资本账户开放、短期国际资本流动与汇率时变关系研究  

A Study on the Time Varying Relationship Among Capital Account Opening Up,Short term International Capital Flows and Exchange Rates

作　　者：胡文涛 戴淑庚[1,2] HU Wen-tao;DAI Shu-geng

机构地区：[1]厦门大学经济学院金融系 [2]厦门大学经济学院金融系国际金融教研室

出　　处：《金融论坛》2024年第1期45-57,共13页Finance Forum

基　　金：国家社会科学基金项目“金融高水平开放进程中系统性金融风险的传播路径及防范对策研究”(22BJY168)。

摘　　要：本文采用DY溢出指数和LT-TVP-VAR模型考察资本账户开放、短期国际资本流动和汇率之间的动态关系。研究表明:资本账户开放、短期国际资本流动和汇率之间存在显著的时变联动关系;资本账户开放对短期国际资本流动与汇率冲击的反应模式存在短期动态权衡规则,针对短期国际资本流动冲击的反应力度更大;随着对外开放水平提升,资本账户开放度、短期国际资本流动与汇率之间的互动传导渠道逐步畅通,且资本账户开放与短期国际资本流动之间存在互动强化效应,并对汇率产生叠加冲击;此外,汇率市场化进一步加剧三者时变关系的复杂性与异质性。This paper uses the DY spillover index and LT-TVP-VAR model to examine the dynamic relationship among capital account opening up,short-term international capital flows and exchange rates.The study shows that there is a significant time-varying linkage among capital account opening up,short-term international capital flows and exchange rates.There is a short-term dynamic balance rule in the response mode of capital account opening up to short-term international capital flows and exchange rate shocks,and the response to short-term international capital flow shocks is greater.With the improvement of the level of opening up to the outside world,the channels for the interaction and transmission among capital account opening up,short-term international capital flows and exchange rates have gradually become unobstructed,and there is an interactive strengthening effect between capital account opening up and short-term international capital flows,which has a superimposed impact on exchange rates.In addition,the marketization of exchange rates further exacerbates the complexity and heterogeneity of the time-varying relationship among the three.

关 键 词：资本账户开放度 短期国际资本流动 汇率 DY溢出指数 LT-TVP-VAR模型 

分 类 号：F832.6[经济管理—金融学]