全球金融周期波动加剧人民币汇率失衡了吗  

Does the Global Financial Cycle Exacerbate Renminbi Exchange Rate Misalignment?

作　　者：郭红 张培杰 孟昊 Guo Hong;Zhang Peijie;Meng Hao

机构地区：[1]天津财经大学金融学院 [2]天津财经大学中国滨海金融协同创新中心

出　　处：《经济研究参考》2023年第10期32-46,共15页Review of Economic Research

基　　金：教育部人文社会科学研究项目规划项目“跨境资本流动加剧背景下人民币汇率政策选择研究”(No.17YJA790024);教育部人文社会科学研究项目规划项目“金融稳定目标下跨境资本流动冲击及审慎管理研究”(No.19YJA790065)。

摘　　要：本文运用TVP-SV-VAR模型从外部溢出视角检验了全球金融周期波动对人民币汇率失衡的时变性影响。结果表明:从总体影响看,全球金融周期扩张对人民币汇率失衡产生正向溢出,其中对暂时性汇率失衡的冲击程度更大且逐年波动上升。从作用机制看,全球金融周期扩张通过跨境资本流动和贸易渠道加剧了人民币汇率高估,而通过利率渠道则可以减缓这一冲击。此外,全球金融周期波动主要通过跨境资本流动和利率渠道冲击暂时性汇率失衡,而对长期汇率失衡的冲击则主要通过贸易渠道。本文验证了全球金融周期加剧人民币汇率失衡的作用机制及其对暂时性和长期汇率失衡的差异性冲击,为应对全球金融周期冲击,保持人民币汇率在合理均衡水平上基本稳定提供经验证据与政策启示。In this paper,the TVP-SV-VAR model is used to verity the time-varying impact of global financial cycle fluctuations on renminbi exchange rate misalignment from an external spillover perspective.The results indicate that,regarding the gross effect,the expansion of the global financial cycle has a positive spillover effect on renminbi exchange rate misalignment,and has a greater impact on temporary exchange rate misalignment with increasing fluctuations year by year.Regarding the mechanism,the expansion of the global financial cycle has exacerbated the overvaluation of the renminbi exchange rate through capital flows and trade,while it has mitigated this impact through interest rate.In addition,the global financial cycle mainly impacts temporary exchange rate misalignment through capital flows and interest rate,while it has the impact on long-term exchange rate misalignment through trade.This paper verifies the mechanism by which the global financial cycle exacerbates renminbi exchange rate misalignment and its differential impact on temporary and long-term exchange rate misalignment.It provides empirical evidence and policy implication for responding to the impact of the global financial cycle and maintaining the stability of the renminbi exchange rate at a reasonable and balanced level.

关 键 词：全球金融周期 均衡汇率 暂时性汇率失衡 长期汇率失衡 TVP-SV-VAR模型 

分 类 号：F831.6[经济管理—金融学]