中国短期国际资本流动动因研究

发布时间：2018-01-07 07:44

本文关键词：中国短期国际资本流动动因研究　出处：《北京交通大学》2017年硕士论文　论文类型：学位论文

【摘要】：随着全球经济、金融一体化的不断发展,资本在全球范围内的流动变得愈发频繁,科技的发展使得资本可以在短时间内实现跨境转移,逐渐表现出短期化的特征。近年来,随着美联储退出量化宽松政策,开启加息周期,人民币面临贬值压力,我国资本出现明显外流,其中不乏大量短期国际资本的流出。短期国际资本大进大出,会对一国经济的稳定发展造成严重的负面影响。在此背景下,探讨我国短期国际资本流动的驱动因素具有十分重要的价值。本文以短期国际资本的经典动因理论为基础,借鉴国内外学者研究成果,选取利率市场、汇率市场、股票市场、房地产市场、避险情绪、经济增长率以及制度政策作为主要研究方向,从中选取合适的指标,以所选指标2003.1-2016.8期间的月度数据作为样本数据,对数据进行初步分析之后,采用计量分析的方法进行实证研究,通过向量自回归(VAR)模型和时变参数向量自回归(TVP-VAR)模型,结合我国现实情况,探讨影响我国短期国际资本流动的主要因素。研究结论:通过VAR模型进行实证,得出人民币升值预期、中美利差、股市收益率是影响我国短期国际资本流动的主要因素,其中,方差分解结果显示人民币升值预期的解释程度最高,是最主要的影响因素。之后,选取中美利差、人民币升值预期和股市收益率作为主要指标,构建包含四个变量的TVP-VAR模型。实证结果说明人民币升值预期对短期国际资本的影响存在明显的时变特征,而中美利差和股市收益率指标存在时变效应,但不明显。美国退出量化宽松政策对我国短期国际资本流动产生了明显的影响,放大了短期国际资本对于所选指标的脉冲响应程度。未来,开放是大势所趋,短期资本进出我国的障碍将会逐渐减少。资本账户开放应遵循循序渐进的原则,开放进程不宜过快,应逐步降低资本管制程度,努力完善宏观审慎视角下的短期资本的管理工作,增强宏观经济政策和管理工具的协调配合,防范短期国际资本对我国经济金融体系的冲击。
[Abstract]:With the continuous development of global economic and financial integration, the flow of capital in the global scope has become increasingly frequent, the development of science and technology that can realize the cross-border transfer of capital in a short period of time, gradually showing the characteristics of short-term. In recent years, with the Fed's exit quantitative easing, opening the RMB interest rate hike cycle, downward pressure. China's capital outflow appeared, including a large number of short-term international capital outflows. The short-term international capital in great quantities, will cause serious negative impact on the stable development of the economy of a country. Under this background, it has very important value to explore the driving factors of the short-term international capital flows of China. This paper is based on the classical theory reason of short-term international capital, research of scholars at home and abroad, choose the interest rate market, the exchange rate market, stock market, real estate market, hedge sentiment, economic growth rate System and policy as the main research direction, selecting the appropriate index in the selected index during 2003.1-2016.8 monthly data as the sample data, after a preliminary analysis of the data, using quantitative analysis method of empirical research, through vector autoregressive (VAR) model and time-varying parameter vector autoregressive (TVP-VAR) model. According to the practical situation of our country, explore the main factors influencing the short-term international capital flows of China. The empirical research conclusion: through the VAR model, the expectation of RMB appreciation, interest rate, stock market returns are the main factors that affect China's short-term international capital flows, the variance decomposition results show that the RMB appreciation is expected to explain the highest level it is the main factor. After the selection of Sino US spreads, RMB appreciation and the stock market yield as the main index, the construction contains four variables TVP-VAR Model. The empirical results show that the effect of the RMB appreciation on short-term international capital has obvious time-varying characteristics, while the U.S. interest rate and stock market yield index time-varying effect, but not obvious. The United States withdraw from the quantitative easing policy impact significantly on China's short-term international capital flows, short-term international capital for pulse amplification the response degree of selected indicators. The future is open, short-term capital in China represent the general trend, import barriers will be reduced gradually. The opening of the capital account should follow the principle of gradual opening process, should not be too fast, should gradually reduce the degree of capital control, efforts to improve the macro Prudential perspective of short-term capital management, strengthen macroeconomic policy coordination and management tools, to prevent the impact of short-term international capital to China's economic and financial system.

【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6

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