基于四重动因的我国短期国际资本流动的研究

发布时间：2018-01-11 18:18

本文关键词：基于四重动因的我国短期国际资本流动的研究　出处：《山东财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着经济全球化和金融网络化的不断发展，资本开始在全球范围内配置，寻求套利、获利的机会。新兴市场国家由于其潜在的发展能力突出，套利、获利机会大，因而特别受到国际资本的青睐。但是，一方面，美国在逐渐退出量化宽松经济刺激政策的同时欧洲各国和日本仍然沉浸在货币狂欢之中。另一方面，我国房地产市场、外汇市场、股票市场震荡加剧。可以预见，面对政策和经济的不确定性，资本跨国流动的速度会越来越快。但是，大规模资本的快进快出必然会对一国的经济稳定、货币政策有效性、金融系统的安全性甚至政治的稳定性都带来了巨大的挑战。特别是，经济势头逆转之后的集体撤离行为会严重影响一国的经济、金融的稳定甚至会引发经济危机。因此，本文旨在对短期国际资本流动的动因进行全面而深入的分析，以便能更好的认识短期国际资本，从而能够更合理的引导短期国际资本流动。全文主要分为六大章节。第一章节概述了本文的选题背景和研究意义。其次，梳理了国内外关于国际资本流动影响因素的文献综述，并对其简要评述，提出了本文研究的重点和创新点。第二、三章分别详尽阐述了国际资本流动理论的发展脉络和短期国际资本在我国流动的两个鲜明阶段。第四、第五章是本文的主体部分。在分析了短期国际资本流入我国的套利、套汇、套价、避险动因基础上，通过VAR模型、格兰杰因果检验、脉冲响应、方差分解实证研究了国际资本流入我国的主要动因。实证结果显示，人民币预期汇率变动（套汇动因）、反映投资者风险态度的美国10年期国债收益率变化（避险动因）、中美房地产价格收益率变化（套价动因）是影响我国短期国际资本流动的主要动因，而中美利率之差（套利动因）、中美股票市场收益率变化（套价动因）则对资本在我国的流入和流出影响并不明显。第六章则在分析了短期国际资本对我国宏观经济的影响及影响机制的基础上，，根据实证检验结果提出，我国政府应该灵活运用利率政策、适度的扩大人民币汇率的波动范围，完善资本流动的跨境监管机制等综合措施有效的引导短期资本流动，减轻和缓和短期资本对我国经济、金融稳定的冲击。
[Abstract]:With the continuous development of economic globalization and financial networking, capital began to be allocated in the global scope, seeking arbitrage, profit opportunities. Emerging market countries because of its potential development capacity outstanding arbitrage. The opportunity for profit is great and therefore particularly favored by international capital. However, on the one hand. While the United States gradually withdrew from the quantitative easing economic stimulus, European countries and Japan are still immersed in the monetary carnival. On the other hand, China's real estate market, the foreign exchange market. Volatility in the stock market has intensified. It is foreseeable that in the face of policy and economic uncertainty, capital flows across borders will become faster and faster. However, the rapid entry and exit of large-scale capital will inevitably bring great challenges to a country's economic stability, the effectiveness of monetary policy, the security of the financial system and even the political stability. The collective withdrawal after the reversal of economic momentum will seriously affect a country's economy, financial stability and even lead to economic crisis. This paper aims to conduct a comprehensive and in-depth analysis of the causes of short-term international capital flows in order to better understand short-term international capital flows and guide them more reasonably. This paper is divided into six chapters. The first chapter summarizes the background and research significance of this paper. Secondly, combing the domestic and foreign literature on the factors affecting international capital flows, and briefly comments on it. Chapter two and three elaborate the development of international capital flow theory and two distinct stages of short-term international capital flow in China. Chapter 4th, 5th is the main part of this paper. Based on the analysis of short-term international capital inflows into China, arbitrage, arbitrage, hedging, risk aversion, VAR model, Granger causality test, impulse response. The empirical results show that the expected exchange rate of RMB (arbitrage) is the main reason for the inflow of international capital into China. The change of 10-year Treasury bond yield which reflects investors' risk attitude and the change of real estate price return rate in China and America are the main factors that affect the short-term international capital flow of our country. However, the difference of interest rate between China and the United States (arbitrage motivation) and the change of return rate in the stock market of China and the United States have little effect on the inflow and outflow of capital in China. Based on the analysis of the impact of short-term international capital on China's macroeconomic and its impact mechanism, Chapter 6th puts forward that our government should use interest rate policy flexibly according to the empirical results. To expand the fluctuation range of RMB exchange rate, improve the cross-border supervision mechanism of capital flow and other comprehensive measures to effectively guide short-term capital flows, mitigate and mitigate the impact of short-term capital on China's economic and financial stability.
【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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