资本管制下国债流动性对汇率波动的影响  

Impact of Treasury Liquidity on Exchange Rate Fluctuation Under Capital Control

作　　者：王涛[1] 司燕冉 WANG Tao;SI Yanran(School of Economics and Management,Beijing University of Technology,Beijing 100124,China)

机构地区：[1]北京工业大学经济与管理学院,北京100124

出　　处：《华东经济管理》2021年第12期100-109,共10页East China Economic Management

基　　金：国家自然科学基金青年项目“人民币汇率波动对美国汇率与贸易法案投票的影响及传导机理研究”(71703005)。

摘　　要：随着中国金融市场开放程度不断提升,国债市场与外汇市场联动性日益增强。文章基于日度面板数据构建合理的流动性指标,运用固定效应模型以及全面FGLS分析,探讨国债市场流动性对人民币汇率波动的影响。实证结果显示:本国与外国国债流动性收益率差值越大,人民币汇率波动率越小;国债市场流动性对人民币汇率波动的影响存在利率渠道,且提高国债市场开放水平,有助于国债市场流动性作用的发挥;新冠肺炎疫情背景下,资本管制力度增强加剧了汇率波动,国债市场流动性对汇率波动的影响作用消失。With the continuous improvement of the opening degree of China′s financial market,the linkage between the national debt market and the foreign exchange market is becoming increasingly stronger.Based on the daily panel data,a reasonable liquidity index is constructed,and the fixed effect model and comprehensive FGLS analysis are used to explore the impact of treasury bond market liquidity on RMB exchange rate fluctuations.The empirical results show that the larg-er the difference between domestic and foreign bond liquidity yield,the smaller the RMB exchange rate volatility.There are interest rate channels to influence the liquidity of the treasury bond market on RMB exchange rate fluctuations.More-over,improving the opening level of the treasury bond market will help the liquidity of the treasury bond market to play its role.In the context of COVID-19 epidemic,the intensification of capital control intensifies the exchange rate fluctuations,and the influence of the liquidity of national debt market on the exchange rate fluctuations disappears.

关 键 词：资本管制 人民币汇率波动 国债市场流动性 

分 类 号：F832.6[经济管理—金融学]