非抛补利率平价偏移、汇率波动与政府杠杆率  

Uncovered Interest Rate Parity Deviation, Exchange Rate Volatility and Government Leverage

作　　者：丁剑平 白瑞晨[2] DING Jianping;BAI Ruichen(Shanghai Institute of International Finance and Economics,Shanghai University of Finance and Economics,200433;Shanghai University of Finance and Economics,200433)

机构地区：[1]上海国际金融中心研究院,200433 [2]上海财经大学金融学院,200433

出　　处：《财贸经济》2022年第10期73-86,共14页Finance & Trade Economics

基　　金：国家社会科学基金重大项目“稳慎推进人民币国际化研究”(21ZDA094);上海财经大学2020年研究生创新基金项目(CXJJ-2020-350)。

摘　　要：在全球不确定性不断提高、汇率波动区间持续走阔的背景下,世界各国(地区)政府的平均杠杆率也在逐年上升。债务问题又重新走进人们视野,受到社会各界的关注。本文基于158个国家和地区1980—2020年的年度面板数据,运用系统GMM方法,实证验证汇率波动对政府杠杆率的影响效果,并通过在一般政府债务分析框架中引入偏移的非抛补利率平价条件给予解释。实证结果表明:汇率波动与政府杠杆率之间存在显著正向关系。该结论在更换指标、分样本回归以及引入工具变量后依然保持稳健。进一步的研究表明,金融发展水平对汇率波动影响政府杠杆率具有负向的调节效应,资本管制则存在门限效应。本研究为我国稳增长、稳杠杆提供了有益启示。In the context of rising global uncertainty and a continuous broadening of the range of exchange rate volatility, the average government leverage in all countries(regions) of the world is also increasing year by year, and the debt issue has come back into view and received attention from all sectors of society. This paper empirically verifies the effect of exchange rate volatility on government leverage based on annual panel data of 158 countries and regions from 1980 to 2020, using the systematic GMM method, and gives a theoretical explanation by introducing the deviated uncovered interest parity condition into the general government debt analysis framework. The empirical results show that there is significant positive correlation between exchange rate volatility and government leverage, and this finding remains robust to indicator replacement, sub-sample regressions, and the introduction of instrumental variables. Further research shows that the level of financial development can negatively moderate the effect of exchange rate volatility on government leverage, and capital control has a threshold effect. This study provides useful insights for “stabilizing growth and leverage.”

关 键 词：非抛补利率平价 汇率波动 政府杠杆率 金融发展 资本管制 

分 类 号：F831[经济管理—金融学]