摘要
本文构建两期模型研究发现:国际资本流动对外汇市场的影响取决于汇率波动效应与央行干预效应之间此消彼长的关系。基于75个国家数据的实证结果表明:(1)只有当资本账户卢开放程度较高时,资本流入的效应与理论预期相符(体现为外汇市场升值效应);(2)考虑到对外汇市场的影响,资本账户开放先后顺序应为:直接投资→债券投资→股票投资;(3)资本账户开放水平和贸易开放度的升高会带来,更高的融资需求,并驱动国内金融机构进一步开放和改革,缓解汇率波动压力。(4)新兴市场国家的外汇市场波动压力平滑转移效应更明显,面临更大的外汇波动压力。
This paper constructs a two-period model and finds that the impact of international capital flows on the for-eign exchange market depends on the decrease-increase relationship between the efeet of exchange rate fuctuations and the efect of central bank intervention.The empirieal results based on data of 75 countries show that,(1)the ffect of capi-tal inflow is consistent with theoretical expeetation(elected in the appreciation ffeet of foreign exchange marke)only when the capital account openness is al a relatively high level;(2)considering the impact on the foreign exchange markel,the sequence of capital account openness should be direet investment→bond investment→stock investment;(3)the inerease in capital account openness and trade openness will bring higher financing needs,and drive domestic financial institutions to open and reform further,and ease exchange rate fluctuating pressure;(4)the smooth transitional ffects of foreign exchange market volatility pressure in emerging market countries is more obvious,and they face greater pressure from foreign ex-change fluctuation.
作者
刘悦吟
马子柱
陈创练
LIU Yue-yin;MA Zi-zhu;CHEN Chuang-lian
出处
《金融论坛》
CSSCI
北大核心
2022年第7期51-60,共10页
Finance Forum
基金
国家自然科学基金面上项目“基于高维混频大数据的国际风险外溢路径及宏观货币政策动态协调的管理机制研究”(72071094)
国家自然科学基金面上项目“基于金融风险周期监测的时变参数货币政策模型系统构建和识别研究”(71771093)
教育部人文社会科学研究规划项目“资本配置效率、产业结构转型与经济增长关系研究”(17YJA790009)。
关键词
资本账户开放
系統GMM
面板平滑转移模型
外汇市场波动压力
eapital account openness
system CMM
panel smooth transition regression model
foreign exchange market volatility pressure
