本文關鍵詞： 熱錢 結構轉變 向量誤差修正模型　出處：《吉林大學》2014年碩士論文　論文類型：學位論文

【摘要】：2007年2月美國次級貸款質量問題浮出水面，2007年4月4日美國次貸危機正式爆發(fā)，2007年世界股指均出現(xiàn)大幅下滑，2008年開始，美聯(lián)儲緊急大幅降息75個基點，中美利率開始出現(xiàn)倒掛，2008年4月8日，IMF稱全球次貸虧損一萬億美元，2008年9月15日雷曼兄弟宣布破產(chǎn)。而與此同時，2007年，中央銀行10次提高銀行法定準備金率，5次提高利息率，2010年6月實行二次匯改，進一步加大了人民幣彈性。在2009年以來，歐美發(fā)達國家通過向金融市場投放流動性為代價的量化寬松貨幣政策來使經(jīng)濟復蘇，造成了熱錢在市場上的活躍，增加了我國的熱錢監(jiān)控壓力，對我國造成了非常不利的影響。本文旨在研究熱錢規(guī)模流動趨勢以及熱錢影響因素，研究得出我國今后在面對危機時應針對哪些方面對熱錢進行控制。 本文將從（1）熱錢的規(guī)模測算方式；（2）熱錢規(guī)模流動趨勢分解；（3）時間序列結構轉變檢驗；（4）熱錢規(guī)模長期均衡關系；（5）熱錢規(guī)模短期波動效應；（6）熱錢影響的主要因素這幾個方面進行研究。在直接法、間接法、全口徑測算方式這三種方式比較下最終選擇間接法作為接下來研究的依據(jù)。而BP濾波方法將熱錢規(guī)模進行趨勢分解后發(fā)現(xiàn)，中國的熱錢規(guī)模正處于大量流出的長期趨勢，而短期波動幅度也有明顯加大，這說明我國依然是一個很大的熱錢集散地市場，并且我國熱錢壓力正在增大，加大了監(jiān)管的難度。接著，我們選用GDP增長率、CPI增長率、中美利率差、NDF（美元兌人民幣遠期（一年期）匯率）、上證A股綜指、國房景氣指數(shù)作為具有代表性的研究變量對熱錢流動進行實證分析。通過Bai-Perron結構轉變檢驗又發(fā)現(xiàn)，我國的熱錢系統(tǒng)在經(jīng)歷了全球性的次貸危機后并沒有出現(xiàn)結構轉變，即熱錢投資的選擇模式并沒有改變。通過協(xié)整檢驗發(fā)現(xiàn)的五個長期均衡關系表明中美利率差、GDP增長率是推動整個系統(tǒng)變化的最主要因素。用向量誤差修正模型繼續(xù)探討熱錢的短期波動影響因素，，其中只有NDF和國房景氣指數(shù)是對熱錢流動短期波動產(chǎn)生影響的因素。另外，國房景氣指數(shù)是比較重要的影響因素，不論是脈沖檢驗還是方差分解都體現(xiàn)出國房景氣指數(shù)解釋了大部分的影響變化。基于以上結論，本文提出了努力維持我國宏觀環(huán)境的穩(wěn)定；維持國內金融系統(tǒng)的穩(wěn)定，尤其是利率和匯率；維持房地產(chǎn)市場的合理增長等政策建議。
[Abstract]:In February 2007, the quality of subprime loans in the United States came to the surface. In April 4th 2007, the subprime mortgage crisis officially broke out in the United States. In 2007, the world stock indexes all showed a sharp decline. Since 2007, the Federal Reserve has cut interest rates by 75 basis points in an emergency manner. Interest rates in China and the United States began to rise upside down, with the IMF saying a $1 tillion global subprime loss on April 8th 2008 and Lehman Brothers' bankruptcy on September 15th 2008. Meanwhile, in 2007, The Central Bank raised the bank's legal reserve ratio five times and the interest rate five times. In June 2010, the Central Bank implemented a second exchange rate reform, which further increased the flexibility of the renminbi. Since 2009, Developed countries in Europe and the United States have made the economic recovery by pouring liquidity into the financial market at the expense of quantitative easing monetary policy, which has caused hot money to become active in the market and increased the pressure on our country to monitor hot money. The purpose of this paper is to study the trend of hot money flow and the influencing factors of hot money, and to find out which aspects of hot money should be controlled in the future in the face of crisis. In this paper, we will analyze the scale of hot money (1) the scale of hot money (2) the trend of flow of hot money (3) the structural transformation of time series, test the long-term equilibrium relationship of scale of hot money (5) the effect of short-term fluctuation of hot money scale and the influence of hot money on the main factors. Several aspects of the study. In the direct method, The indirect method, the full caliber measurement method and the final selection of the indirect method as the basis for the next research under the comparison of the three methods, and the BP filtering method, after the trend decomposition of the scale of hot money, was found. The scale of hot money in China is in the long-term trend of a large outflow, and the short-term fluctuations have also increased significantly. This shows that China is still a large hot money distribution center market, and the pressure on hot money in our country is increasing. We then chose the GDP growth rate to match the GDP growth rate, the China-US interest rate difference, the forward (one-year) rate of the US dollar to the renminbi, and the Shanghai A-share Composite. The national housing boom index is used as a representative research variable to analyze the hot money flow. Through the Bai-Perron structural transformation test, it is found that the hot money system of our country has not experienced the structural change after the global subprime mortgage crisis. That is, the choice mode of hot money investment has not changed. The five long-term equilibrium relations found by cointegration test show that the growth rate of GDP of interest rate difference between China and the United States is the most important factor to promote the whole system change. The vector error correction model is followed by the vector error correction model. Continue to explore the factors that affect the short-term fluctuations of hot money, Among them, only NDF and the national housing boom index are the factors that affect the short-term fluctuations of hot money flows. In addition, the national housing boom index is a relatively important factor. Both pulse test and variance decomposition show that the national housing boom index explains most of the changes. Based on the above conclusions, this paper proposes to maintain the stability of the macro environment of our country; to maintain the stability of the domestic financial system. In particular, interest rates and exchange rates; to maintain reasonable growth in the real estate market and other policy recommendations.
【學位授予單位】：吉林大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F224;F832.6

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