人民币套息交易与“三元悖论”理论框架——基于TVP-VAR模型的实证研究  

RMB Carry Trade and the Framework of“Impossible Trinity”An——Empirical Study Based on TVP-VAR Model

作　　者：郭桂霞[1] 孙歌悦 GUO Gui-xia;SUN Ge-yue

机构地区：[1]对外经济贸易大学国家对外开放研究院国际经济研究院,北京100029

出　　处：《金融论坛》2022年第11期10-20,共11页Finance Forum

基　　金：国家自然科学基金面上项目(71673046)。

摘　　要：本文使用TVP-VAR模型分析人民币套息交易对中国对外开放货币政策框架的影响,重点考察套息交易的规模与中国货币政策的独立性。研究发现:未引入套息交易的三变量模型表明,2015年8月11日人民币汇率定价机制改革前后,中国对外开放货币政策框架呈现出从“三元悖论”逐渐趋向于“2.5元悖论”的现象;引入套息交易的四变量模型表明,中短期内该政策框架符合“二元悖论”特征,且套息交易规模的增大会显著降低货币政策独立性,而长期内并未产生显著影响。证券投资项目的开放程度越高,套息交易规模越大,且货币政策独立性程度越低。This paper utilizes TVP-VAR model to analyze the impact of RMB carry trade on China's opening monetary policy framework,focusing on the scale of carry trade and independence of China's monetary policy.The three-variable model without the introduction of carry trade shows that,before and after the reform of the RMB exchange rate pricing mechanism on August 11,2015,China's opening monetary policy framework showed a gradual trend from the"a trilemma"to the"one between a trilemma and a dilemma";the four-variable model with the introduction of carry trade shows that the policy framework conforms to the characteristics of a"dilemma"in the short and medium terms,and the inerease of the scale of carry trade will significantly reduce the independence of monetary policy,but there is no significant impact in the long term.The higher the level of the openness of securities investment projects is,the larger the carry trade scale,and the lower the independence of monetary policy.

关 键 词：三元悖论 套息交易 货币政策独立性 资本管制 汇率稳定 

分 类 号：F32[经济管理—产业经济]