资本账户开放对汇率波动和股市收益的影响研究——基于日本1998~2011年的数据

利用日本1998~2011年的月度数据，通过构建股市收益率、实际汇率变动以及短期资本净流入的三元结构的 SVAR 模型，对上述三变量之间的动态关系进行定量分析。结果表明：在资本账户开放后，短期资本存在套利和套汇的现象，短期资本流入会导致股指走低，却使得实际有效汇率小幅走高；日本股市虽然受到汇率和资本流动的影响，但影响有限；短期资本流动对国内国际变化较为敏感，应谨慎开放资本项目。此外，在推进资本账户开放的过程中，应同时推进汇率形成机制的市场化。

A Study on the Influences of Capital Account Liberalization on Foreign Exchange Fluctuation and Stock Returns Based on Japan's Data of 1998~201 1

Using the monthly data of Japan from 1 998 to 201 1,we constructed a SVAR mod-el,including stock returns,the real effective foreign exchange and the short- term capital net flow,to analyze the dynamic relations among them.The result shows the arbitrage of exchange and the price exists in the short-term capital flow.The short-term capital inflows will lead to a lower stock index,but that the real effective exchange rate would be slightly higher in the long term.Although stocks have been influenced by the exchange and the capital flow,the impacts is limited.The short-term capital flows are more sensitive to changes overseas and abroad,so it should be cautious to liberalize the capital account.In addition,we should promote the marketiza-tion of the exchange rate formation mechanism and the liberalization of the capital account.