期国际资本流动与人民币汇率预期变动率之间存在显著的双向影响,短期国际资本对人民币汇率预期变动率的"倒逼"机制应该引起足够重视。

关键词: 短期国际资本流动, 汇率预期变动率, 汇率波动率, DCC-GARCH模型, 非线性Granger因果检验

Abstract:

This paper uses the ARCH model to get the characteristics of the RMB exchange rate volatility and the expected rate of change. Then it uses DCC-GARCH model to analyze the relationship between RMB exchange rate volatility & the expected rate of change and international short-term capital flow in China. Finally, nonlinear Granger causality test method is used to thoroughly study the RMB exchange rate volatility and expected RMB exchange rate relationship between the exchange rate and the international short-term capital flow. The result shows that:no matter at all stages of the whole sample period or in the process of exchange rate marketization, the expected change rate of RMB exchange rate has significantly greater effect on international short-term capital flow compared with RMB exchange rate volatility. Especially after the reform of the exchange rate mechanism in 2005, along with the change of RMB exchange rate flexibility, the international short-term capital flows and the RMB exchange rate are expected to have significant two-way interaction between the rate of change and international short-term capital flows and the reversed transmission of international short-term capital flows on expected rate of change of the exchange rate should be paid sufficient attention to.

Key words: international short-term capital flows, expected rate of change of the exchange rate, exchange rate volatility, DCC-GARCH model, nonlinear Granger causality test

田涛. 人民币汇率制度变迁对我国短期资本流动的影响——基于汇率预期与汇率波动的视角[J]. , 2016, 28(6): 65-75.

Tian Tao. Influence of RMB Exchange Rate System Evolution on Short-term Capital Flows in China——Based on the Perspective of Exchange Rate Expectations and Exchange Rate Volatility[J]. , 2016, 28(6): 65-75.

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