以結構轉變檢定看人民幣匯率如何影響中國資本流動

Abstract

從中國的外匯存底與人民幣匯率的時間序列資料中發現兩者走勢相近，人民幣匯率的預期會影響資本的流動，進而影響外匯存底的變化，資本流動可以分別從直接金融和間接金融探討。在2014年前人民幣長期升值，企業會傾向到境外發行公司債，2014年至2015年人民幣匯率從原先升值的態勢開始波動並走貶後，企業則傾向回到境內發行公司債，同時中國境內的外幣貸款及離岸人民幣存款也隨之減少。因此，本研究透過Quandt-Andrews Test、Bai and Perron Test及Chow Test等結構轉變的統計檢定方法，來驗證中國直接金融和間接金融的時間序列資料是否在匯率變動的時點有產生結構轉變，最終結果發現直接金融的中國境外公司債發行量在2013年初及2014年5月兩個時間點有產生結構的轉變。

It was observed that China's foreign reserve and renminbi exchange rate had similar trends in the past. The expectation of renminbi exchange rate will influence capital flow and then it will have an impact on china's foreign reserve. Furthermore, capital flow can be in the form of direct and indirect finance. Renminbi has appreciated sharply over the past several years before 2014, so that corporates increase offshore corporate bond issuance. However, renminbi turned to fluctuate in 2014 and depreciate in 2015 afterwards. Corporates tended to issue onshore corporate bond consequently. In addition, China onshore foreign currency loans and offshore renminbi deposits decreased at the same time. The purpose of this study was to investigate whether the direct and indirect finance time series data had the structural changes when renminbi exchange rate fluctuated. Quandt-Andrews test, Bai and Perron test and Chow Test are used in this study to prove that capital flow would exactly influence by renminbi exchange rate. Finally, the results show that China offshore corporate bond issuance exactly had structural changes in early 2013 and May 2014.