短期国际资本流动、汇率与资产价格——基于汇改后数据的实证研究

发布时间：2018-03-03 19:00

本文选题：短期国际资本　切入点：汇率　出处：《财贸经济》2010年05期 　论文类型：期刊论文

【摘要】：本文通过理论分析探讨了短期国际资本流动、汇率及资产价格之间的相互关系,采用VAR模型实证分析了2005年汇改以来我国短期国际资本流动、汇率、股价和房价之间的动态关系。实证结果表明:短期国际资本流入会导致人民币汇率升值和市场对人民币升值预期,还会导致股价和房价上涨;而人民币升值、升值预期以及股价上涨都会造成短期国际资本流入;股价上涨会导致房价上涨;房价的上涨会导致资本流出,股价下跌。为了更好地应对国际资本流动的冲击,我国必须完善国内金融体系和经济体系;在制定货币政策时,既要考虑国外货币政策的溢出效应,又要顾及国内货币政策的独立性。
[Abstract]:This paper discusses the relationship among short-term international capital flows, exchange rates and asset prices through theoretical analysis, and uses VAR model to empirically analyze the short-term international capital flows and exchange rates in China since the exchange rate reform in 2005. The dynamic relationship between stock prices and house prices. The empirical results show that short-term international capital inflows will lead to the appreciation of the RMB exchange rate and the expectation of appreciation of the RMB, as well as the rise of stock prices and house prices; while the appreciation of the RMB will lead to the appreciation of the RMB. Both rising expectations and rising share prices will result in short-term international capital inflows; rising share prices will lead to higher house prices; rising house prices will lead to capital outflows, and share prices will fall. In order to better cope with the impact of international capital flows, Our country must perfect the domestic financial system and economic system, when making monetary policy, we should not only consider the spillover effect of foreign monetary policy, but also take into account the independence of domestic monetary policy.
【作者单位】：厦门大学经济学院;厦门大学经济学院金融系;
【基金】：国家社科基金项目“中国外汇储备风险测度及管理研究”(项目批准号:07BJY157)的阶段性研究成果
【分类号】：F832.6;F224

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