国际游资流入对我国股价和房价影响的研究

发布时间：2018-05-11 12:01

本文选题：国际游资 + 汇率　；参考：《南京财经大学》2012年硕士论文

【摘要】：2003年后，随着世界经济的复苏和全球资本流动的加快，流入我国的国际游资规模显著增加。尤其是2005年汇改后，在人民币升值预期的背景下，大量国际游资在我国频繁过境，以寻求套利机会。由于国内缺乏有效的监管体系，这些游资大部分投向了股票和房地产等高利润部门，一旦经济风向逆转，这些巨额资本出逃，必定给我国的虚拟经济乃至实体经济带来巨大的风险。本文以国际游资为主线，在对其基本内涵、特征、来源和流入动机及路径进行阐述的基础上，从理论模型、传导机制以及现实分析三个方面剖析了国际游资对我国股票和房地产价格的影响。理论模型以CLR模型为主，传导机制主要借鉴国际游资对非贸易品价格影响的分析，现实分析着重阐述了国际游资对我国股票和房地产市场的影响。本文的实证部分主要对国际游资、股价和房价的关系进行检验。文章首先按照“调整后的外汇储备增加额-调整后的贸易顺差-FDI+FDI中热钱”这一公式对国际游资规模进行了核算。实证检验大致分为两个部分：第一，使用基于VAR模型的Granger因果关系检验、脉冲响应分析和方差分解对国际游资、汇率、上证综指和商品房价格的关联性进行初步分析，结论认为：人民币升值是国际游资流入的主要原因，国际游资流入对房价的影响远大于股价，同时，房价和股价的部分替代作用也使房价的上涨助推了股价的上涨；第二，对股价和房价进行HP滤波分离出趋势成分和波动成分与国际游资的变动进行相关性检验。结果表明，国际游资不仅引起了房价上涨的趋势，还造成了房价的波动，而国际游资仅在10%的显著性水平下才会引起股价的波动。本文的某些结论与之前学者做出的分析稍有不同，可能是选取的变量指标和研究方法不同造成的。最后，本文根据理论和实证部分得出的结论，，对国际游资的流入问题提出了相应的政策建议。
[Abstract]:After 2003, with the recovery of world economy and the acceleration of global capital flow, the scale of international hot money flowing into China has increased significantly. Especially after the exchange rate reform in 2005, under the background of RMB appreciation expectation, a large amount of international hot money transited frequently in China in order to seek arbitrage opportunities. Due to the lack of an effective regulatory system at home, most of the money has gone to high-profit sectors such as stocks and real estate, and once the economic winds have reversed, these huge amounts of capital have fled. It will bring great risks to the virtual economy and even the real economy of our country. This article takes international hot money as the main line, on the basis of expounding its basic connotation, characteristics, source, inflow motive and path, from the theoretical model, This paper analyzes the influence of international hot money on Chinese stock and real estate price from three aspects: conduction mechanism and realistic analysis. The theoretical model is based on CLR model, and the transmission mechanism is mainly based on the analysis of the influence of international hot money on the price of non-tradable goods. The realistic analysis focuses on the impact of international hot money on China's stock and real estate markets. The empirical part of this paper mainly tests the relationship among international hot money, stock price and house price. The paper first calculates the scale of international hot capital according to the formula of "adjusted increase of foreign exchange reserve-adjusted trade surplus-hot money in FDI". The empirical test is divided into two parts: first, using Granger causality test based on VAR model, impulse response analysis and variance decomposition to analyze the correlation between international floating capital, exchange rate, Shanghai Composite Index and commodity housing price. The conclusion is that the appreciation of RMB is the main reason for the international floating capital inflow. The impact of the international floating capital inflow on the house price is far greater than that of the stock price. At the same time, the partial substitution effect of the house price and the stock price also makes the rise of the house price contribute to the rise of the stock price. Second, HP filter is used to separate the trend component and fluctuating component of stock price and house price and the correlation test is carried out between the trend component and the fluctuation of international hot capital. The results show that the international hot money not only causes the rising trend of house price, but also causes the fluctuation of house price, while the international floating capital only causes the fluctuation of stock price at the significant level of 10%. Some of the conclusions in this paper are slightly different from the previous analysis, which may be caused by the different variable indexes and research methods. Finally, based on the theoretical and empirical conclusions, this paper puts forward corresponding policy recommendations on the inflow of international hot money.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F831.7;F832.51;F293.3;F224

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