跨境银行资本流动、人民币汇率与外汇政策调控  

Cross-Border Bank Capital Flows,RMB Exchange Rate and Foreign Exchange Policy Regulation

作　　者：孟子乔 王金明[1,2] Meng Ziqiao;Wang Jinming

机构地区：[1]吉林大学商学与管理学院 [2]吉林大学数量经济研究中心

出　　处：《财经科学》2025年第1期1-14,共14页Finance & Economics

基　　金：国家社科基金重大项目“大数据方法在宏观经济预测中的应用研究”(23&ZD075)的资助。

摘　　要：准确识别跨境银行资本流动对人民币汇率的影响对于维护外汇市场稳定具有重要意义。本文采用粒状工具变量方法构建跨境银行资本流动工具变量,以解决跨境银行资本流动与人民币汇率之间的双向因果问题,并通过分位数回归模型和局部投影方法,考察了在不同汇率水平下跨境银行资本流动对人民币汇率的影响。研究表明:跨境银行资本流入增加对人民币汇率具有升值影响,在人民币极端波动区间更加显著,并且,人民币汇率对跨境银行资本流动冲击存在持续动态响应,在人民币汇率不同水平下呈现出非对称性。本文进一步探究了外汇干预政策与外汇宏观审慎政策发挥的调节作用,发现外汇政策在人民币发生轻度贬值时能够缓冲跨境银行资本流入对人民币汇率的影响,而且调控效应具有持续性。本文研究为防范化解跨境资本流动风险和制定外汇市场调控政策提供了理论支撑和经验证据。Accurately identifying the impact of cross-border bank capital flows on the RMB exchange rate is of great significance for maintaining foreign exchange market stability.To address the bi-directional causality issue between cross-border bank capital flows and the RMB exchange rate,this paper uses the method of granular instrumental variables to construct instrumental variables for cross-border bank capital flows.It examines the impact of cross-border bank capital flows on the RMB exchange rate at different ex⁃change rate levels through quantile regression models and local projection methods.Building on this research,this paper also investi⁃gates the regulatory roles played by foreign exchange intervention policy and foreign exchange macro-prudential policy.The re⁃search shows that the increase of cross-border bank capital inflow has an appreciation effect on the RMB exchange rate,which is more significant in the extreme fluctuation range of RMB.Moreover,the RMB exchange rate has a continuous dynamic response to the cross-border bank capital flow shock,and presents an asymmetric feature at different levels of RMB exchange rate.This paper further explores the regulatory role of foreign exchange intervention policy and foreign exchange macro-prudential policy,and finds that foreign exchange policies can cushion the impact of cross-border bank capital inflows on the RMB exchange rate when RMB is slightly depreciated,and the regulatory effect is sustainable.This study provides theoretical support and empirical evidence for pre⁃venting and resolving risks associated with cross-border capital flows and formulating foreign exchange market regulatory policies.

关 键 词：跨境银行资本流动 人民币汇率 粒状工具变量法 外汇政策调控 

分 类 号：F831[经济管理—金融学]