基于AB-SETAR模型的中国资本管制实际程度度量  

A Measurement on the Actual Degree of Capital Control in China Based on the AB-SETAR Model

作　　者：朱鹤[1] 

机构地区：[1]中国社会科学院研究生院世界经济与政治系

出　　处：《国际金融研究》2015年第10期76-86,共11页Studies of International Finance

基　　金：国家社科基金重点项目"‘十三五’时期我国的金融安全战略研究"(批准号:15AJY017);国家社科基金青年项目"西方国家金融危机与制度弊端分析研究"(批准号:14CJL017)的阶段性研究成果

摘　　要：准确测度资本管制程度是研究与资本管制相关重大课题的基础。本文利用AB-SETAR模型,对2006年11月27日到2015年8月10日的时间段内境内外人民币远期汇率差的上下套利边界进行测算。结论表明,中国资本管制的实际程度在这一时期内逐渐减弱。资本管制的方向在第一阶段为重点管制资本流出,在第二阶段为重点管制资本流入,在第三阶段重新变为重点管制资本流出,在第四阶段则实现了均衡管理,第五阶段又回到重点管制资本流出。本文的研究结论初步佐证了中国资本管制的有效性,进一步的研究可以结合制度的变革对资本管制的有效性展开。An accurate measurement on the degree of capital control has been the basic work for further research concerning capital control. This article used the AB-SETAR model to estimate the upper and lower arbitrage boundaries of the difference between the on-board and off-board forward foreign exchange rate series during the period between Nov. 27,2006 and April 4, 2013. The conclusion presented that the real extent of capital control in China was weakening. Capital control focused on capital outflows in the first phase, capital inflows in the second phase. Then capital outflows again became the focus of capital control in the third phase and at the fourth stage, capital control focused on both directions. But at the fifth stage, the control on capital outflows came back. In addition, the conclusions of this study preliminarily corroborated the effectiveness of China＇s capital control, and further studies can be carried on to analyze the effectiveness of capital control in China by taking the change of policies into account.

关 键 词：资本管制 人民币远期 门限自回归 

分 类 号：F831[经济管理—金融学]