CAJ | 학술논문

本文首先建立外汇市场压力、国际资本流动与国内货币市场均衡状况的理论模型，分析了三者之间的理论关系。进而通过LS、ECM、Johansen协整和State—Space等方法估算出1996年1月至2009年9月的外汇市场压力、国内货币市场均衡状况和国际资本净流动，然后采用VAFL模型分析了三者之间的动态关系。最后得出结论如下：国际资本净流入时，我国外汇市场压力为正（人民币升值压力），同时我国货币市场会出现短暂的超额供给。
본문수선건립외회시장압력、국제자본류동여국내화폐시장균형상황적이론모형，분석료삼자지간적이론관계。진이통과LS、ECM、Johansen협정화State—Space등방법고산출1996년1월지2009년9월적외회시장압력、국내화폐시장균형상황화국제자본정류동，연후채용VAFL모형분석료삼자지간적동태관계。최후득출결론여하：국제자본정류입시，아국외회시장압력위정（인민폐승치압력），동시아국화폐시장회출현단잠적초액공급。
This paper builds a theoretical model to analyze the relatlonslalp among exchange market pressure （EMP）, international capital flows and domestic monetary market condition. Then it estimates the EMP, monetary market condition and net capital flows of China from Jan. 1996 to Sept. 2009 via methods like LS, ECM, Johansen cointegration and State-Space. Further, the paper uses VAR model to research the dynamic relationship among three variables and finds that, when net capital flows appear positive, the EMP will be positive （i.e. appreciation pressure of RMB）, meanwhile the monetary market will have surplus supply for a while. Besides that it also finds that compared with the domestic monetary market, China＇ s monetary policy authority should pay more attention on exchange market.