發(fā)布時間：2018-05-11 12:01

  本文選題：國際游資 + 匯率　； 參考：《南京財經(jīng)大學(xué)》2012年碩士論文

【摘要】：2003年后，隨著世界經(jīng)濟的復(fù)蘇和全球資本流動的加快，流入我國的國際游資規(guī)模顯著增加。尤其是2005年匯改后，在人民幣升值預(yù)期的背景下，大量國際游資在我國頻繁過境，以尋求套利機會。由于國內(nèi)缺乏有效的監(jiān)管體系，這些游資大部分投向了股票和房地產(chǎn)等高利潤部門，一旦經(jīng)濟風(fēng)向逆轉(zhuǎn)，這些巨額資本出逃，必定給我國的虛擬經(jīng)濟乃至實體經(jīng)濟帶來巨大的風(fēng)險。 本文以國際游資為主線，在對其基本內(nèi)涵、特征、來源和流入動機及路徑進行闡述的基礎(chǔ)上，從理論模型、傳導(dǎo)機制以及現(xiàn)實分析三個方面剖析了國際游資對我國股票和房地產(chǎn)價格的影響。理論模型以CLR模型為主，傳導(dǎo)機制主要借鑒國際游資對非貿(mào)易品價格影響的分析，現(xiàn)實分析著重闡述了國際游資對我國股票和房地產(chǎn)市場的影響。 本文的實證部分主要對國際游資、股價和房價的關(guān)系進行檢驗。文章首先按照“調(diào)整后的外匯儲備增加額-調(diào)整后的貿(mào)易順差-FDI+FDI中熱錢”這一公式對國際游資規(guī)模進行了核算。實證檢驗大致分為兩個部分：第一，使用基于VAR模型的Granger因果關(guān)系檢驗、脈沖響應(yīng)分析和方差分解對國際游資、匯率、上證綜指和商品房價格的關(guān)聯(lián)性進行初步分析，結(jié)論認為：人民幣升值是國際游資流入的主要原因，國際游資流入對房價的影響遠大于股價，同時，房價和股價的部分替代作用也使房價的上漲助推了股價的上漲；第二，對股價和房價進行HP濾波分離出趨勢成分和波動成分與國際游資的變動進行相關(guān)性檢驗。結(jié)果表明，國際游資不僅引起了房價上漲的趨勢，還造成了房價的波動，而國際游資僅在10%的顯著性水平下才會引起股價的波動。本文的某些結(jié)論與之前學(xué)者做出的分析稍有不同，可能是選取的變量指標(biāo)和研究方法不同造成的。 最后，本文根據(jù)理論和實證部分得出的結(jié)論，，對國際游資的流入問題提出了相應(yīng)的政策建議。
[Abstract]:After 2003, with the recovery of world economy and the acceleration of global capital flow, the scale of international hot money flowing into China has increased significantly. Especially after the exchange rate reform in 2005, under the background of RMB appreciation expectation, a large amount of international hot money transited frequently in China in order to seek arbitrage opportunities. Due to the lack of an effective regulatory system at home, most of the money has gone to high-profit sectors such as stocks and real estate, and once the economic winds have reversed, these huge amounts of capital have fled. It will bring great risks to the virtual economy and even the real economy of our country. This article takes international hot money as the main line, on the basis of expounding its basic connotation, characteristics, source, inflow motive and path, from the theoretical model, This paper analyzes the influence of international hot money on Chinese stock and real estate price from three aspects: conduction mechanism and realistic analysis. The theoretical model is based on CLR model, and the transmission mechanism is mainly based on the analysis of the influence of international hot money on the price of non-tradable goods. The realistic analysis focuses on the impact of international hot money on China's stock and real estate markets. The empirical part of this paper mainly tests the relationship among international hot money, stock price and house price. The paper first calculates the scale of international hot capital according to the formula of "adjusted increase of foreign exchange reserve-adjusted trade surplus-hot money in FDI". The empirical test is divided into two parts: first, using Granger causality test based on VAR model, impulse response analysis and variance decomposition to analyze the correlation between international floating capital, exchange rate, Shanghai Composite Index and commodity housing price. The conclusion is that the appreciation of RMB is the main reason for the international floating capital inflow. The impact of the international floating capital inflow on the house price is far greater than that of the stock price. At the same time, the partial substitution effect of the house price and the stock price also makes the rise of the house price contribute to the rise of the stock price. Second, HP filter is used to separate the trend component and fluctuating component of stock price and house price and the correlation test is carried out between the trend component and the fluctuation of international hot capital. The results show that the international hot money not only causes the rising trend of house price, but also causes the fluctuation of house price, while the international floating capital only causes the fluctuation of stock price at the significant level of 10%. Some of the conclusions in this paper are slightly different from the previous analysis, which may be caused by the different variable indexes and research methods. Finally, based on the theoretical and empirical conclusions, this paper puts forward corresponding policy recommendations on the inflow of international hot money.
【學(xué)位授予單位】：南京財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F831.7;F832.51;F293.3;F224

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