人民币汇率预期对短期跨境资金流动的非对称影响——基于门限自回归模型(TAR)的实证分析  

The Asymmetric Effect of RMB Exchange Rate Expectations on the Short-term Cross-border Capital Flows: An Empirical Analysis Based on TAR Model

作　　者：黄孝平 Huang Xiaoping(Guangdong Branch of the State Administration of Foreign Exchange,Guangzhou 510120,Guangdong,China)

机构地区：[1]国家外汇管理局广东省分局,广东广州510120

出　　处：《征信》2018年第10期65-70,共6页Credit Reference

摘　　要：实证结果表明:在不同水平的即期汇率波动幅度和境内外利差下,人民币汇率预期对我国短期跨境资金流动呈现不对称影响。即当月度即期汇率波动小于0.22%时,人民币汇率贬值预期不会对短期跨境资金产生明显的流出压力,当境内外利差大于3.46%时,人民币汇率贬值预期不会对短期跨境资金造成明显的流出压力。并从汇率预期管理、利率管理的角度提出有序推进人民币汇率形成机制改革等政策建议。An empirical study shows that RMB exchange rate expectations demonstrate asymmetric effect on China’s short-term cross-border capital flows under different levels of spot exchange rate fluctuations and interest spreads between domestic and foreign interest rate:the depreciation expectation of RMB exchange rate will not produce obvious out-flow pressure on China’s short-term cross-border capital flows when the monthly spot exchange rate level is less than 0.22%;it will not produce obvious out-flow pressure on China’s short-term cross-border capital flows either when the interest spreads exceeds 3.46%.The study provokes some relevant policy inspirations:it helps to expand the operating space of domestic monetary policies to keep the stability of exchange rate fluctuation of certain levels;the government should orderly push forward the RMB exchange rate formation mechanism reform;the operation of domestic interest rate is relatively independent and the central bank’s tolerance for rate increase is limited.

关 键 词：汇率预期 短期跨境资金 汇率波动 门限自回归 

分 类 号：F832.6[经济管理—金融学]