暨南学报(哲学社会科学版)

作者：李聪, 刘喜华

单位：青岛大学经济学院讲师; 刘喜华,青岛大学经济学院教授,博士生导师。

关键词：汇率预期,国际资本流动,金融稳定,TVP-SV-BVAR模型

基金：国家社会科学基金青年项目“金融稳定目标下货币政策与宏观审慎政策的协调机制研究”(18CJY056)。

随着金融双向开放程度的持续推进和人民币汇率双向波动幅度的加大,我国国际资本流动的频率和波动性显著增强,这将对我国金融稳定产生剧烈冲击,甚至引发系统性金融风险。本文在开放框架下构建了包含汇率预期、国际资本流动与金融稳定的内生动态系统,从理论层面揭示了三者互动的微观机制。进一步选用2005年1月至2019年12月数据为研究样本,运用包含随机波动的贝叶斯时变向量自回归模型(TVP-SV-BVAR)分别从全局性和多重情景进行实证分析,特别地,考虑到三者之间的关系很有可能依赖于异质性区制环境而存在非对称性特征,文章进一步从汇率升值/贬值预期、国际资本流入/流出等进行分析。结果表明,汇率预期、国际资本流动与金融稳定三者之间存在非线性联动效应,且这种联动效应在短期、中期和长期视角下具有显著的时变性和异质性特征,其中,国际资本流动是汇率预期影响金融稳定的重要作用渠道,鉴于汇率预期、国际资本流动与金融稳定之间的联动机制在异质性环境下存在显著差异,因此,货币当局应通过稳定汇率预期并加强国际资本流动监管以维护金融市场的稳定。"/>template{display:none;}.mag-rich-xref-fn { cursor: pointer;}//长视频$(document).ready(function(){if($("#showLongArticleVideo") && $("#showLongArticleVideo").length && $("#showLongArticleVideo").length>0){mag_ajax_update({ele_id:'showLongArticleVideo',url:mag_currentQikanUrl() + "/CN/article/showLongArticleVideo.do?id="+$("#articleId").val()});}});$(document).ready(function(){window.metaData = {"journal":{"issn":"1000-5072","qiKanMingCheng_CN":"暨南学报（哲学社会科学版）","id":2,"qiKanMingCheng_EN":"Jinan Journal"},"fundList_cn":["国家社会科学基金青年项目“金融稳定目标下货币政策与宏观审慎政策的协调机制研究”(18CJY056)。"],"article":{"keywordList_cn":["TVP-SV-BVAR模型","国际资本流动","汇率预期","金融稳定"],"juan":"43","zhaiyao_cn":"随着金融双向开放程度的持续推进和人民币汇率双向波动幅度的加大,我国国际资本流动的频率和波动性显著增强,这将对我国金融稳定产生剧烈冲击,甚至引发系统性金融风险。本文在开放框架下构建了包含汇率预期、国际资本流动与金融稳定的内生动态系统,从理论层面揭示了三者互动的微观机制。进一步选用2005年1月至2019年12月数据为研究样本,运用包含随机波动的贝叶斯时变向量自回归模型(TVP-SV-BVAR)分别从全局性和多重情景进行实证分析,特别地,考虑到三者之间的关系很有可能依赖于异质性区制环境而存在非对称性特征,文章进一步从汇率升值/贬值预期、国际资本流入/流出等进行分析。结果表明,汇率预期、国际资本流动与金融稳定三者之间存在非线性联动效应,且这种联动效应在短期、中期和长期视角下具有显著的时变性和异质性特征,其中,国际资本流动是汇率预期影响金融稳定的重要作用渠道,鉴于汇率预期、国际资本流动与金融稳定之间的联动机制在异质性环境下存在显著差异,因此,货币当局应通过稳定汇率预期并加强国际资本流动监管以维护金融市场的稳定。","endNoteUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/article/getTxtFile.do?fileType=EndNote&id=6534","bibtexUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=BibTeX&id=6534","abstractUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2021/V43/I4/100","qi":"4","id":6534,"nian":2021,"bianHao":"2021-4-100","zuoZheEn_L":"LI Cong, LIU Xihua","juanUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2021","shouCiFaBuRiQi":"2021-04-20","qiShiYe":"100","qiUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/Y2021/V43/I4","lanMu_cn":"金融研究","pdfSize":"5645","zuoZhe_CN":"李聪, 刘喜华","risUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=Ris&id=6534","title_cn":"汇率预期、国际资本流动与金融稳定的非线性联动效应研究","jieShuYe":"120","keywordList_en":["financial stability","international capital flows","RMB exchange rate expectation","TVP-SV-BVAR model"],"endNoteUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=EndNote&id=6534","zhaiyao_en":"With the further promotion of financial openness and the enhancement of RMB exchange rate volatility, the frequency and volatility of China's short-term international capital flows have increased significantly. This will have a severe impact on China's financial stability and even cause systemic financial risks. This article constructs an endogenous dynamic system, and it includes exchange rate expectations, international capital flows and financial stability within an open framework, which reveals the micro-mechanism of the interaction of the three from a theoretical level. This article selects the data from January 2005 to December 2019 as the research sample, and uses the Bayesian time-varying vector autoregressive model (TVP-SV-BVAR) with random fluctuations to conduct empirical analysis from the global and multiple scenarios, especially considering that the relationship between them is likely to depend on the heterogeneous zoning environment and has asymmetric characteristics. 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来源：2021年第4期

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