【作者】 张晓明；

【导师】 李颖；

【作者基本信息】 山东大学 ， 金融（专业学位）， 2022， 硕士

【副题名】基于混频模型的研究

【摘要】 随着全球经济一体化,分工合作日渐加深,短期跨境资本流动规模日渐扩大,汇率变化对一国经济、金融产生愈发明显的冲击。一方面,自2015年人民币汇改之后,我国面临着人民币的升值压力、短期跨境资本流动规模扩大,对实体经济冲击加大,对我国金融稳定性也造成一定冲击;另一方面,随着中美贸易战以及新冠疫情的冲击,我国的实体经济显现出前所未有的顽强,成为支撑全球产业链的支柱,我国的外贸行业突飞猛进,也推动了人民币汇率预期走强。如何在短期跨境资本流动规模增加、汇率波动变大的同时保持并提升金融稳定性成为我国金融政策制定所要考虑的问题。本文构建了短期跨境资本流动、汇率预期以及金融稳定性三者间的微观影响机制。本文将模型的背景设定为存在一定金融管制的环境,并通过资金流动模型将汇率预期、短期跨境资本流动与金融稳定通过金融窖藏间接联系。构建出汇率预期与短期跨境资本流动影响金融稳定的微观模型。目前关于金融稳定的研究较多,但多数方法只能够处理同频数据,但金融数据多数为混频数据,此类模型存在减少数据信息的风险。本文利用混频向量自回归模型和混频因子模型构建金融稳定性指数,通过比较利用混频向量自回归模型构建金融稳定性指数。两种模型在构造金融稳定性指数所采用的处理手段不同,但最终得到的金融稳定性指数具有一致的趋势,并且均能够反映较大事件对金融系统的冲击。本文通过TVP-SV-VAR模型对汇率预期、短期跨境资本流动以及金融稳定进行脉冲响应分析,并对汇率预期升值、贬值,短期跨境资本流入增加、减少分别探讨了三者不同的影响效应。脉冲结果表明三者之间的影响确实存在一定的时间异质性和条件异质性。本文的贡献在于:首先,本文构建并比较了两种混频模型构建金融稳定性指数,以使其能够较好反映我国金融状况;其次,本文构建了符合我国现实情况的微观模型,将其修改为符合我国尚未完全开放的经济环境;利用脉冲模型,分析三者之间的影响机制,因为三者之间并不存在明显的因果关系,三者是一个相互影响的体系,利用TVP-SV-VAR模型能够较好说明三者之间的相互影响的关系;最后,对于汇率预期升值和贬值,短期跨境资本流动增加和减少做了区别,这能够进一步区分三者之间的影响机制。更多还原

【Abstract】 With the integration of the global economy,the division of labor and cooperation is deepening,the scale of transnational capital flows is expanding,and the exchange rate changes have an increasingly obvious impact on a country’s economy and finance.On the one hand,since the RMB exchange rate reform in 2015,China is facing the pressure of RMB appreciation,the expansion of short-term cross-border capital flows,the impact on the real economy has increased,and the impact on China’s financial stability has also caused a certain impact.On the other hand,with the impact of the Sino-US trade war and the new crown epidemic,China’s real economy has shown unprecedented tenacity and has become the pillar supporting the global industrial chain,and China’s foreign trade industry has made rapid progress,which has also promoted the expected strengthening of the RMB exchange rate.How to improve financial stability between short-term cross-border capital flows and exchange rate expectations has become one of the goals of China’s financial policy formulation.This paper constructs a micro-influence mechanism between short-term crossborder capital flows,exchange rate expectations,and financial stability.The construction of such models by previous generations is based on the assumption that China is an open financial system,which is inconsistent with the actual national conditions of our country.Therefore,this paper sets the background of the model as an environment for certain financial regulations,and indirectly links exchange rate expectations,short-term cross-border capital flows and financial stability through financial cellaring through the capital flow model.Construct a micro model of exchange rate expectations and short-term cross-border capital flows affecting financial stability.At present,there are many studies on financial stability,but most methods can only process the same frequency data,but most of the financial data is mixed frequency data,and such models have the risk of reducing data information.In this paper,the financial stability index is constructed by using the mixture vector autoregressive model and the mixing factor model,and the financial stability index is constructed by comparing the mixing vector autoregressive model.The two models have different treatments for constructing the financial stability index,but the resulting financial stability index.has a consistent trend and can reflect the impact of larger events on the financial system.At the same time,the TVP-SV-VAR model is used to explore the relationship between the three,and the different response relationships between the expected appreciation and depreciation of the exchange rate and the increase and decrease of cross-border capital inflows are considered respectively.This paper analyzes the impulse response of exchange rate expectations,shortterm cross-border capital flows and financial stability through the TVP-SV-VAR model,and explores the different effects of the expected appreciation and depreciation of exchange rates,and the increase and decrease of cross-border capital inflows.The pulsed results show that there is indeed some temporal heterogeneity and conditional heterogeneity in the effects between the three.The contribution of this paper is:first,this paper constructs and compares two mixing models to construct a financial stability index so that it can better reflect China’s financial situation;secondly,this paper constructs a micro model that is in line with The reality of China,and modifies it to conform to China’s economic environment that has not yet been fully opened;using the pulse model,analyzing the influence mechanism between the three,because there is no obvious causal relationship between the three,and the three are a system of mutual influence.The use of the TVP-SV-VAR model can better illustrate the relationship between the three interact ions,and finally,for the expected appreciation and depreciation of the exchange rate,the increase and decrease of short-term cross-border capital flows can be distinguished,which can further distinguish the impact mechanism between the three.更多还原