异质性汇率预期影响中国短期资金跨境流动研究:基于变系数模型  

The Dynamic Effects of Heterogeneous Exchange Rate Expectations on China’s Short-term International Capital Flow:an Application on Time-Varying Parameter Model

作　　者：张倩[1] 冉桥敏 Zhang Qian;Ran Qiaomin

机构地区：[1]上海大学悉尼工商学院

出　　处：《世界经济研究》2021年第12期86-102,M0004,共18页World Economy Studies

基　　金：国家社会科学基金青年项目“异质预期视角下我国跨境资本流动的微观机制及政策启示研究”(项目编号:17CJY062)。

摘　　要：外汇市场上交易主体持有不同的信念形成异质性汇率预期,对于资金跨境流动造成差异性影响。文章在考虑外汇市场交易主体异质性汇率预期的基础上,构建人民币汇率市场均衡模型,并采用时变系数方法考察外汇市场交易主体异质性汇率预期对于中国短期资金跨境流动影响的差异性和时变性。研究结果表明:持有异质性信念的基本面、技术分析和利差交易者对于汇率的不同预期均对中国短期资金跨境流动造成了差异性影响;从整体来看,基本面交易者汇率预期短期内对短期资金跨境流动的引导性较强,而在长期内其引导性弱于技术分析和利差交易者汇率预期;在一般情况下,短期资金跨境流动对于基本面交易者汇率预期的响应持续性较长,利差交易者汇率预期冲击的响应程度较为密集;在突发情况下,技术分析交易者汇率预期对于短期资金跨境流动的引导性较强,利差交易者汇率预期影响短期资金跨境流动的持续性较强。Different beliefs held by agents in the foreign exchange market form heterogeneous exchange rate expectations,which have differential impacts on the cross-border capital flow.This article considers the heterogeneous exchange rate expectations of foreign exchange market participants,constructs an equilibrium model of the RMB exchange rate market,and uses the time-varying parameter method to examine the differences and time-varying characters in the impact of foreign exchange market participants’heterogeneous exchange rate expectations on China’s short-term capital flows.The research results show that the fundamentals,chartists,and carry traders’expectations on exchange rates with heterogeneous beliefs have had differential impacts on China’s short-term capital flows.Firstly,fundamentals’exchange rate expectations have strong guidance on the short-term capital flows,but in the long-term the guidance is weaker than chartists and carry trader’s exchange rate expectations.Secondly,the respond of short-term cross-border capital flows for fundamentals’exchange rate expectations is long lasting,and the respond of short-term cross-border capital flows for carry traders’expectations is more intensive.Lastly,under extreme cases,chartists’exchange rate expectations are strong guidance for short-term capital flows,and the guidance of carry traders’exchange rate expectations on the short-term cross-border capital flow is more sustainable.

关 键 词：异质性汇率预期 短期资金跨境流动 变系数模型 

分 类 号：F832.6[经济管理—金融学]