资本流动与开放条件下人民币汇率制度选择

汇率问题一直是影响国际资本特别是国际短期资本流动的重要问题。20世纪90年代以来,国际短期资本流动的速度不断加快,流动量也不断增加;国际短期资本的重要活动场所越来越倾向于发展中国家的新兴经济体;我国加入WTO后,国际资本尤其是国际短期资本的流动对我国金融经济的影响越来越大,选择合适的人民币汇率制度会减轻国际短期资本流动对我国的冲击。人民币汇率制度选择的长期目标是建立浮动汇率制,近期目标和现实选择是人民币汇率目标区。     

人民币汇率预期、短期国际资本流动与房价

2015年8月,央行进行中间价形成机制改革,人民币汇率预期的波动增强,短期国际资本流动及房价随之呈现出不同的特征。文章探索了三者间的传导机制,发现人民币汇率预期升值会促进短期国际资本流入,而流入的短期国际资本对房价的影响却与汇率预期的波动强度有关。文章采用TVPSV-VAR模型对2010年7月至2016年12月的月度数据进行了实证研究,发现在两次汇改后,汇率预期波动较大,人民币汇率预期升值冲击通过短期国际资本流动更多地作用于房地产的需求端,使房价加速上涨。基于在不同汇率预期波动条件下三者的互动关系特征,文章从人民币汇率预期管理、短期国际资本的管理和引导以及综合管理机制的建立的角度提出政策建议。     

人民币升值对中国国际资本流动的影响

汇率波动是影响国际资本流动的重要因素,本文结合中国国际资本流动的主要特点,对人民币汇率波动及人民币汇率升值预期对中国国际资本流动的影响进行经验分析.实证结果表明,中国经济的持续快速发展和人民币升值预期是吸引国际资本大量流入中国的重要因素,人民币升值将会抑制FDI 的流入,但不会使我国的FDI 明显下降,国内利率也与FDI 呈负相关关系.本文认为,人民币名义汇率的适度升值和长期稳定性有利于外资的合理流入,但目前阶段应加强资本监管,预防经济风险.     

影响中国国际资本流动的因素分析

本文结合中国资本流动的特点,加入证券市场价格及房地产价格水平两个变量实证分析了1982～2004年对我国国际资本流动的影响。结果表明对中国资本流动影响最显著的因素依次为利率、汇率、房地产价格指数和证券市场价格。     

中国的短期国际资本流动:现状、流动途径和影响因素

2003年之后,由于人民币升值预期和国内的房地产、股票市场价格高涨,大量热钱通过各种渠道进入中国,引起了政府和学术界的关注。本文以中国短期国际资本流动为研究对象,重点对中国短期资本流动的规模、影响资本流入和流出的主要因素等进行分析。在长期内利差和人民币预期升值率都是影响中国短期资本流动的主要因素,但是人民币升值预期的影响更加重要。中国需要进一步加快汇率改革,同时要在开放之中提高资本管制的有效性。     

中国短期资本流动管制是否有效

本文主要分析了中国资本管制能否有效控制短期资本流动。我们根据国家外汇管理局公开的数据首先建立1999年1月至2010年12月的月度资本管制强度指标,估算了包括虚假贸易在内的短期资本流动规模,然后利用上述量化指标分析中国短期资本流动管制的有效性。研究发现,当前资本账户管制能够有效控制短期资本流动,汇率预期变化对短期资本流动规模的影响要大于利差变动的影响。因此,未来资本账户管制仍然是控制热钱流入的重要手段,而化解人民币升值预期则是平稳推动资本账户自由化的必要条件。     

对中国短期资本流动的分析及其风险防范

90年代以来,金融危机的频繁发生使得国际资本流动再次吸引了各国的重视。是近几年来,短期国际资本在我国的流动日益频繁,而且净流入逐渐扩大。这对我国的国际收支、人民币汇率等都产生了不利的影响,因此必须加以防范,注意我国资本项目的开放,加大对短期资本流动的监管。     

国际短期资本流动对本外币政策及其协调的影响

本文概括了当代国际短期资本流动发展的特征,包括总体规模、流动速度、流动范围与流动形态的变动,及国内资本与国际短期资本更紧密的连接性等,探讨了国际短期资本流动对本币政策独立性的影响,论述了从三元悖论到货币替代论的理论发展对把握国际短资流动影响所具有的政策意义,阐述了央行的冲销干预后果。论文分析了国际短资流动对于一国外币政策的影响,强调了外币管理政策各项内容间的协调性。论文从目前状态与中长期趋势角度讨论了国际短期资本流动对我国本外币政策及其协调的影响,提出了发展原则与战略,并简论了人民币国际化的政策。     

人民币汇率生成机制改革对短期资本流动和国际收支的影响

本文运用金融资产组合理论和贸易套汇理论分别分析了人民币汇率生成机制改革对金融性资本流动及贸易性资本流动的影响。指出短期内它将促进境外短期资本的流入。在长期中,随着人民币名义汇率逐渐趋近实际均衡汇率,人民币汇率浮动区间的动态调整,这有利于实现我国国际收支平衡。同时面对短期资本流动的影响,要进一步完善金融市场和体系的建设,只有这样才能使之趋利避害。     

当前我国利率与汇率的相关性分析及政策建议

在经济充分开放的国家,利率、汇率与资本流动之间存在不可忽视的紧密联系。利率变化引发套利资本流动,直接导致汇率的升值或贬值,汇率这种变动进而又反过来影响资本流动,影响利率。利率和汇率之间的这种关系被称为利率平价关系。本文采用利率平价模型分析了当前我国利率与汇率的相关性,并对我国的利率与汇率制度改革提出建议。     

Effectiveness of Capital Controls and Sterilizations in China

Since 2003, China has been facing a trilemma of determining how to maintain independent monetary policy and limit exchange rate flexibility simultaneously, while facing persistent and substantial international capital flows. The present paper is an empirical evaluation of the effectiveness of China＇s sterilizations and capital mobility regulations, measured by sterilization and offset coefficients, respectively, using monthly data between mid-1999 and March 2009. We find that the effectiveness of China＇s sterilizations is almost perfect in terms of the monetary base, but not in terms of M2, and that China＇s capital controls still work but are not quite effective. Recursive estimation reveals that increasing mobility of capital flows and decreasing effectiveness of sterilizations might undercut China＇s ability to maintain monetary autonomy and domestic currency stability simultaneously. To solve the trilemma smoothly, China＇s monetary authority should continue to relax the management of the exchange rate, and take further steps towards deregulation of capital outflows.     

Do exchange rate arrangements and capital controls influence international capital flows and housing prices in Asia?

This paper investigates the influence of international capital flows on housing prices in eight Asian countries, including China. We focus on determining whether exchange rate arrangements and capital regulations influence capital inflows and housing prices. Our results show that an arrangement to restrain the fluctuation of the exchange rate and capital controls has the potential to raise housing prices in Asia. The strong prospect of the Chinese yuan's appreciation also pushed up housing prices in China. Another expected reason for the increase in capital inflows into Asian markets is the expansion of global liquidity. Such capital flows often have a sensitive reaction to market sentiment, and an increase in asset market volatility caused by the liquidity squeeze decreases Asian housing prices. These results suggest the need to review capital controls and future exchange rate system options for Asian countries.     

How would Capital Account Liberalization Affect China＇s Capital Flows and the Renminbi Real Exchange Rates？

In this paper we study the determinants of gross capital flows, project the size of China's international investment position in 2020, and analyze the implications for the renminbi real exchange rate if China liberalizes the capital account. We assume in this exercise that the renminbi will have largely achieved capital account convertibility by the end of the current decade, a timetable consistent with recent proposals by the People's Bank of China. Our analysis shows that if the capital account were liberalized, China's gross international investment position would grow significantly, and inflows and outflows would become much more balanced. The private sector would turn its net liability position into a balanced position, and the official sector would reduce its net asset position significantly, relative to the country's GDP. Because of the increasing importance of private sector foreign claims and the decreasing importance of official foreign reserves, China would be able to earn higher net investment income from abroad. Overall, China would continue to be a net creditor, with the net foreign asset position as a share of GDP remaining largely stable through this decade. These findings suggest that the renminbi real exchange rate would not be particularly sensitive to capital account liberalization as capital flows are expected to be two‐sided. The renminbi real exchange rate would likely be on a path of moderate appreciation as China is expected to maintain a sizeable growth differential with its trading partners.     

Capital Flows and Economic Growth in the Era of Financial Integration and Crisis, 1990–2010

We investigate the relationship between economic growth and lagged international capital flows, disaggregated into FDI, portfolio investment, equity investment, and short-term debt. We follow about 100 countries during 1990–2010 when emerging markets became more integrated into the international financial system. We look at the relationship both before and after the global crisis. Our study reveals a complex and mixed picture. The relationship between growth and lagged capital flows depends on the type of flows, economic structure, and global growth patterns. We find a large and robust relationship between FDI – both inflows and outflows – and growth. The relationship between growth and equity flows is smaller and less stable. Finally, the relationship between growth and short-term debt is nil before the crisis, and negative during the crisis.     

资本市场自由化、经济发展与中国经济外交

经济全球化最受争议的一个问题是资本市场自由化,其中包括外国直接投资规制措施和短期资本流动规制措施的自由化。虽然大部分外国直接投资能够促进经济发展,但是,包含投机性热钱在内的短期资本流动,带来的是虚假经济繁荣。资本市场自由化会加剧顺经济周期的短期资本流动,带来消费的急剧波动,造成宏观经济动荡,阻碍经济增长,不利于经济发展。中国在国际金融领域的经济外交,应该加强资本控制,抑制短期资本投机活动;适时推进货币整合进程,分散短期资本流动带来的金融风险;推动国际经济治理民主化,公平分担短期资本冲击的代价。     

The global macroeconomics of NAFTA

Previous empirical studies of NAFTA have commonly used trade models that do not allow international capital flows to adjust to changes in regional trade arrangements such as NAFTA. This paper explores the dynamic implications of NAFTA with particular focus on the short-run and longer-run adjustment of financial capital. This adjustment affects the global allocation of physical capital and therefore changes the growth prospects for a country such as Mexico. Our results suggest that Mexico and the world economy gain more from NAFTA than merely a static reallocation of production possibilities. In the short run, the adjustment of financial capital affects nominal and real exchange rates. This adjustment is far more important for the short-term allocation of trade flows than partial equilibrium adjustment of trade based only on changes in long-term price differentials.     

短期国际资本流动对不同经济体资产价格的影响

文章基于24个非美发达经济体和16个发展中经济体的长面板数据，采用FGLS模型分析了短期国际资本流动对不同经济体资产价格的影响。结果显示：短期国际资本对股票和房地产价格具有显著的促进作用，但对债券价格的影响并不显著。与此同时，非美发达经济体资产价格对短期国际资本冲击的反应更为敏捷，但波动幅度小。这表明发达经济体不仅更容易吸引外资，且能够较好地平缓短期资本快速进出造成的冲击，从而降低冲击可能引发的系统性风险。     

Exchange Rate Regime,Financial Market Bubbles and Long‐term Growth in China: Lessons from Japan

Since 2014, capital inflows into China have turned into capital outflows, reversing the gradual appreciation path of the renminbi against the US dollar into an erratic depreciation path. The paper explains the current capital outflows by comparing China and Japan with respect to the impact of exchange rate expectations on speculative capital flows. It is argued that both in China and Japan, given benign liquidity conditions in the USA, policy‐induced appreciation expectations have generated capital inflows that have contributed to overinvestment and financial market bubbles. The current reversal of capital flows is seen as a signal that the bubble in China has burst. To stabilize growth in China and to discourage speculative capital outflows a fixed exchange rate to the dollar is recommended. Given Japan's experience and given that China's foreign assets remain high, the depreciation pressure on the Chinese renminbi can be expected to abate.     

The Asian crisis: what did we learn and when did we learn it?

This paper steps back from the detail of the Asian crisis, to ask whether the 1997 crisis advanced our broad understanding of the age‐old problem of economic crises. Some immediate lessons were learned from the failures of the crisis‐response in Indonesia, which was the worst‐affected economy. It is notable, however, how little changed to address the ongoing systemic weaknesses. Three areas of unresolved vulnerability can be identified. First, the sudden stops and reversals of international capital flows. Second, the intrinsic fragility of a financial system that borrows short and lends long. Third, unanchored exchange rates, where the market's price‐discovery can take the rate to levels far from equilibrium, for sustained periods. For more than a decade after the Asian crisis, international capital flows continued to be seen as unambiguously beneficial, with any attempts at capital flow management rejected. At a global level, it was not until the 2008 financial crisis that widespread financial fragility was addressed through tighter regulation and higher capital requirements. On exchange rates, misleading advocacy of corner solutions—either pure floating exchange rates or immutable fixed rates—continued in the face of the real‐world experience that sometimes intervention is needed to maintain an exchange rate close to equilibrium.