经济政策不确定性、短期国际资本流动与汇率预期波动  

Economic Policy Uncertainty, Short-term International Capital Flows and Expected Exchange Rate Fluctuations

作　　者：金岳成 

机构地区：[1]上海社会科学院,上海200020

出　　处：《浙江金融》2022年第11期20-31,共12页Zhejiang Finance

基　　金：2021年国家社科基金项目(21FJLB014)成果。

摘　　要：本文通过构建TVP-VAR模型,运用2005年至2021年的汇率样本数据研究中国经济政策不确定性与短期国际资本流动和汇率预期波动之间的动态作用过程。研究结果发现,中国经济政策不确定性对于短期国际资本流动与汇率预期的作用具有显著的时变特征,人民币汇率改革与资本项目开放能有效降低经济政策不确定性的负面影响。研究还发现,短期国际资本的流入虽可降低汇率的贬值预期,但会提高我国经济政策的不确定性,且长期作用更具波动性。This paper constructs a TVP-VAR model and uses the exchange rate sample data from 2005 to 2021 to conduct an empirical study on the dynamic influence mechanism between the China’s EPU, short-term international capital flows and expected exchange rate fluctuations. The results show that the impact of China’s EPU on RMB exchange rate expectations and China’s short-term international capital flows is time-varying, and the reform of exchange rate mechanism and capital account opening can effectively reduce the negative impact of EPU on exchange rate and short-term international capital.It is also found that the inflow of short-term international capital can reduce the expectation of exchange rate depreciation, but will increase the China’s EPU, and the long-term effect is more volatile.

关 键 词：政策不确定性 短期国际资本 汇率预期 时变特征 

分 类 号：F830.9[经济管理—金融学]