热钱流入、外汇冲销与汇率干预--基于资本管制和央行资产负债表的DSGE分析  

Inflow of Hot Money,Sterilization and Intervention in Exchange Rate:A DSGE Model Based on Capital Control and Balance Sheet of the Central Bank

作　　者：张勇[1] 

机构地区：[1]南京师范大学商学院、江苏省创新经济研究基地,210023

出　　处：《经济研究》2015年第7期116-130,共15页Economic Research Journal

摘　　要：本文建立包含资本管制和央行资产负债表的新凯恩斯DSGE模型,在资本管制和需求约束条件下,系统研究热钱流入、汇率干预、外汇冲销、货币发行、外汇储备积累和供给扩张之间的关系,并识别和分析相关政策与热钱流动对我国经济的影响及其传导机制。研究发现,资本管制是汇率干预的基础,在需求约束型发展阶段,汇率干预对我国需求扩张起到关键作用,不过也导致了热钱大量流入和外汇储备过度积累。虽然热钱流入使得人民币贬值幅度降低,从而外部需求降低,但是热钱流入引致的国内需求增加完全抵消了人民币贬值幅度降低导致的外部需求降低。最后,更强反通胀政策和正向供给冲击导致的相对低利率是我国货币发行量居高不下的主因,而热钱流入不是货币供给增加的主因。This paper establishes a new Keynesian DSGE model with capital control and balance sheet of the Central Bank to analyze the key role and interaction of inflow of hot money, capital control, temporary depreciation, disinflation, huge foreign exchange reserve and constraints of the demand and to evaluate their implications to China＇s economy. We find that the capital control and the temporary depreciation play a key role in promoting China＇s economy but also lead to a huge inflow of hot money and a huge accumulation of foreign exchange reserve. Although inflow of hot money decreases the magnitude of depreciation and the fereign demand, the advocrec offcet is offcet by the expanding of the domestic demand brought by it. Finally inflow of hot money isn＇t the main cause of the increase of money issuance.

关 键 词：热钱 资本管制 外汇冲销 央行资产负债表 

分 类 号：F832.6[经济管理—金融学]