The Dynamic Effect of the Balance of Payment on RMB Exchange Rate
- 经济学院－已发表论文 
本文基于国际收支平衡和投资者资产偏好视角建立了国际收支和资本流动对人民币汇率影响的理论模型并进行实证检验。研究结果显示,经常账户和金融账户的随机波动率不断增强,汇率的随机波动率呈周期性变化,外汇市场干预的随机波动率的时变性并不明显;时变冲击响应结果显示,经常账户、金融账户、资本流动对人民币汇率影响的动态效应并不明显;非时变冲击响应结果显示,金融账户尤其是证券投资是中短期人民币汇率变动的主要驱动因素,汇率可以对金融账户发挥调节作用,但对经常账户的调节作用较差;资本流入的随机波动率不断增强,而资本流出的随机波动率近年来有所趋缓;国内投资者和国际投资者表现出较为相似的资产偏好,汇率对资本流入的调节效应强于对资本流出的调节效应。Based on the balance of international payments and investors＇ as- set preference, this paper establishes a theoretical model of the effects of interna- tional payments and capital flows on the exchange rate of RMB. This paper uses the SV-TVP-VAR model to test the impact of China＇s international payments and capital flows on the RMB exchange rate. The results show that the stochastic vol- atility of current account and financial account is increasing, the stochastic volatil- ity of exchange rate fluctuates cyclically, and the volatility of foreign exchange market intervention is not obvious. The time-varying shock response results show that the dynamic effects of current account, financial account, capital flow and RMB exchange rate are not obvious; the financial account, especially the portfo- lio account, is the main driving factor of the short-term RMB exchange rate. The exchange rate can play a mediating role in the financial account, but play no role in the adjustment of the current account. The rate of stochastic volatility of capital inflow has been increasing, and the volatility of capital outflow has been slowingdown in recent years. Domestic investors and international investors show similar asset preference. The adjustment effect of exchange rate on capital inflow is stronger than that on capital outflow.