人民币跨境流动与金融失衡——基于VAR和门限模型的经验分析

基于2010~2014年月度数据，从汇率波动、资本流动以及资产价格波动等渠道，利用 VAR 模型和门限模型研究人民币跨境流动对金融失衡的影响机制。研究表明：从冲击效应看，人民币国际化背景下，金融失衡对汇率波动、资本流动和资产价格波动的反应程度显著，其中，对资产价格的反应程度最强；人民币跨境流动程度和汇率波动程度对金融失衡存在显著的门限效应。因此，为推动人民币跨境流动，应强调在推进汇率市场化改革和加强国际资本流动监管的基础上，加大稳定国内资产价格的力度，防范金融失衡。

RMB Transnational Circulation And Financial Imbalance--Empirical Analysis from VAR Model and Threshold Model

This paper presents an empirical analysis of the relationship between RMB transna-tional circulation and financial imbalance by employing the VAR model and threshold model with monthly data from 2010 to 2014through exchange rate fluctuation,capital flow and asset price volatility.The empirical result suggests that from the perspective of impact effect,exchange rate fluctuation,capital flow and asset price volatility have a significant impact on financial imbalance on the background of RMB internationalization,and the asset price volatility is the strongest channel.RMB transnational circulation and exchange rate fluctuation have a significant threshold effect on financial imbalance.It is clear that the government has increased efforts on stabilizing asset price and preventing financial imbalance on the basis of favoring interest-rate liberalization and strengthening international capital flow supervision in the middle of RMB transnational circu-lation development.