常态化资本管制的必要性——基于不同经济发展阶段视角的DSGE模型分析
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摘要
关于资本管制必要性的争论在国内外都非常普遍。文章改进了Chang等(2015)建立的中国开放经济DSGE模型,论证了经济发展阶段不同的中美两国进行国际货币长期合作的困难以及中国实施常态化资本管制的必要性。研究表明,中国的资本账户开放进程必须与经济在当前和未来所处的发展阶段相适应,这是需要遵循的一个客观经济规律。当然,文章不是试图阻止中国正常的金融服务业开放以及与所处经济发展阶段相适应的正常资本账户项目开放进程。相对于发达国家,中国等发展中国家的资本管制是长期常态化资本管制与或松或紧的临时性逆周期资本流出或流入管制两者的叠加。与国内外文献不同,文章论证了前者对于中国等发展中国家的必要性,并将其与后者统一到同一理论框架下。后者的一个典型例子是,在美国"加息缩表减税"背景下,假如其他条件不变,中国等发展中国家实施基于利率规则的货币政策和浮动汇率制,并辅以适度的临时性逆周期资本流出管制,对资本账户、产出和社会福利的稳定更加有利。而一个相反的典型例子是,面对美国减息冲击,如果采用利率规则,那么人民币将会升值,出口下降;假如其他条件不变,为了促进经济增长和改善社会福利,此时需适度加强资本流入管制。
The debate over whether capital controls are needed is very common at home and abroad. By improving the DSGE model of China's open economy with some important features such as high economic growth,which was originally established by Chang et al.(2015),and applying it to a different situation with the original case,this paper demonstrates the difficulties of international monetary long-term cooperation about the policy interest rates and inflation rates between China and the United States and the necessity to implement a normalized capital control for China,because of their different stages of economic development.Obviously,this conclusion not only implies that it is difficult for each country in the world to conduct the longterm international currency cooperation on policy target interest rates and inflation rates in the normal period,but also implies that it is difficult for Western and Eastern European countries in the eurozone to implement the unified policy target interest rate and inflation rate,due to their different stages of economic development.Its policy implication is that the process of China's capital account liberalization must be compatible with the present and future stages of China's economy development. And this is an objective economic law that we need to follow. Only when China's economy development level is similar to the developed countries such as the United States,and when its economic growth rate converges with the growth rates of the developed countries,it is possible for China to complete the full capital account liberalization,thereby completely abandoning the long-term normalized capital controls. Of course,this paper is not intended to prevent the normal opening process of China's financial service industry and the normal capital account liberalization process that is compatible with the stage of economic development. Especially in the case of the US "increasing the interest rate,shrinking the Fed's balance sheet and cutting the government's taxes",which has led to increase the capital outflow pressure,the acceleration of the opening process of China's financial service industry and the implementation of appropriate capital outflow controls are complementary,and not contradictory. Compared with those developed countries,the capital controls in China and some other developing countries are the combination of a long-term normalized capital control and a loose or tight temporary countercyclical capital outflow or inflow control. The function of normalized capital controls is to maintain the stability of the open economy that is compatible with the development stage;while the role of temporary countercyclical capital outflow or inflow controls is a macro-prudential management tool. The contribution of this paper is that it demonstrates the necessity of the former for the developing countries such as China,and consolidates the former and the latter under the same theoretical framework. This is the main difference between this paper and other literature. It should be emphasized that although this paper demonstrates the reasons for international monetary long-term non-cooperation and the necessity to implement a normalized capital control over a longer period of time,this does not mean that the capital controls have always been required in the real economy. Obviously,the result of the combination of long-term normalized capital control and temporary countercyclical capital outflow or inflow control in the real economy is that some periods are capital outflow controls;some periods are capital inflows;some periods may also be free movement of capital. Currently,a typical example for the latter is that under the background of the increasing of interest rate of the US dollar,the shrinking of the Fed's balance sheet and the tax cutting of the US government,if those other conditions remain unchanged,for China and some other developing countries,the implementing of interest rate rules about the monetary policy and the floating exchange rate system,combined with a moderate temporary countercyclical capital outflow control,will be more beneficial to the stability of their macroeconomic variables such as capital accounts,output and social welfare. At present,the developing countries such as Turkey are suffering from the consequences of a sharp fall in the exchange rate and capital flight because they have not properly managed their domestic and international economic and financial issues. In contrast,another typical example is that when faced with the impact of the cutting of the US dollar's interest rate,if the interest rate rule is adopted,the exchange rate of RMB will experience a larger appreciation,and the export will decline. And if other conditions remain unchanged,in order to promote economic growth and improve social welfare,the Chinese government needs to moderately tighten the capital inflow control at this moment.
The debate over whether capital controls are needed is very common at home and abroad. By improving the DSGE model of China's open economy with some important features such as high economic growth,which was originally established by Chang et al.(2015),and applying it to a different situation with the original case,this paper demonstrates the difficulties of international monetary long-term cooperation about the policy interest rates and inflation rates between China and the United States and the necessity to implement a normalized capital control for China,because of their different stages of economic development.Obviously,this conclusion not only implies that it is difficult for each country in the world to conduct the longterm international currency cooperation on policy target interest rates and inflation rates in the normal period,but also implies that it is difficult for Western and Eastern European countries in the eurozone to implement the unified policy target interest rate and inflation rate,due to their different stages of economic development.Its policy implication is that the process of China's capital account liberalization must be compatible with the present and future stages of China's economy development. And this is an objective economic law that we need to follow. Only when China's economy development level is similar to the developed countries such as the United States,and when its economic growth rate converges with the growth rates of the developed countries,it is possible for China to complete the full capital account liberalization,thereby completely abandoning the long-term normalized capital controls. Of course,this paper is not intended to prevent the normal opening process of China's financial service industry and the normal capital account liberalization process that is compatible with the stage of economic development. Especially in the case of the US "increasing the interest rate,shrinking the Fed's balance sheet and cutting the government's taxes",which has led to increase the capital outflow pressure,the acceleration of the opening process of China's financial service industry and the implementation of appropriate capital outflow controls are complementary,and not contradictory. Compared with those developed countries,the capital controls in China and some other developing countries are the combination of a long-term normalized capital control and a loose or tight temporary countercyclical capital outflow or inflow control. The function of normalized capital controls is to maintain the stability of the open economy that is compatible with the development stage;while the role of temporary countercyclical capital outflow or inflow controls is a macro-prudential management tool. The contribution of this paper is that it demonstrates the necessity of the former for the developing countries such as China,and consolidates the former and the latter under the same theoretical framework. This is the main difference between this paper and other literature. It should be emphasized that although this paper demonstrates the reasons for international monetary long-term non-cooperation and the necessity to implement a normalized capital control over a longer period of time,this does not mean that the capital controls have always been required in the real economy. Obviously,the result of the combination of long-term normalized capital control and temporary countercyclical capital outflow or inflow control in the real economy is that some periods are capital outflow controls;some periods are capital inflows;some periods may also be free movement of capital. Currently,a typical example for the latter is that under the background of the increasing of interest rate of the US dollar,the shrinking of the Fed's balance sheet and the tax cutting of the US government,if those other conditions remain unchanged,for China and some other developing countries,the implementing of interest rate rules about the monetary policy and the floating exchange rate system,combined with a moderate temporary countercyclical capital outflow control,will be more beneficial to the stability of their macroeconomic variables such as capital accounts,output and social welfare. At present,the developing countries such as Turkey are suffering from the consequences of a sharp fall in the exchange rate and capital flight because they have not properly managed their domestic and international economic and financial issues. In contrast,another typical example is that when faced with the impact of the cutting of the US dollar's interest rate,if the interest rate rule is adopted,the exchange rate of RMB will experience a larger appreciation,and the export will decline. And if other conditions remain unchanged,in order to promote economic growth and improve social welfare,the Chinese government needs to moderately tighten the capital inflow control at this moment.
引文
[1]曹彤,赵然.从多核心货币区视角看人民币国际化进程[J].金融研究,2014,(8):47-63.
[2]冯晓明.管理资本流入:发展中国家可供选择的政策工具[J].世界经济,2001,(6):23-30.
[3]葛奇.宏观审慎管理政策和资本管制措施在新兴市场国家跨境资本流出入管理中的应用及其效果--兼析中国在资本账户自由化过程中面临的资本流动管理政策选择[J].国际金融研究,2017,(3):3-14.
[4]郭红玉,张运龙.基于资产组合再平衡渠道的央行资产负债表政策溢出效应研究[J].世界经济研究,2016,(6):32-42.
[5]金荦.中国资本管制强度研究[J].金融研究,2004,(12):9-23.
[6]卡尔·E·瓦什.货币理论与政策[M].彭兴韵,曾刚,译.上海:格致出版社,2012.
[7]李晓峰.中国资本外逃的理论与现实[J].管理世界,2000,(4):123-133.
[8]刘建丰.一个双重货币区域与国际公共货币的理论--一个共同区域,两类商品市场,两套货币体系[J].经济学(季刊),2010,(3):985-1006.
[9]刘莉亚.境外“热钱”是否推动了股市、房市的上涨?--来自中国市场的证据[J].金融研究,2008,(10):48-70.
[10]刘骞文.全球经常账户失衡调整困局:基于货币政策的探讨[J].国际金融研究,2013,(3):22-29.
[11]潘英丽,等.国际货币体系未来变革与人民币国际化[M].上海:格致出版社,上海人民出版社,2014.
[12]肖立晟,刘永余.人民币非抛补利率平价为什么不成立:对4个假说的检验[J].管理世界,2016,(7):51-62.
[13]杨海珍,陈金贤.中国资本外逃:估计与国际比较[J].世界经济,2000,(1):21-29.
[14]殷德生.权力、相互依赖与国际货币合作--基于国际货币体系史的考察[J].世界经济与政治,2011,(8):30-46.
[15]游宇,黄宗晔.资本管制对融资结构和经济增长的影响[J].金融研究,2016,(10):32-47.
[16]余永定,肖立晟.解读中国的资本外逃[J].国际经济评论,2017,(5):97-115.
[17]余永定,张明.资本管制和资本项目自由化的国际新动向[J].国际经济评论,2012,(5):68-74.
[18]张春生.IMF的资本流动管理框架[J].国际金融研究,2016,(4):13-25.
[19]张明.中国资本账户开放:行为逻辑与情景分析[J].世界经济与政治,2016,(4):139-155.
[20]周小川.关于改革国际货币体系的思考[J].中国金融,2009,(7):8-9.
[21]朱鹤.基于AB-SETAR模型的中国资本管制实际程度度量[J].国际金融研究,2015,(10):76-86.
[22]Ahmed S,Zlate A.Capital flows to emerging market economies:A brave new world?[J].Journal of International Money and Finance,2014,48:221-248.
[23]Aviat A,Coeurdacier N.The geography of trade in goods and asset holdings[J].Journal of International Economics,2007,71(1):22-51.
[24]Basu S.Intermediate goods and business cycles:Implications for productivity and welfare[J].The American Economic Review,1995,85(3):512-531.
[25]Basu S,Fernald J G.Returns to scale in U.S.production:Estimates and implications[J].Journal of Political Economy,1997,105(2):249-283.
[26]Bruno V,Shin H S.Capital flows and the risk-taking channel of monetary policy[J].Journal of Monetary Economics,2015,71:119-132.
[27]Chang C,Liu Z,Spiegel M M.Capital controls and optimal Chinese monetary policy[J].Journal of Monetary Economics,2015,74:1-15.
[28]Chari V V,Kehoe P J,McGrattan E R.Sticky price models of the business cycle:Can the contract multiplier solve the persistence problem?[J].Econometrica,2000,68(5):1151-1179.
[29]Chen Q Y,Filardo A,He D,et al.Financial crisis,US unconventional monetary policy and international spillovers[J].Journal of International Money and Finance,2016,67:62-81.
[30]Chen S K,Chang M J.Capital control and exchange rate volatility[J].The North American Journal of Economics and Finance,2015,33:167-177.
[31]Eichengreen B,Rose A.Capital controls in the 21st century[J].Journal of International Money and Finance,2014,48:1-16.
[32]Farhi E,Werning I.Dealing with the trilemma:Optimal capital controls with fixed exchange rates[R].NBER Working Paper No.18199,2012.
[33]Farhi E,Werning I.Dilemma not trilemma?Capital controls and exchange rates with volatile capital flows[J].IMF Economic Review,2014,62(4):569-605.
[34]Feenstra R C,Luck P A,Obstfeld M,et al.In search of the armington elasticity[R].NBER Working Paper No.20063,2014.
[35]Fernández A,Rebucci A,Uribe M.Are capital controls countercyclical?[J].Journal of Monetary Economics,2015,76:1-14.
[36]Han X H,Wei S J.International transmissions of monetary shocks:Between a trilemma and a dilemma[J].Journal of International Economics,2018,110:205-219.
[37]Liu Z,Pappa E.Gains from international monetary policy coordination:Does it pay to be different?[J].Journal of Economic Dynamics and Control,2008,32(7):2085-2117.
[38]McKinnon R.Optimum currency areas[J].The American Economic Review,1963,53(4):717-725.
[39]Mundell R A.A theory of optimum currency areas[J].The American Economic Review,1961,51(4):657-665.
[40]Obstfeld M,Rogoff K.Exchange rate dynamics redux[J].Journal of Political Economy,1995,103(3):624-660.
[41]Ostry J D,Ghosh A R.Obstacles to international policy coordination,and how to overcome them[R].IMF Staff Discussion Note No.13/11,2013.
[42]Ostry J D,Ghosh A R,Habermeier K,et al.Capital inflows:The role of controls[R].IMF Staff Position Note No.10/04,2010.
[43]Pencavel J.Labor supply of men:A survey[A].Ashenfelter O C,Layard R.Handbook of labor economics[C].Amsterdam:Elsevier,1986.
[44]Prasad E,Rumbaugh T,Wang Q.Putting the cart before the horse?Capital account liberalization and exchange rate flexibility in China[R].IMF Policy Discussion Paper No.05/1,2005.
[45]Rey H.Dilemma not trilemma:The global cycle and monetary policy independence[A].Proceedings-economic policy symposium-jackson hole[C].Kansas:Federal Reserve Bank of Kansas City,2013.
[46]Rotemberg J J.Sticky prices in the United States[J].Journal of Political Economy,1982,90(6):1187-1211.
[47]Taylor J B.Discretion versus policy rules in practice[J].Carnegie-Rochester Conference Series on Public Policy,1993,39:195-214.
[48]Taylor J B.International monetary coordination and the great deviation[J].Journal of Policy Modeling,2013,35(3):463-472.
(1)金融服务业开放与资本账户项目开放是两件不同的事情。中国需要对民资和外资放宽金融业的市场准入条件,并不等于应放弃资本管制。例如,当资本外流压力较大时,我们需要进行资本流出管制,此时若同时配合增加金融业的外资准入比例,则更有利于减轻这种管制强度。
(1)这暗示Chang等(2015)原文的稳态值求解存在错误。这是由其技术附录中的国债欧拉方程在计算稳态时未被采用所导致的。关于Chang等(2015)原文中的几处错误,笔者已与其作者之一刘铮进行了商榷。
(1)模型中的跨国资本流动主要是由本国居民对外国资产B*pt和本国资产Bt的相对需求变化所造成的。本文的理论模型假设外国投资者不能持有中国的国债和股票等资产。由下文可知,长期以来,中国的国债市场和股票市场并没有对美国等国家的外国投资者开放,即使近几年开始开放,但并不是完全或大面积开放。因此,模型中不探讨中国股票市场,并假设外国投资者不被允许持有中国国债资产Bt。
(1)在Chang等(2015)及其dynare code中,虽然最优货币政策以名义利率为操作工具,但是在求解中其他变量并没有依存于名义利率。另外,在最优货币政策中求解社会福利最大化问题时,Chang等(2015)及其dynare code采用的时间折现率为1,而脉冲反应分析时使用的是0.995,在同一个模型中采用不同的时间折现率数值显然是错误的。如果将Chang等(2015)的dynare code中的时间折现率改为正确的0.995,则程序出现错误而中断运行。
[2]冯晓明.管理资本流入:发展中国家可供选择的政策工具[J].世界经济,2001,(6):23-30.
[3]葛奇.宏观审慎管理政策和资本管制措施在新兴市场国家跨境资本流出入管理中的应用及其效果--兼析中国在资本账户自由化过程中面临的资本流动管理政策选择[J].国际金融研究,2017,(3):3-14.
[4]郭红玉,张运龙.基于资产组合再平衡渠道的央行资产负债表政策溢出效应研究[J].世界经济研究,2016,(6):32-42.
[5]金荦.中国资本管制强度研究[J].金融研究,2004,(12):9-23.
[6]卡尔·E·瓦什.货币理论与政策[M].彭兴韵,曾刚,译.上海:格致出版社,2012.
[7]李晓峰.中国资本外逃的理论与现实[J].管理世界,2000,(4):123-133.
[8]刘建丰.一个双重货币区域与国际公共货币的理论--一个共同区域,两类商品市场,两套货币体系[J].经济学(季刊),2010,(3):985-1006.
[9]刘莉亚.境外“热钱”是否推动了股市、房市的上涨?--来自中国市场的证据[J].金融研究,2008,(10):48-70.
[10]刘骞文.全球经常账户失衡调整困局:基于货币政策的探讨[J].国际金融研究,2013,(3):22-29.
[11]潘英丽,等.国际货币体系未来变革与人民币国际化[M].上海:格致出版社,上海人民出版社,2014.
[12]肖立晟,刘永余.人民币非抛补利率平价为什么不成立:对4个假说的检验[J].管理世界,2016,(7):51-62.
[13]杨海珍,陈金贤.中国资本外逃:估计与国际比较[J].世界经济,2000,(1):21-29.
[14]殷德生.权力、相互依赖与国际货币合作--基于国际货币体系史的考察[J].世界经济与政治,2011,(8):30-46.
[15]游宇,黄宗晔.资本管制对融资结构和经济增长的影响[J].金融研究,2016,(10):32-47.
[16]余永定,肖立晟.解读中国的资本外逃[J].国际经济评论,2017,(5):97-115.
[17]余永定,张明.资本管制和资本项目自由化的国际新动向[J].国际经济评论,2012,(5):68-74.
[18]张春生.IMF的资本流动管理框架[J].国际金融研究,2016,(4):13-25.
[19]张明.中国资本账户开放:行为逻辑与情景分析[J].世界经济与政治,2016,(4):139-155.
[20]周小川.关于改革国际货币体系的思考[J].中国金融,2009,(7):8-9.
[21]朱鹤.基于AB-SETAR模型的中国资本管制实际程度度量[J].国际金融研究,2015,(10):76-86.
[22]Ahmed S,Zlate A.Capital flows to emerging market economies:A brave new world?[J].Journal of International Money and Finance,2014,48:221-248.
[23]Aviat A,Coeurdacier N.The geography of trade in goods and asset holdings[J].Journal of International Economics,2007,71(1):22-51.
[24]Basu S.Intermediate goods and business cycles:Implications for productivity and welfare[J].The American Economic Review,1995,85(3):512-531.
[25]Basu S,Fernald J G.Returns to scale in U.S.production:Estimates and implications[J].Journal of Political Economy,1997,105(2):249-283.
[26]Bruno V,Shin H S.Capital flows and the risk-taking channel of monetary policy[J].Journal of Monetary Economics,2015,71:119-132.
[27]Chang C,Liu Z,Spiegel M M.Capital controls and optimal Chinese monetary policy[J].Journal of Monetary Economics,2015,74:1-15.
[28]Chari V V,Kehoe P J,McGrattan E R.Sticky price models of the business cycle:Can the contract multiplier solve the persistence problem?[J].Econometrica,2000,68(5):1151-1179.
[29]Chen Q Y,Filardo A,He D,et al.Financial crisis,US unconventional monetary policy and international spillovers[J].Journal of International Money and Finance,2016,67:62-81.
[30]Chen S K,Chang M J.Capital control and exchange rate volatility[J].The North American Journal of Economics and Finance,2015,33:167-177.
[31]Eichengreen B,Rose A.Capital controls in the 21st century[J].Journal of International Money and Finance,2014,48:1-16.
[32]Farhi E,Werning I.Dealing with the trilemma:Optimal capital controls with fixed exchange rates[R].NBER Working Paper No.18199,2012.
[33]Farhi E,Werning I.Dilemma not trilemma?Capital controls and exchange rates with volatile capital flows[J].IMF Economic Review,2014,62(4):569-605.
[34]Feenstra R C,Luck P A,Obstfeld M,et al.In search of the armington elasticity[R].NBER Working Paper No.20063,2014.
[35]Fernández A,Rebucci A,Uribe M.Are capital controls countercyclical?[J].Journal of Monetary Economics,2015,76:1-14.
[36]Han X H,Wei S J.International transmissions of monetary shocks:Between a trilemma and a dilemma[J].Journal of International Economics,2018,110:205-219.
[37]Liu Z,Pappa E.Gains from international monetary policy coordination:Does it pay to be different?[J].Journal of Economic Dynamics and Control,2008,32(7):2085-2117.
[38]McKinnon R.Optimum currency areas[J].The American Economic Review,1963,53(4):717-725.
[39]Mundell R A.A theory of optimum currency areas[J].The American Economic Review,1961,51(4):657-665.
[40]Obstfeld M,Rogoff K.Exchange rate dynamics redux[J].Journal of Political Economy,1995,103(3):624-660.
[41]Ostry J D,Ghosh A R.Obstacles to international policy coordination,and how to overcome them[R].IMF Staff Discussion Note No.13/11,2013.
[42]Ostry J D,Ghosh A R,Habermeier K,et al.Capital inflows:The role of controls[R].IMF Staff Position Note No.10/04,2010.
[43]Pencavel J.Labor supply of men:A survey[A].Ashenfelter O C,Layard R.Handbook of labor economics[C].Amsterdam:Elsevier,1986.
[44]Prasad E,Rumbaugh T,Wang Q.Putting the cart before the horse?Capital account liberalization and exchange rate flexibility in China[R].IMF Policy Discussion Paper No.05/1,2005.
[45]Rey H.Dilemma not trilemma:The global cycle and monetary policy independence[A].Proceedings-economic policy symposium-jackson hole[C].Kansas:Federal Reserve Bank of Kansas City,2013.
[46]Rotemberg J J.Sticky prices in the United States[J].Journal of Political Economy,1982,90(6):1187-1211.
[47]Taylor J B.Discretion versus policy rules in practice[J].Carnegie-Rochester Conference Series on Public Policy,1993,39:195-214.
[48]Taylor J B.International monetary coordination and the great deviation[J].Journal of Policy Modeling,2013,35(3):463-472.
(1)金融服务业开放与资本账户项目开放是两件不同的事情。中国需要对民资和外资放宽金融业的市场准入条件,并不等于应放弃资本管制。例如,当资本外流压力较大时,我们需要进行资本流出管制,此时若同时配合增加金融业的外资准入比例,则更有利于减轻这种管制强度。
(1)这暗示Chang等(2015)原文的稳态值求解存在错误。这是由其技术附录中的国债欧拉方程在计算稳态时未被采用所导致的。关于Chang等(2015)原文中的几处错误,笔者已与其作者之一刘铮进行了商榷。
(1)模型中的跨国资本流动主要是由本国居民对外国资产B*pt和本国资产Bt的相对需求变化所造成的。本文的理论模型假设外国投资者不能持有中国的国债和股票等资产。由下文可知,长期以来,中国的国债市场和股票市场并没有对美国等国家的外国投资者开放,即使近几年开始开放,但并不是完全或大面积开放。因此,模型中不探讨中国股票市场,并假设外国投资者不被允许持有中国国债资产Bt。
(1)在Chang等(2015)及其dynare code中,虽然最优货币政策以名义利率为操作工具,但是在求解中其他变量并没有依存于名义利率。另外,在最优货币政策中求解社会福利最大化问题时,Chang等(2015)及其dynare code采用的时间折现率为1,而脉冲反应分析时使用的是0.995,在同一个模型中采用不同的时间折现率数值显然是错误的。如果将Chang等(2015)的dynare code中的时间折现率改为正确的0.995,则程序出现错误而中断运行。
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