我国热钱的规模测算、流入动因及其影响的实证研究

发布时间：2018-03-15 04:08

本文选题：热钱　切入点：规模测算　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：向纵深发展的金融全球化为热钱跨境流动提供了巨大的机会,近年来,我国的资本市场环境也已成为吸引热钱流动的温床。热钱以最大限度地追逐短期收益为目的,其大规模流动对一国的实体经济和资本资产市场都造成剧烈冲击,尤其当热钱巨额流出时,可能引发资本流出国严重的金融危机。本文研究的重点是我国的热钱流动。首先本文对热钱的概念进行界定,并基于国际收支平衡表,梳理热钱流入我国的渠道。然后本文使用学术界广泛使用的直接法和间接法测算热钱流动规模,为克服两种方法的不足,本文又进一步在调整间接法的基础上对热钱流动规模进行重新估算。重新估算以热钱流入我国的渠道为依据,涉及调整外汇储备增加额、测算隐藏在贸易顺差和FDI中的热钱规模,以及通过地下钱庄流入的热钱规模。本文的第三章从理论和实证两方面分析热钱流动的影响因素,即利差收益率、汇差收益率、资产价格上涨收益和经济增长收益。实证研究部分利用2002-2012年月度数据,建立向量自回归(VAR)模型,结果表明,汇差收益率是影响我国热钱流动的最主要因素,人民币升值预期越强烈,热钱流入越多。热钱流入动因的实证分析表明资产价格上涨收益并非影响热钱流动的重要因素,但理论上热钱大规模流入可能催生资产价格泡沫。在第四章本文着重分析了热钱流动对股票价格和房地产价格的影响机制,并建立联立方程组模型进行实证研究。实证结果表明,热钱流动与股价之间存在显著的正相关关系,热钱流入会推动股票价格上涨；但热钱流动与房价之间不存在显著的相关性。最后本文针对我国热钱流入的渠道和驱动因素,借鉴热钱流动监管的国际经验,提出了疏堵结合的政策建议。
[Abstract]:The deep development of financial globalization provides a great opportunity for the cross-border flow of hot money. In recent years, China's capital market environment has also become a hotbed for attracting hot money flows. Its large-scale flows have had a severe impact on both the real economy and the capital asset markets of a country, especially when large amounts of hot money flow out. This paper focuses on the hot money flow in China. Firstly, this paper defines the concept of hot money, and based on the balance of payments statement, Combing the channels through which hot money flows into our country. Then this paper uses the direct and indirect methods widely used in academic circles to calculate the scale of hot money flows, in order to overcome the shortcomings of the two methods. On the basis of adjusting indirect method, this paper further reestimates the scale of hot money flow. The revaluation is based on the channel of hot money flowing into China, and involves adjusting the increase of foreign exchange reserves. Calculate the scale of hot money hidden in trade surplus and FDI, as well as the scale of hot money flowing through underground banks. The third chapter analyzes the influencing factors of hot money flow, that is, the rate of interest difference, the rate of exchange difference, the rate of return of exchange difference, the theoretical and empirical aspects of the flow of hot money. Based on the monthly data from 2002 to 2012, the VAR model is established. The results show that the rate of return on exchange difference is the most important factor affecting the flow of hot money in China. The stronger the expectation of RMB appreciation, the more hot money inflow. However, in theory, the large-scale inflow of hot money may lead to asset price bubbles. In Chapter 4th, this paper focuses on the analysis of the influence mechanism of hot money flows on stock prices and real estate prices. The empirical results show that there is a significant positive correlation between the hot money flow and the stock price, and the inflow of hot money will promote the stock price to rise. However, there is no significant correlation between hot money flow and house price. Finally, aiming at the channel and driving factors of hot money inflow in China, this paper puts forward some policy suggestions on the combination of thinning and plugging according to the international experience of hot money flow supervision.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6;F299.23

【参考文献】