人民币升值对中国短期国际资本流动的影响研究

发布时间：2018-01-20 04:15

本文关键词： 短期国际资本流动经常账户资本账户人民币预期升值率　出处：《江西财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着我国经济日益融入世界经济体系以及政府部门逐步开放资本账户，通过各种渠道进出我国的短期资本规模不断扩大。短期国际资本流动普遍被认为波动性较强、流动规模变化较大、流动方向容易逆转，对一国实体经济与金融市场可能造成显著的负面冲击。2005年7月，货币当局对人民币汇率形成机制进行改革，加快了人民币升值速度。强烈的人民币升值预期进一步推动短期国际资本流入我国。本文将短期国际资本流动通过流入途径分为经常账户短期国际资本流动和资本账户短期国际资本流动，对两类短期国际资本流动进行了估算，试图通过实证模型分析人民币升值对两类短期国际资本流动的影响，进而根据实证结果以及两类账户的不同特点与管制情况提出相应的政策建议。国家外汇管理局去年编制了1998年至2011年的中国国际收支平衡表季度表，这为本文的研究提供了季度数据，使得本文可以更准确地计算两类短期国际资本流动高频数据。本文借鉴蒙代尔-弗莱明理论模型，选择人民币兑美元名义汇率、人民币预期收益率、国内外利差、以及国内股票市场价格与国内房地产市场价格为解释变量建立计量模型，并实证检验各影响因素对经常账户短期资本流动与资本账户短期资本流动两类短期国际资本流动的影响。实证结果表明人民币汇率预期升值率是对短期国际资本流动影响最大的因素，且名义汇率、人民币汇率预期升值率率对经常账户短期国际资本流动影响比对资本账户短期国际资本流动的影响更大。全文研究结果表明人民币兑美元名义汇率的单边上行对我国短期国际资本流动影响显著，且经常账户短期国际资本流动受人民币升值的影响要大于资本账户短期资本流动受人民币升值的影响。本文认为可能的原因是我国资本账户仍然存在管制，部分受到资本管制阻拦的资本迂回绕道通过经常账户流入我国。本文分为四个章节。第一章是绪论，包括文章撰写的相关研究背景以及文献综述。第二章是理论分析，详细论述了人民币升值对短期国际资本流动的影响的各个方面。第三章是基于变量、指标的合理选定及数据的可得性，建立短期资本流动影响模型，，并进行实证分析，得出实证结果。第四章则是总结全文结论并提出相关政策建议。
[Abstract]:As China's economy is increasingly integrated into the world economic system and government departments gradually open the capital account. The scale of short-term capital in and out of China is expanding through various channels. Short-term international capital flow is generally considered to be highly volatile, the scale of flow changes greatly, and the direction of flow is easily reversed. In July 2005, the monetary authorities reformed the mechanism of RMB exchange rate formation. This has accelerated the pace of appreciation of the renminbi, which is expected to further drive short-term international capital flows into China. In this paper, short-term international capital flows are divided into current account short-term international capital flows and capital account short-term international capital flows, and two types of short-term international capital flows are estimated. This paper attempts to analyze the impact of RMB appreciation on two types of short-term international capital flows through empirical models. According to the empirical results and the different characteristics of the two types of accounts and the control situation, the corresponding policy recommendations are put forward. The State Administration of Foreign Exchange compiled the quarterly statement of China's balance of payments account from 1998 to 2011 last year. . This provides quarterly data for this study, which makes this paper more accurate to calculate two types of short-term international capital flows high frequency data. This paper draws lessons from the Mondal-Fleming theory model. Choose the nominal exchange rate of RMB to the dollar, the expected rate of return of RMB, the domestic and foreign interest rate difference, as well as the domestic stock market price and the domestic real estate market price as the explanatory variables to establish the econometric model. The empirical results show that the expected appreciation rate of RMB exchange rate is the impact of the expected appreciation rate of RMB exchange rate on the short-term capital flows of the current account and the short-term capital flows of the capital account. Flow is the most influential factor. And nominal exchange rates. The expected appreciation rate of RMB exchange rate has a greater impact on short-term international capital flows in the current account than on short-term international capital flows in the capital account. China's short-term international capital flows have a significant impact. And the short-term international capital flow of the current account is influenced by RMB appreciation more than the short-term capital flow of the capital account is influenced by RMB appreciation. This paper thinks that the possible reason is that there are still controls on the capital account in China. Some of the capital detours blocked by capital controls flow into China through the current account. This paper is divided into four chapters. The first chapter is the introduction, including the writing of the relevant research background and literature review. The second chapter is the theoretical analysis. The third chapter is based on variables, reasonable selection of indicators and availability of data to establish a short-term capital flow impact model. Chapter 4th summarizes the conclusions of the full text and puts forward the relevant policy recommendations.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822;F832.6;F224

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