国际短期资本流动对我国资产价格的影响研究

发布时间：2018-05-20 01:05

本文选题：短期国际资本流动 + 汇率　；参考：《天津财经大学》2014年硕士论文

【摘要】：2003年以后,全球经济的复苏推动了国际资本的流动,流入我国的国际资本明显增加。尤其是2005年7月汇改后,人民币升值预期强化,大规模短期国际资本频繁进出我国,寻求套利机会。由于缺乏有效的监管体系,这些逐利性国际资本投向了包括股票和房地产市场在内的高利润部门,一旦经济形势急转直下,高度敏感的国际资本出逃,必定会威胁我国资本市场乃至实体经济的安全。以国际短期资本流动为主线,在对基本内涵、特征、方式和流入动机以及渠道进行阐述的基础上,分析了国际短期资本流动对我国股票和房地产价格影响的传导机制,梳理短期国际资本流动对经济的冲击,为我国的短期国际资本流动监管提供了宝贵经验。通过构建向量自回归模型,分阶段对我国短期资本流动与包括股票价格、房地产价格在内的重要影响因素的相互关系进行了实证检验。格兰杰因果关系检验的结论认为：人民币汇率变动是短期国际资本流动及股票价格变动的原因,汇率弹性空间扩大后,股票价格变动是房地产价格变动的原因。预测方差的分解结论认为：汇改初期,短期国际资本流动的变动除50%左右与自身有关外,资产价格的驱动影响占比最大,为38%；汇率弹性空间扩大后,短期国际资本流动自身解释能力达到82%,其余各因素的解释能力占比较为平均。为了更好地应对短期国际资本流动对我国经济安全的冲击,我国政府应该在完善监管配套机制的基础上,加强对短期国际资本流动渠道的监管,建立动态监测机制,全面加强国际合作,并逐步增加其流动成本。
[Abstract]:After 2003, the recovery of the global economy promoted the flow of international capital, and the flow of international capital into our country increased obviously. Especially in July 2005, the appreciation of RMB was expected to be strengthened, and the large-scale short-term international capital went into China frequently and sought arbitrage opportunities. The high profit sector, including the stock market and the real estate market, will threaten the security of China's capital market and the real economy once the economic situation turns straight down, and the international short-term capital flow is the main line and the basic connotation, characteristics, ways and inflow motives and channels are expounded. This paper analyzes the transmission mechanism of the influence of international short-term capital flows on China's stock and real estate prices, combs the impact of short-term international capital flows on the economy, and provides valuable experience for the short-term international capital flow regulation in China. The relationship between real estate prices and important factors is tested empirically. The conclusion of Grainger causality test is that the change of RMB exchange rate is the cause of short-term international capital flow and stock price change. After the expansion of exchange rate elastic space, the change of stock price is the cause of the change of real estate price. The conclusion is that in the early period of the reform, the changes in the short-term international capital flow in the short term are 50% and their own, and the driving influence of asset prices is the largest, which is 38%. After the expansion of the exchange rate elastic space, the explanation ability of the short-term international capital flow is 82% and the other factors account for the average. With the impact of short-term international capital flow on China's economic security, the government should strengthen the supervision of short-term international capital flow channels, establish a dynamic monitoring mechanism, strengthen international cooperation and gradually increase the cost of flow on the basis of perfecting the regulatory supporting mechanism.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6

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