人民币汇率溢价、金融市场风险与银行结售汇  

RMB Exchange Rate Premium,Financial Market Risk and Foreign Exchange Settlement and Sale of Banks

作　　者：陈奉先[1] 郭玲玉 赵颖岚[2] CHEN Feng-xian;GUO Ling-yu;ZHAO Ying-lan(School of Finance,Capital University of Economics and Business,Beijing 100070,China;School of Economics,Sichuan University,Chengdu 610065,China)

机构地区：[1]首都经济贸易大学金融学院,北京100070 [2]四川大学经济学院,四川成都610065

出　　处：《统计与信息论坛》2022年第11期52-63,共12页Journal of Statistics and Information

基　　金：国家自然科学基金项目“人口学视角下风险态度、全要素生产率与金融资产收益率”(71873092);北京市社会科学基金项目“全球贸易新环境下我国人民币汇率管理与评估研究”(20JJB018);首都经济贸易大学北京市属高校基本科研业务费专项资金项目“国际资本流动冲击研究创新团队”(QNTD202206);首都经济贸易大学研究生科研项目“学术新人计划”(2022XSXR12)。

摘　　要：以19个经济体2011年至2020年的面板数据为样本,重点考察了人民币汇率溢价对银行结售汇规模的作用效果以及金融市场风险在其中发挥的作用机制。研究表明:汇率溢价对银行结售汇比值具有显著的负向影响,且当结售汇比值处于较高区间时,结售汇规模更易受到溢价的冲击;金融市场风险在汇率溢价对结售汇影响的过程中发挥了调节作用,随着市场风险增大,汇率溢价对结售汇的负向影响逐渐被削弱;门限效应表明,当市场风险低于阈值时,汇率溢价对远期结售汇的影响更大,反之则汇率溢价对即期结售汇的影响更大;进一步分析发现,市场风险的调节作用依赖于中国的制度环境,当资本管制较为严格时,市场风险的调节效果相对较弱。The issue of exchange rate premium has always been a hot topic in academic discussions.Under the current situation of China’s economic restructuring and upgrading,studying the impact and mechanism of exchange rate premium on the scale of foreign exchange settlement and sales transactions by Chinese banks will help to analyze and predict my country’s cross-border capital flows,prevention of financial market risks,and coordination of exchange rate policies and capital control policies have important practical significance for stabilizing the RMB exchange rate and foreign exchange reserves.Based on the panel data of 19 economies from 2011 to 2020,this study focuses on the effect of exchange rate premium on the scale of settlement and sale of foreign exchange and the mechanism of financial market risk.It shows that the premium has a significant negative impact on the ratio of foreign exchange settlement and sale.And the scale of foreign exchange settlement and sale is more vulnerable when the ratio of foreign exchange settlement and sale is higher.Besides market risk plays a moderating role in the effect of premium on foreign exchange settlement and sale.With the increase of market risk,the negative effect of premium is gradually weakened.However,the regulatory effect of market risk depends on China’s institutional environment.The effect of market risk is relatively weak when China’s capital control is stricter.In addition,the threshold effect shows that when the market risk is below the threshold,the premium has a greater impact on forward settlement and sale of foreign exchange.And when the risk is above the threshold,the premium has a greater impact on spot settlement and sale of foreign exchange.According to the above research conclusions,above findings has the following policy implications:First,foreign exchange premiums are an important factor leading to changes in the scale of banks’spot and forward foreign exchange settlement and sales transactions.Therefore,the government should focus on the proces

关 键 词：汇率溢价 银行结售汇 金融市场风险 资本管制 门限效应 

分 类 号：F830[经济管理—金融学] F831