中国资本流动突然中断与汇率波动关系——基于VAR模型的实证分析  

Sudden Stop of Capital Flows in China and Exchange Rate Fluctuations——Empirical Analysis Based on VAR Model

作　　者：李宇轩[1] Li Yu-xuan(School of Economics,Peking university,Beijing,100871,China)

机构地区：[1]北京大学经济学院

出　　处：《技术经济与管理研究》2019年第9期80-86,共7页Journal of Technical Economics & Management

摘　　要：本文在对现有资本流动突然中断测算方法修正基础上,测算了中国1998-2018年国际收支平衡表中金融账户整体、FDI、证券投资、其他投资项资本流动等的突然中断。第一,金融账户整体发生24次突然中断,FDI、证券投资、其他投资突然中断发生次数分别为20次、11次、17次。第二,各类型资本流动突然中断集中发生在1999-2003年、2004-2011年、2012-2018年三个时间段,分别对应中国入世阶段、世界金融危机阶段以及中国经济改革阶段前后,特别是在2012-2018年发生了高达35次的突然中断。第三,VAR模型脉冲响应分析中,总资本、FDI、证券投资项突然中断导致汇率波动减小,而其他投资项突然中断导致汇率波动增加,汇率波动造成了各资本项资本流动突然中断的增加。进一步方差分解结果表明汇率波动与突然中断更多受自身影响。最后伴随人民币加入特别提款权,中国金融体系架构不断完善,需进一步优化监管机制,提前预判并规避资本流动突然中断造成的金融风险。Based on the revision of the existing calculation method of sudden stop of capital flow,this paper measures the sudden stop of the Financial Account,FDI,Portfolio Investment and Other Investment capital flows in China′s 1998~2018 balance of payments.First,there were 24 sudden stops happened in the Financial Account as a whole,and the number of sudden stop in FDI,Portfolio Investment,and Other Investment was 20,11,and 17 respectively.Second,the sudden stop of various types of capital flows occurred in three periods from 1999 to 2003,2004 to 2011,and 2012 to 2018,corresponding to China′s WTO accession stage,the world financial crisis stage,and the stage of China′s economic reform.A sudden stop of up to 35 times occurred between 2012 and 2018.Third,in the VAR model impulse response analysis,the sudden stop of total capital,FDI,and Portfolio Investment led to a decrease in exchange rate fluctuation,while the sudden stop of Other Investment items led to an increase in exchange rate fluctuation,and exchange rate fluctuation caused sudden stops in the capital flow of different types.Further variance decomposition results indicated that exchange rate fluctuations and sudden stop are more affected by themselves.Finally,with the RMB joining the special drawing rights,China′s financial system structure has been continuously improved,and a reasonable mechanism has been formed to anticipate and avoid the risks caused by the sudden stop of capital flows.

关 键 词：金融账户 资本流动 国际收支 证券投资 汇率波动 

分 类 号：F224.12[经济管理—国民经济]