资本流动对实际汇率的结构性冲击  

Structural Impacts of Capital Flow on Real Exchange Rate

作　　者：周爱民[1] 遥远 

机构地区：[1]南开大学金融学院

出　　处：《世界经济研究》2015年第10期3-12,43,共11页World Economy Studies

摘　　要：实际汇率是开放经济环境下的核心变量,会直接影响一国从微观到宏观的各个层面。随着我国资本流动规模和波动性的不断增大,其对实际汇率造成的冲击越来越显著。文章通过将资本流动划分为多种类型,基于边界协整(Bound Test)方法分析了其对实际汇率造成的结构性冲击。实证结果显示,不同类型的资本流动对实际汇率的冲击存在显著区别:经常项目下的投资收益和经常转移净流入造成实际汇率升值;而资本与金融项目下的外商直接投资与其他投资净流入造成实际汇率贬值,证券投资净流入造成实际汇率升值;热钱净流入造成实际汇率大幅升值。在此基础上,文章分析了各自的冲击传导机制,并提出了完善资本流动监管体系以维持外部均衡的政策建议。Real exchange rate is the main variable in open economics,and its fluctuation can affect the economy at all levels. The capital flow,which can affect the real exchange rate,has been more massive and more fluctuant over the past decades. From the structural aspect,the paper classified the capital flow into six types,and analyze the shock of each type to the real exchange rate.It concludes that:( 1) these impacts can be notably different.( 2) The investment income and current transfering net inflows under current account have large appreciation effect on real exchange rate.( 3) The portfolio investment net inflow under the capital and financial account has relatively small appreciation effect,while( 4) the direct investment and other investment net inflows has depreciation effect.( 5) The 'hot money' has tremendous appreciation effect. Based on the empirical study,we analyzed the conduction mechanism for each type,and offered some policy advice to maintain the external balance.

关 键 词：资本流动 实际汇率 外生冲击 

分 类 号：F832.6[经济管理—金融学]