利率市场化、汇率改制与国际资本流动关系研究
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| Title | Interest Rate Liberalization, Exchange Rate Reform and International Capital Flow
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| 作者 | 陈创练 姚树洁 |
| Author | Chen Chuanglian and Yao Shujie |
| 作者单位 | 华南师范大学经济与管理学院；诺丁汉大学当代中国学学院 |
| Organization | East China Normal University;Chongqing University |
| 作者Email | Shujie.Yao@nottingham.ac.uk |
| 中文关键词 | 利率市场化 汇率改革 国际资本流动 资本账户开放 TVP-VAR-SV |
| Key Words | Interest Rate Liberalization; Exchange Rate Reform; International Capital Flow; Capital Account Liberalization; TVP-VAR-SV |
| 内容提要 | 随着利率市场化改革、汇率改制以及资本账户开放改革进程的加快推进，我国金融市场面临着前所未有的挑战。本文构建了国际资本流动的微观基础决定模型，从理论上分析国际资本流动与利率、汇率之间的非线性和互动关系，并采用TVP-VAR-SV模型实证分析了三者之间的时变动态关系。通过进一步分析不同时间阶段，我国利率市场化改革、汇率改革以及资本账户开放等对中美利差、汇率波动和国际资本流动的影响效应，为当前三大金融政策改革、制定和实施提供有益的决策依据。 |
| Abstract | As the speeding up of market-oriented interest rate reform, exchange rate system reform and capital account liberalization, the Chinese financial market faces an unprecedented challenge. This paper constructs a micro-foundation model of international capital flow to analyze the nonlinear and interactional relationship among interest rates, exchange rates and international capital flows. We then use the TVP-VAR-SV model to empirically exam their dynamic relationship. We also analyze the effects of market-oriented interest rate reform, exchange rate system reform and capital account liberalization on interest rate, exchange rate fluctuations and international capital flows. Finally, we put forwards some suggestions for three major financial policy reforms. |
| 文章编号 | WP1095 |
| 登载时间 | 2016-08-10 |
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