世界经济 ›› 2017, Vol. 0 ›› Issue (11): 73-94.

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套息交易、汇率波动和货币政策

陈雷1, 范小云2   

  1. 1. 中山大学国际金融学院;
    2. 南开大学金融学院 天津市津南区南开大学金融学院 300350
  • 出版日期:2017-11-10 发布日期:2017-11-10
  • 通讯作者: 范小云:电子信箱:fanxiaoyun@vip.sina.com E-mail:fanxiaoyun@vip.sina.com
  • 作者简介:陈雷:电子信箱:nkchenlei@yeah.net
  • 基金资助:
    本文系国家社科基金重大项目(16ZDA042)、教育部重点研究基地重大项目(14JJD790030)、国家自然科学基金青年项目(71603291)的阶段性成果。

Carry Trade, Exchange Rate Volatility and Monetary Policy

Chen Lei1, Fan Xiaoyun2   

  • Online:2017-11-10 Published:2017-11-10

摘要: 本文将外汇市场上的微观金融主体,即套息交易者纳入传统的宏观经济模型中,并引入流动性螺旋机制,构建了汇率的金融决定模型,从而基于微观金融主体行为视角形成了对汇率波动现象的理论解释。本文进而提出"货币政策的汇率传染渠道",即美联储的货币政策影响套息交易者的行为,导致汇率波动,从而引发其他国家货币政策的变动。在此基础上,作者提出并检验了如下两个推论:在汇率制度的浮动程度达到较高水平之后,继续增加汇率制度的浮动程度,会削弱货币政策的独立性;在不同类别的资本项目中,与套息交易密切相关的资本项目的开放会更加显著地削弱货币政策独立性。最后,本文提出如下政策建议:适当的外汇干预是必要的;在资本开放的改革中,应优先开放与套息交易行为相关度较低的资本项目。

关键词: 套息交易, 汇率波动, 货币政策, 二元悖论, 资本管制

Abstract: We construct a model to determine exchange rate, which includes the carry trader as a new representative, and combines with the liquidity spirals introduced by Brunnermeier and Pedersen (2009).The new model gives a better explanation of exchange rate volatility.We further propose the "Exchange Rate Contagion Channel of Monetary Policy".It states that Fed's monetary policy influences carry traders, resulting in exchange rate volatility, and other countries adjust their monetary policies to reduce volatility of exchange rate.Based on these, we give two propositions:1) Unlike what the trilemma theory predicts, more floating exchange rate regime may decrease monetary policy independence;2) The openness of capital account which is most related to carry trading reduces monetary policy independence more.We empirically test these two propositions.Lastly, we propose two policy suggestions: 1) It's necessary to manipulate exchange rate properly; 2) If we have to open capital accounts, we should firstly open the items that are not most related to carry trading.

Key words: carry trade, exchange rate volatility, monetary policy, dilemma, capital control

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