我国热钱流动的规模估算及其动因和影响分析

发布时间：2019-06-25 12:41

【摘要】：资本如水,流动是永恒的。近年,随着我国经济总量的持续扩大和外汇储备的大幅增加,以及世界金融逐渐向自由化和全球化方向发展,热钱的大规模流动也越来越频繁。追逐短期巨额收益的热钱大规模频繁进出一国的境内市场,可能会对该国的汇率、金融市场和实体经济造成强烈冲击。本文亦将关注的目光集中在我国热钱大规模高频率的流动方面。首先本文通过热钱的特点来区别和界定热钱的定义,同时根据我国国际收支账户特别是资本项目的特殊性来分析热钱在我国境内市场流动的隐藏渠道。然后本文根据各隐藏渠道的特点来还原了其隐藏的热钱规模,并结合间接法测算出每期的热钱流动规模。其中,贸易项目下隐藏的热钱规模的估算采用中国内地和香港间转口贸易统计差额的方法进行估算；FDI项目下采用BOP表统计值与实际投资额的差额进行估算；净误差与遗漏项目下隐藏的热钱规模的估算方法采用国际公认合理水平进行估算；地下钱庄项目下隐藏的热钱规模的估算方法采用调整因子进行估算。在已有的热钱规模估算结果的基础上,本文分析我国热钱流动的驱动因素,即“套利”、“套汇”和“套价”,建立三重套利模型进行格兰杰因果检验,确定人民币汇率变动为热钱流入我国的最主要驱动因素。最后针对目前热钱在我国的大规模流动本文分析了其对我国金融市场造成的影响,主要包括对我国人民币实际汇率的冲击、催生资产价格泡沫化以及央行货币政策调节困境等。
[Abstract]:Capital is like water, and the flow is eternal. In recent years, with the continuous expansion of China's total economic volume and the sharp increase of foreign exchange reserves, as well as the gradual development of world finance in the direction of liberalization and globalization, the large-scale flow of hot money is becoming more and more frequent. Hot money, which pursues huge short-term gains, flows into and out of a country's domestic markets on a large scale, which could have a strong impact on the country's exchange rate, financial markets and the real economy. This paper also focuses on the large-scale and high-frequency flow of hot money in China. First of all, this paper distinguishes and defines the definition of hot money through the characteristics of hot money, and analyzes the hidden channels of hot money flow in China's domestic market according to the particularity of China's balance of payments account, especially the capital account. Then, according to the characteristics of each hidden channel, this paper restores the hidden hot money scale, and calculates the flow scale of each phase of hot money by indirect method. Among them, the estimation of the hidden hot money scale under the trade project is estimated by the method of the statistical difference of the re-export trade between the mainland of China and Hong Kong, the difference between the statistical value of the BOP table and the actual investment under the FDI project, and the estimation method of the hidden hot money scale under the net error and omission item is estimated by the internationally recognized reasonable level. The estimation method of the hidden hot money scale under the underground bank project is estimated by the adjustment factor. On the basis of the existing estimation results of hot money scale, this paper analyzes the driving factors of hot money flow in China, that is, "arbitrage", "arbitrage" and "arbitrage", establishes a triple arbitrage model to carry out Granger causality test, and determines that the change of RMB exchange rate is the most important driving factor for the inflow of hot money into China. Finally, in view of the current large-scale flow of hot money in China, this paper analyzes its impact on China's financial market, including the impact on the real exchange rate of RMB in China, the emergence of asset price bubbles and the adjustment dilemma of central bank monetary policy, and so on.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.6

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