资本管制下人民币汇率超(低)调动态的多样性研究  

Diversity of RMB Exchange Rate Over-/Undershooting Dynamics under Capital Control

作　　者：郑平[1] Zheng Ping

机构地区：[1]西南财经大学金融学院

出　　处：《财经科学》2023年第10期16-31,共16页Finance & Economics

基　　金：国家社科基金一般项目“新常态下人民币汇率低调与滞后超调交替的周期性研究”(15BJY158);西南财经大学2023年度中央高校基本科研业务费项目“汇率超(低)调视角下资本账户子类开放的经济增长效应研究”(JBK2304010)的资助。

摘　　要：本文构建的货币主义模型指出,资本管制作用下的汇率超(低)调动态呈现出非对称性。伴随着市场化改革的深入推进,中国的资本管制程度大致可以分为下降、持平和上升三个阶段。在货币冲击下,中国外汇交易中心(CFETS)公开报价的24种货币呈现出(滞后)低调、(滞后)反向低调、超调、反向超调等多种汇率动态,除单一汇率动态之外,还发现了两种或三种动态相互之间的交替。在对资本管制敏感的12种货币中,强化资本管制会导致美元、欧元、日元、俄罗斯卢布、挪威克朗、澳元、新西兰元、新加坡元、南非兰特相对于人民币升值,瑞士法郎、丹麦克朗和泰铢则会贬值。因此,在新时代应关注资本管制的汇率效应,坚持市场导向的汇率改革,以推进高水平对外开放,实现经济高质量发展。On the basis of China's economic reality,a reduced-form monetary model indicates the asymmetry in exchange rate Over-/Undershooting dynamics caused by capital control.With the market-oriented reform deepening,capital control can roughly be divided into three stages,that is,falling,rising and stabilizing.For 24 currencies officially quoted in CFETS,the monetary shock can result in(delayed) undershooting,(delayed) reversed undershooting,overshooting and reversed overshooting,single and multiple exchange rate dynamics are identified together.As for 12 capital control-sensitive currencies,USD,EUR,JPY,RUB,NOK,AUD,NED,SGA and ZAR will appreciate with the strengthening of capital control,however,CHF,DKK and THB will depreciate against RMB.Thus,the efficiency of capital control should be upgraded,and China should insist on the marketoriented exchange rate reform and improve modern monetary policy framework in order to realize high-level opening-up and high-quality development.

关 键 词：资本管制 人民币汇率动态 超调 低调 中国外汇交易中心 

分 类 号：F830.92[经济管理—金融学]