跨境资本与人民币汇率的非对称波动耦合效应

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

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.