非对称两国模型下的资本流动与汇率决定.pdf

国际经济学 非对称两国模型下的资本流动与汇率波动 范言慧 （对外经济贸易大学金融学院， 100029） 摘要：本文在随机一般均衡的非对称两国模型框架下探讨了在外部冲击及政策性因素的影响下，外国 投资者的资产调整所诱发的资本流动对欠发达国家名义汇率波动的影响。在浮动汇率制度、资本账户 开放、投资者的资产调整存在时滞等假设与以上设定的前提下，本文发现：在欠发达国家国内产出波 动（相对于发达国家）较大的情况下，当其放开资本流动限制和汇率浮动后，其货币将出现过度贬值。 欠发达国家相对较高的产出波动是导致资本流动及汇率不稳定的一个重要原因，而生产率冲击相比货 币供给冲击能引发汇率出现更大和更持久的波动。此外，外国居民越注重于追求财富和社会地位，越 将加深两国汇率波动幅度，尤其当本国出现意外生产率冲击时，其波动幅度会更大。 关键词：非对称两国模型 资本流动 汇率波动 JEL 分类：D81, D91, F41, F47, G11 Capital flows and Exchange Rate Volatility in an Unsymmetrical Two-country Model Fan Yanhui Abstract : This paper examines how the assets adjustment behaviors of investors in the developed country influence nominal exchange rate volatility in less developed country. It is found that in a risky world with flexible exchange rates, open capital account, and investors’ lagging assets adjustment, the less-developed country would see its currency overdepreciate when its productivity disturbance is greater than that of developed country and also the restriction of capital accounts and exchange rate is relaxed. The relative greater productivity disturbance is an important factor leading to capital flows and exchange rate destabilization, while productivity shock can inspire greater and more persistent exchange ra te volatility. Furthermore, the more investors in foreign country care about wealth and social status, the more it would aggravate the volatility of exchange rate, which would happen especially when productivity shock occurred in home country. Keywords: unsymmetrical Two-co