贵州财经大学学报

贵州财经大学学报 ›› 2021 ›› Issue (03): 12-24.

• 宏观经济 • 上一篇    下一篇

国际收支结构与中国低利率之谜 ——基于TVP-VAR和DSGE模型的双重检验

杨源源, 高洁超   

  1. 南京审计大学 金融学院, 江苏 南京 211815;上海对外经贸大学 国际经贸学院, 上海 201620
  • 收稿日期:2021-01-08 出版日期:2021-05-15 发布日期:2021-05-17
  • 通讯作者: 高洁超(1989-)(通讯作者),男,江苏南通人,上海对外经贸大学国际经贸学院讲师,经济学博士,研究方向为货币理论与政策、国际经济学
  • 作者简介:杨源源(1990-),男,湖北随州人,南京审计大学金融学院讲师,经济学博士,研究方向为货币理论与政策。
  • 基金资助:
    国家社会科学基金后期资助项目"金融风险演化与'稳金融’宏观调控研究"（20FJYB042）；国家自然科学基金青年项目"影子银行扩张背景下中国货币政策与宏观审慎政策的协调研究"（71803127）；江苏省高校优势学科建设工程三期项目"南京审计大学应用经济学"（苏政办发[2018]87号）。

Balance of Payments Structure and the Mystery of Low Interest Rates in China—A Dual Analysis Based on TVP-VAR Model and DSGE Model

YANG Yuan-yuan, GAO Jie-chao   

  1. School of Finance, Nanjing Audit University, Nanjing, Jiangsu 211815, China;School of Business, Shanghai University of International Business and Economics, Shanghai 201620, China
  • Received:2021-01-08 Online:2021-05-15 Published:2021-05-17

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摘要： 伴随对外开放不断深化推进，中国利率呈现"L型"演化态势，低利率渐显常态化。本文构建TVP-VAR模型从实证分析视角检验国际收支变化如何影响利率演变，并构建两国DSGE模型从数值模拟视角探究不同结构的国际收支冲击对利率演变的差异影响。研究发现，对外开放深化所引致的本国外汇储备不断积累确实对利率产生向下调整压力，国际收支顺差是造成我国低利率形成的重要因素，货币供给是重要的中介变量；直接投资和证券投资等资本项目冲击对利率的影响远大于贸易项目冲击，随着未来资本项目便利化不断推进，我国利率调整受国际收支波动的掣肘效应会愈来愈大。政府应进一步深化外汇管理体制改革，逐步实现"藏汇于民"，提高货币政策独立性以降低外汇市场波动对利率调整的影响；资本账户开放应遵循审慎、循序渐进原则，避免冒进式推进而造成利率非合意波动。

关键词: 结构性国际收支, 低利率, TVP-VAR模型, 两国DSGE模型

Abstract: In this paper, the TVP-VAR model is firstly constructed to examine how changes in international payments affect interest rate evolution, and then the DSGE model of the two countries is constructed to explore the differential impacts of structural international payments shocks on interest rate evolution. It is found that the continuous accumulation of foreign exchange reserves caused by the deepening of opening-up does exert downward adjustment pressure on the interest rate. The surplus of international balance of payments is an important factor contributing to the formation of low interest rate in China, and the money supply is the important mediating variable. The impact of direct investment and portfolio investment shocks on interest rate is far greater than that of trade shocks. With the further promotion of capital account facilitation in the future, China's interest rate adjustment will be increasingly constrained by the fluctuations of balance of payments. Therefore, this paper argues that the government should further deepen the reform of the foreign exchange management system, gradually realize the "pooling of foreign exchange with the people", improve the independence of monetary policy to reduce the impact of foreign exchange market fluctuations on interest rate.

Key words: structural balance of payments, low interest rate, TVP-VAR model, two-country DSGE model

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