汇率波动影响金融稳定的传导机制研究

厘清汇率波动影响金融稳定的传导机制有助于理解宏观经济不稳定的来源。构建汇率波动通过贸易、资本流动和资产价格渠道影响金融稳定的研究假说,并用37个国家的面板数据,基于PVAR模型进行经验分析后发现,汇率波动通过上述三个渠道影响金融稳定的作用大于两者之间的直接关系,且通过资本流动和资产价格影响金融稳定更加强烈,而贸易渠道相对较弱。因此,应注重资本账户开放的节奏,避免汇率波动通过资本渠道冲击国内金融稳定。

A Study of the Impact of Exchange Rate Fluctuations on the Transmission Mechanism of Financial Stability

Since the 1970s ,there have been frequent financial crises ,and as a result ,financial instability has become a normal state .These crises have caused huge damage to the real economy , which draws increasing attention from both theorists and practitioners . To know about the impact of the transmission mechanism of exchange rate fluctuations on financial stability would facilitate a better understanding of the sources of macro-economic instability . This paper constructs a hypothesis that exchange rate fluctuation affects financial stability through trade , capital flow and asset price .It also presents an empirical analysis of the relationship between exchange rate fluctuation and financial stability by employing the PVAR model for the panel data of 30 countries . The empirical result suggests that :(1) There is no significant interaction between exchange rate fluctuation and financial stability .The weak link between the two ,however ,becomes much stronger when other participating variables are added .It is clear that exchange rate fluctuation exerts it impact through trade ,capital flow and asset price ,negatively affecting financial stability through trade ,and positively affecting it through capital flow and asset price .Meanwhile ,the combined impact of these three channels is greater than any single interaction with financial stability .(2) The results of both impulse response function and variance decomposition suggest that the capital flow channel and asset price channel are stronger than trade ,while exchange rate fluctuation has the least contribution to financial stability .This again demonstrates that exchange rate fluctuation has no evident direct impact on financial stability . This paper has two main implications :(1) Governments need to strengthen their supervision on capital flows ,especially short-term capital flows in order to encourage long-term industrial capital inflow and to inhibit the inflow of hot money .(2) Governments should be careful about the pace of opening capital account so as to prevent exchange rate fluctuation from affecting domestic financial stability through the capital channel . Due to the unavailability of more data ,this paper has the disadvantage of limited sample countries and short time span .Moreover ,those sample countries are mainly developed ones ,The inadequate sampling of developing countries may lead to an inadequate overall conclusion . Conclusions of more universal importance are expected with improved quantitative methods and updated data .