资本账户开放进程中的汇率风险研究

本文以资本账户开放为背景,按照全面风险管理体系对我国资本账户开放进程中的汇率风险进行测度和管理。测度1997-2018年间我国资本账户的开放程度,并运用GARCH-VaR模型度量我国现阶段的外汇市场风险。研究表明:整体而言,资本市场的开放程度与汇率风险之间存在正相关关系,在资本管制程度较高时,汇率波动整体较小,汇率风险较低;在资本管制程度较低时,国际资本流动频繁,汇率整体波动较大,此时汇率风险较高。为降低资本账户开放进程中的汇率风险,现阶段我国要稳步推进资本账户开放,建立全面风险管理体系,完善汇率制度,加强对市场的监督管理。

Research on Exchange Rate Risk in the Process of Capital Account Opening

This paper takes the capital account opening as the background and measures and manages the exchange rate risk in the process of China's capital account opening in accordance with the comprehensive risk management system.The degree of openness of China's capital account is measured from 1997 to 2018,and the GARCH-VaR model is used to measure the foreign exchange market risk in China at this stage.The research shows that,overall,there is a positive correlation between the degree of openness of the capital market and exchange rate risk.When the degree of capital control is high,the exchange rate fluctuations are small overall and the exchange rate risk is low.When the degree of capital control is low,the international capital flows are frequent,and the overall exchange rate fluctuates greatly.At this time,the exchange rate risk is high.In order to reduce the exchange rate risk in the capital account opening process,China should steadily promote the opening of the capital account,establish a comprehensive risk management system,improve the exchange rate system,and strengthen the supervision and management of the market.