跨境资本与人民币汇率的非对称波动耦合效应
作者:
作者单位:

1.上海社会科学院 应用经济研究所,上海 200023;2.中国人民银行上海总部,上海200120;3.上海工程技术大学 管理学院,上海 201620

作者简介:

金 政,博士后,主要研究方向为外汇管理、跨境资本。E-mail: jinzheng_allen@126.com

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中图分类号:

F831.7

基金项目:

国家社会科学基金(21FJLB014);上海市哲学社会科学规划课题(2023ZJB007)


Asymmetric Fluctuation Coupling Effect of Cross-border Capital Flows and RMB Exchange Rate
Author:
Affiliation:

1.Institute of Applied Economics, Shanghai Academy of Social Sciences, Shanghai 200023, China;2.Shanghai Headquarters of the People’s Bank of China, Shanghai 200120, China;3.School of Management, Shanghai University of Engineering Science, Shanghai 201620, China

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    摘要:

    构建向量误差修正?广义自回归条件异方差?非对称BEKK(VECM-GARCH-ABEKK)模型,从产业资本和金融资本两个维度,研究跨境资本与人民币汇率波动的非对称耦合效应。研究发现,产业资本和金融资本与人民币汇率具有显著的持续性、集聚性波动特征,且两类跨境资本与人民币汇率之间的波动溢出存在差异化的非对称耦合效应。研究提出优先针对产业资本外流风险出台相关政策,构建“宏观审慎+微观监管”监管框架,降低外汇市场超调风险,利用人民币离岸交易构筑资本跨境流动缓冲区等对策建议。

    Abstract:

    This paper aims at investigating the asymmetric fluctuation coupling effect of cross-border capital flows and RMB exchange rate through two dimensions of industrial capital flows and financial capital flows. The result shows that both capital flows (industrial and financial capital flows) and the exchange rate have a significant continuous and clustering fluctuation. Besides, there are differential asymmetric fluctuation coupling effects between the two types of capital flows and the exchange rate. This paper proposes policy recommendations such as giving priority to introducing policy arrangements for coping with industrial capital outflows risks, improving the framework for administration featuring “macro-prudential management plus micro-supervision” and reducing the overshooting risk of foreign exchange market, and building a buffer zone for capital flows by improving the RMB offshore transactions.

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金政,李湛,胡文伟.跨境资本与人民币汇率的非对称波动耦合效应[J].同济大学学报(自然科学版),2024,52(4):637~646

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  • 收稿日期:2022-06-02
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  • 在线发布日期: 2024-04-30
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