我国热钱流动规模的测算及影响因素的实证分析
发布时间：2019-02-09 17:47
【摘要】：当今世界经济全球化、金融自由化趋向明显，短期资本的大规模流动成为常态。并且随着世界证券市场以及金融衍生品市场的发展，热钱流动规模日趋庞大，短期国际资本中的热钱已经成为影响世界资本市场的重要力量，不仅对国家的经济发展、对外贸易以及金融政策产生巨大影响，而且严重干扰了一国的市场稳定以及金融秩序。从我国发展实际来看，我国资本管制逐渐弱化，热钱流动的显性及隐形障碍逐渐清除，热钱因为套利、套汇以及套价的动机而大肆涌入中国，对我国的宏观经济政策的制定以及资产价格泡沫都产生了巨大的影响，而且热钱逆转隐含着巨大的金融风险。研究热钱的规模以及动因很有必要。 本文研究的总体思路是基于国内外关于热钱的概念、动因等理论研究的基础之上，进一步在既存的热钱测度方法上进行改进，，利用相应的方法测量热钱的规模，然后分析热钱流动的套利、套汇以及套价三大动因，对其进行实证检验。 关于热钱测度的具体方法，本文是在直接法以及间接法的基础之上，探讨了热钱流动的隐藏渠道，并结合实际提出本研究测度热钱的具体计算公式。三种方法测得的结果有着一定的区别，但在流动的总体趋势上比较相似。 关于影响因素的分析，本文在我国热钱流动现状及特点的基础之上，建立三重套利模型，利用VAR模型、脉冲响应及格兰杰因果检验等手段，探讨了影响热钱流动的套利、套汇以及套价三大动机，结果显示：（1）人民币升值预期是热钱流入的主要原因，人民币升值预期在很大程度上决定了热钱的流动；并且当滞后期提高到8或者更高时，热钱的流入会对人民币造成升值压力。（2）中美间利差对于热钱流入的影响较小，同时热钱了流入不会对中美利差造成影响。（3）资产价格的上涨不是热钱流入的初始目的，但是在热钱流入一段时间后确实进入了房地产市场，加剧了房地产市场的价格上涨。
[Abstract]:With the globalization of the world economy and the trend of financial liberalization, the large-scale flow of short-term capital has become the norm. With the development of the world security market and the financial derivatives market, the scale of hot money flow is becoming larger and larger. The hot money in the short-term international capital has become an important force affecting the world capital market, not only to the economic development of the country. Foreign trade and financial policies have a great impact, and seriously disturb a country's market stability and financial order. From the development reality of our country, the capital control in our country has gradually weakened, the explicit and invisible obstacles to hot money flow have been gradually removed, and hot money has poured into China because of the motives of arbitrage, arbitrage and arbitrage. It has a great influence on the formulation of macroeconomic policy and asset price bubble in China, and the reversal of hot money implies huge financial risk. It is necessary to study the scale and motivation of hot money. The general idea of this paper is to improve the existing hot money measurement method and measure the scale of hot money by using the corresponding methods based on the theoretical research on the concept and motivation of hot money at home and abroad. Then, the paper analyzes the arbitrage, arbitrage and price of hot money flow, and makes an empirical test. On the basis of direct method and indirect method, this paper discusses the hidden channel of hot money flow, and puts forward the concrete calculation formula of measuring hot money. The results obtained by the three methods have some differences, but the general trend of flow is similar. On the basis of the current situation and characteristics of hot money flow in China, a triple arbitrage model is established. By means of VAR model, pulse response and Granger causality test, the arbitrage that affects hot money flow is discussed. The results show that: (1) the expectation of RMB appreciation is the main reason for the inflow of hot money, and the expectation of RMB appreciation largely determines the flow of hot money; And when the lag is increased to 8 or higher, the inflow of hot money will cause appreciation pressure on the RMB. (2) the interest rate difference between China and the United States has little effect on the inflow of hot money. At the same time, the inflow of hot money will not affect the interest rate difference between China and the United States. (3) the rise in asset prices is not the initial purpose of the inflow of hot money, but it did enter the real estate market after a period of hot money inflows. The price rise in the real estate market has been exacerbated.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6
本文编号：2419227
[Abstract]:With the globalization of the world economy and the trend of financial liberalization, the large-scale flow of short-term capital has become the norm. With the development of the world security market and the financial derivatives market, the scale of hot money flow is becoming larger and larger. The hot money in the short-term international capital has become an important force affecting the world capital market, not only to the economic development of the country. Foreign trade and financial policies have a great impact, and seriously disturb a country's market stability and financial order. From the development reality of our country, the capital control in our country has gradually weakened, the explicit and invisible obstacles to hot money flow have been gradually removed, and hot money has poured into China because of the motives of arbitrage, arbitrage and arbitrage. It has a great influence on the formulation of macroeconomic policy and asset price bubble in China, and the reversal of hot money implies huge financial risk. It is necessary to study the scale and motivation of hot money. The general idea of this paper is to improve the existing hot money measurement method and measure the scale of hot money by using the corresponding methods based on the theoretical research on the concept and motivation of hot money at home and abroad. Then, the paper analyzes the arbitrage, arbitrage and price of hot money flow, and makes an empirical test. On the basis of direct method and indirect method, this paper discusses the hidden channel of hot money flow, and puts forward the concrete calculation formula of measuring hot money. The results obtained by the three methods have some differences, but the general trend of flow is similar. On the basis of the current situation and characteristics of hot money flow in China, a triple arbitrage model is established. By means of VAR model, pulse response and Granger causality test, the arbitrage that affects hot money flow is discussed. The results show that: (1) the expectation of RMB appreciation is the main reason for the inflow of hot money, and the expectation of RMB appreciation largely determines the flow of hot money; And when the lag is increased to 8 or higher, the inflow of hot money will cause appreciation pressure on the RMB. (2) the interest rate difference between China and the United States has little effect on the inflow of hot money. At the same time, the inflow of hot money will not affect the interest rate difference between China and the United States. (3) the rise in asset prices is not the initial purpose of the inflow of hot money, but it did enter the real estate market after a period of hot money inflows. The price rise in the real estate market has been exacerbated.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6
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