美联储加息冲击下跨境资本流动监管的“双支柱”调控研究  

Research on the Two-Pillar Regulation and Control of Cross-Border Capital Flow Regulation under the Shock of Fed's Interest Rate Hike

作　　者：胡小文[1] 项后军 Hu Xiaowen;Xiang Houjun(School of Economics and Management,Anhui Normal University;School of Finance and Investment,Guangdong University of Finance)

机构地区：[1]安徽师范大学经济管理学院 [2]广东金融学院金融与投资学院

出　　处：《国际金融研究》2024年第3期76-86,共11页Studies of International Finance

基　　金：国家社会科学基金一般项目“金融开放进程中的短期跨境资本流动风险及‘双支柱’调控研究”(23BJY121);国家社会科学基金重点项目“防范化解经济金融领域风险研究”(22AZD040)资助。

摘　　要：后疫情时代美国超宽松货币政策导致其通胀高企,美联储开启史诗级加息周期,国际资本大幅快速回流美国,导致全球金融风险显著上升,人民币汇率波动加剧,亟须加强跨境资本流动的宏观审慎监管。本文构建一个包含无息外汇准备金逆周期调节跨境资本流动的小型开放动态随机一般均衡框架,研究“双支柱”调控应对美联储加息冲击的效果。结果表明:第一,美联储加息冲击下,国内产出和通胀下滑,人民币贬值;此时采取降低外汇存款准备金政策能稳定汇率并降低经济波动,主要机制是下调外汇存款准备金能增加国内金融机构外汇贷款的资金供给,降低国内企业融资成本。第二,提升利率政策虽然有助于稳定汇率,但会增大经济波动且削弱货币政策有效性;而“双支柱”调控不仅能降低产出和汇率波动,还不会降低货币政策有效性。第三,“双支柱”政策最优组合是货币政策盯住国内产出和通胀波动,宏观审慎政策盯住国际资本流动。据此,本文认为,我国应采用“双支柱”调控应对美联储激进加息,降低利率以应对通胀和产出下滑,降低外汇存款准备金率以促进汇率稳定。The ultra-loose monetary policy of the US in the post-pandemic era has led to high inflation.The Federal Reserve has started an epic interest rate hike cycle,causing the global financial risks to rise significantly.The fluctuation of the RMB exchange rate has intensified,calling for strengthened supervision.This article constructs a small open dynamic stochastic general equilibrium framework that includes non-interest foreign exchange reserves for counter-cyclical regulation of cross-border capital flows.It studies the effect of two-pillar regulation under the impact of the Federal Reserve's interest rate hike.The research shows that:firstly,under the impact of the Fed's interest rate hike,domestic output and inflation declined,and the RMB depreciated.At this time,the policy of reducing the foreign exchange reserve can stabilize the exchange rate and reduce economic fluctuations.The main mechanism is that reducing the foreign exchange reserve can increase the fund supply of foreign exchange loans of domestic financial institutions and reduce the financing cost of domestic enterprises.Secondly,although the policy of raising interest rates helps to stabilize the exchange rate,it will increase economic volatility and weaken the effectiveness of monetary policy.The two-pillar policy not only reduces output and exchange rate volatility,but also will not make monetary policy less effective.Thirdly,the optimal combination of two-pillar policies is one in which monetary policy targets domestic output and inflation fluctuations,and macroprudential policy targets international capital flows.In order to improve the decision-making and operation of China's macroprudential policies,the article argues that China should adopt two-pillar regulation to cope with the aggressive interest rate hike of the US Federal Reserve.This includes lowering interest rates to address decline of inflation and output,and reducing the reserve requirement ratio for foreign exchange to promote the exchange rate stability.

关 键 词：美联储加息 跨境资本流动 双支柱 动态随机一般均衡 

分 类 号：F821[经济管理—财政学] F831