外汇市场压力、国际资本流动与国内货币市场均衡——基于中国数据的实证研究  

Exchange Market Pressure,International Capital Flows,and Domestic Monetary Market Condition:an Empirical Study Based on China's Data

作　　者：黄驰云[1] 刘林[2] 

机构地区：[1]北京大学经济学院 [2]厦门大学金融系

出　　处：《国际贸易问题》2011年第9期130-142,共13页Journal of International Trade

基　　金：国家社科基金项目"中国外汇储备风险测度及管理研究"的阶段性研究成果(项目批号:07BJY157)

摘　　要：本文首先建立外汇市场压力、国际资本流动与国内货币市场均衡状况的理论模型,分析了三者之间的理论关系。进而通过LS、ECM、Johansen协整和State-Space等方法估算出1996年1月至2009年9月的外汇市场压力、国内货币市场均衡状况和国际资本净流动,然后采用VAR模型分析了三者之间的动态关系。最后得出结论如下:国际资本净流入时,我国外汇市场压力为正(人民币升值压力),同时我国货币市场会出现短暂的超额供给。This paper builds a theoretical model to analyze the relatlonslalp among exchange market pressure （EMP）, international capital flows and domestic monetary market condition. Then it estimates the EMP, monetary market condition and net capital flows of China from Jan. 1996 to Sept. 2009 via methods like LS, ECM, Johansen cointegration and State-Space. Further, the paper uses VAR model to research the dynamic relationship among three variables and finds that, when net capital flows appear positive, the EMP will be positive （i.e. appreciation pressure of RMB）, meanwhile the monetary market will have surplus supply for a while. Besides that it also finds that compared with the domestic monetary market, China＇ s monetary policy authority should pay more attention on exchange market.

关 键 词：外汇市场压力 国际资本流动 货币市场非均衡 VAR模型 

分 类 号：F830.73[经济管理—金融学]