汇率预期对跨境资金流动的影响研究——基于乘法形式的适应性预期理论

以适应性预期理论为基础,构建人民币汇率预期理论模型,在此基础上运用广义矩估计方法,评估人民币汇率预期对跨境资金流动的影响效果,并用VAR模型实证检验人民币汇率预期变化对跨境资金流动的动态影响.研究发现:人民币汇率预期动态调整在自适应中含有一定的非理性,汇率预期变动对银行结汇资金的影响最大,长期跨境资金次之,短期跨境资金最低;当人民币汇率预期贬值时,跨境资金流通速度加快,短期跨境资金在流出量达到一定程度后会出现资金回流状况;跨境资金的流动主要由自身的前期值决定,人民币汇率预期变动对跨境资金流动具有较大的影响.

Research on the Impact of Exchange Rate Expectation on Cross-border Capital Flows:Adaptive Expectation Theory Based on Multiplication Form

Based on the adaptive expectation theory,this paper constructs a theoretical model of RMB exchange rate expectation.On this basis,the generalized moment estimation method is used to evaluate the effect of the expectation of RMB exchange rate on cross-border capital flow,and the VAR model is used to empirically test the dynamic impact of the expectation of RMB exchange rate on cross-border capital flow.Research finds that the expected dynamic adjustment of RMB exchange rate contains some irrationality in the adaptive process,the expected change of exchange rate has the largest impact on settlement of exchange capital,followed by long-term cross-border capital and short-term cross-border capital.When the expectation of RMB exchange rate depreciates,cross-border capital circulation speeds up,but short-term cross-border capital flows back after the outflow reaches a certain level.Cross-border capital flow is mainly determined by its own pre-value,but the expected change of the expectation of RMB exchange rate has a great impact on cross-border capital flow.