我国短期国际资本流动影响因素的实证研究

发布时间：2018-09-14 11:26

【摘要】：自21世纪以来,世界各国家之间的联系越来越紧密,科学技术的高速发展让“地球村”概念有实现的可能,世界经济一体化、金融市场全球化趋势日益凸显,国际资本也乘着这股东风顺势而起,以更大的资本规模和更高的流动速度在国际金融市场上大显身手,成为国家间经济联系的重要纽带之一。当然,它也对各老牌经济强国和新兴经济体都产生了深远的影响。我国是最大的发展中国家之一,近几十年的发展速度让世界都为之瞩目,特别是最近几年,西方其他国家因经济危机深陷各种困境,使我国一跃成为世界经济发展的新兴火车头,成为国际资本的聚集地之一。但是,我国在经济发展中遇到的一些问题也显现出大量短期国际资本流动带来的负面影响越来越显著：持续输入型的通货膨胀、不断扩大房地产价格泡沫、虚拟经济远超实体经济发展速度、货币政策效力不显、投机资本控制不力、人民币汇率不断升值等等。综合考虑短期国际资本流动给我国带来的影响,使我们不得不直接面对如何控制好短期国际资本流动、探究我国短期国际资本流动的影响因素、如何减小短期国际资本流动的负面效应等问题,这也成为当今我国学者的重要课题之一。本文希望通过引用传统的经济金融学理论,结合现代一些对于短期国际资本流动研究的文献资料,较为全面的梳理国际资本流动的历史脉络,为今后对短期国际资本的研究提供一些资料和参考。本文对于传统金融理论的继承与适当拓展的同时,进一步结合中国宏观经济的具体运行状况进行了一些实证分析,从而希望能找出影响我国短期国际资本流动的特殊因素和规律,为传统理论的发展尽一点绵薄之力。本文主要包括以下三个部分：第一部分,对有关短期国际资本流动的理论总结和文献研究。短期国际资本流动是国际资本流动的一种重要形式,影响国际资本流动的因素从理论上也应该是短期国际资本流动的影响因素,从最早的国际贸易理论到最新的金融危机理论都来看,实体经济发展速度,利率差和汇率差以及资本市场收益率是影响国际资本流动所公认的几个最主要因素,结合我国现状来看,由于我国资本市场还处于不完善状态,其发展速度和市场潜力不容忽视,所以本文在选取以上几个共通的变量之外还加入了资本市场发展速度这一变量并结合相关的理论和研究文献加以分析。第二部分,介绍我国短期国际资本流动的历史及现状,通过相关的资料和文献总结出我国短期国际资本流动的特点和进出途径,我国的短期国际资本流动显现出资本流动规模激增,方向多变的新特点,而其进出途径除了正常的汇入汇出外,经常项目下的外汇自由兑换,利用虚假交易、进出口伪报、所谓的“侨汇”以及捐赠款；资本项目下的虚假验资、虚假合同以及股权投资资金用作他途、外资或者是合资金融机构在境内外不同分支机构的资金转移实现短期国际资本的流入或流出以及很难被监管部门控制的地下钱庄等非正常途径也扩大了我国短期国际资本流动的规模。第三部分,实证部分选取汇差(EX)、利差(R_CPI)、我国经济发展速度(GROW).资本市场收益率(INDEX)以及我国资本市场发展程度(REP)作为考察我国短期国际资本流动的影响因素,运用相关的计量经济学方法,采用多元回归模型、GRANGER因果关系检验法、VAR模型。实证结论为：汇率因素是现阶段影响我国短期国际资本流动最重要的因素,而资本市场发展程度以及收益率也具有一定的影响,我国经济发展速度以及利率差因素却并没有体现出相应的效果。最终根据实证结果和之前的理论分析结合博弈论分析提出了一些政策建议：第一,完善汇率形成机制,增加人民币汇率弹性；第二,适当加快利率市场化进程,恢复利率渠道的调节功能;第三,进一步完善资本市场体制,有效发挥资本市场功能；第四,强化对短期国际资本的风险监管,提高资本投机成本,从而使得我国短期国际资本流动真正的为我国经济发展服务。
[Abstract]:Since the 21st century, the links between countries in the world have become more and more close. The rapid development of science and technology has made the concept of "global village" possible. With the integration of the world economy and the globalization of financial markets, international capital has risen with the tide of shareholders, with a larger scale of capital and a higher speed of flow in the world. The emergence of financial markets has become an important link in economic ties between countries. Of course, it has also had a profound impact on old-fashioned economic powers and emerging economies.
China is one of the largest developing countries. The speed of development in recent decades has attracted worldwide attention. Especially in recent years, other western countries have been in various difficulties because of the economic crisis, which has made China a new engine of world economic development and one of the places where international capital is concentrated. Some problems also show that a large number of short-term international capital flows have brought about more and more significant negative impacts: sustained imported inflation, expanding real estate price bubbles, virtual economy far exceeds the speed of real economic development, monetary policy effectiveness is not obvious, speculative capital control is not effective, the RMB exchange rate continues to appreciate and so on. Considering the impact of short-term international capital flows on China, we have to face the problems of how to control short-term international capital flows, explore the influencing factors of short-term international capital flows and how to reduce the negative effects of short-term international capital flows, which has become one of the important topics for Chinese scholars.
In this paper, we hope that by citing the traditional economic and financial theory, combining with some modern literature on short-term international capital flows, we can sort out the historical context of international capital flows in a more comprehensive way, and provide some information and reference for future research on short-term international capital. At the same time, this paper makes some empirical analysis on the specific operation of China's macro-economy, hoping to find out the special factors and laws that affect China's short-term international capital flows, and to contribute a little to the development of traditional theories.
This article mainly includes the following three parts:
The first part is a theoretical summary and literature study on short-term international capital flows. Short-term international capital flows are an important form of international capital flows, and the factors affecting international capital flows should theoretically be the factors affecting short-term international capital flows, from the earliest international trade theory to the latest financial crisis theory. On the whole, the real economic development speed, interest rate difference, exchange rate difference and the return rate of capital market are recognized as the most important factors affecting international capital flows. Considering the current situation of our country, because our capital market is still in an imperfect state, its development speed and market potential can not be ignored, so this paper selects the above several. In addition to the common variables, we also add the variable of the development speed of the capital market and analyze it with relevant theories and research literature.
The second part introduces the history and current situation of China's short-term international capital flows, summarizes the characteristics of China's short-term international capital flows and the ways of their entry and exit through relevant information and literature. China's short-term international capital flows show the new characteristics of the rapid increase in the scale of capital flows and the changeable direction of their entry and exit channels in addition to normal inward and outward remittances. Foreign exchange under current account is convertible freely, and short-term international capital is realized by means of false transactions, false import and export reports, so-called "overseas remittances" and donations; false capital verification under capital account, false contracts and equity investment funds are used for other purposes; and funds transferred by foreign capital or joint venture financial institutions from different branches at home and abroad are used to realize short-term international capital. The scale of China's short-term international capital flows is also enlarged by abnormal channels such as inflows and outflows and underground banks that are difficult to be controlled by regulatory authorities.
In the third part, the empirical part selects the exchange rate spread (EX), interest rate spread (R_CPI), China's economic growth rate (GROW), capital market return (INDEX) and China's capital market development level (REP) as the influencing factors to examine China's short-term international capital flows, using relevant econometric methods, using multiple regression model, GRANGER causality test. The empirical conclusion is that the exchange rate factor is the most important factor affecting China's short-term international capital flow at this stage, and the degree of development of the capital market and the rate of return also have a certain impact on China's economic development speed and interest rate spread factors have not shown the corresponding effect. Theoretical analysis and game theory analysis put forward some policy recommendations: first, improve the exchange rate formation mechanism, increase the RMB exchange rate elasticity; second, properly accelerate the process of interest rate marketization, restore the adjustment function of interest rate channels; third, further improve the capital market system, effectively play the role of the capital market; fourth, strengthen the short-term countries Risk supervision of international capital can raise the cost of capital speculation, so that China's short-term international capital flows can truly serve China's economic development.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.6

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