本文選題：短期國際資本流動(dòng) + 匯率��； 參考：《天津財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：2003年以后,全球經(jīng)濟(jì)的復(fù)蘇推動(dòng)了國際資本的流動(dòng),流入我國的國際資本明顯增加。尤其是2005年7月匯改后,人民幣升值預(yù)期強(qiáng)化,大規(guī)模短期國際資本頻繁進(jìn)出我國,尋求套利機(jī)會(huì)。由于缺乏有效的監(jiān)管體系,這些逐利性國際資本投向了包括股票和房地產(chǎn)市場在內(nèi)的高利潤部門,一旦經(jīng)濟(jì)形勢急轉(zhuǎn)直下,高度敏感的國際資本出逃,必定會(huì)威脅我國資本市場乃至實(shí)體經(jīng)濟(jì)的安全。以國際短期資本流動(dòng)為主線,在對(duì)基本內(nèi)涵、特征、方式和流入動(dòng)機(jī)以及渠道進(jìn)行闡述的基礎(chǔ)上,分析了國際短期資本流動(dòng)對(duì)我國股票和房地產(chǎn)價(jià)格影響的傳導(dǎo)機(jī)制,梳理短期國際資本流動(dòng)對(duì)經(jīng)濟(jì)的沖擊,為我國的短期國際資本流動(dòng)監(jiān)管提供了寶貴經(jīng)驗(yàn)。通過構(gòu)建向量自回歸模型,分階段對(duì)我國短期資本流動(dòng)與包括股票價(jià)格、房地產(chǎn)價(jià)格在內(nèi)的重要影響因素的相互關(guān)系進(jìn)行了實(shí)證檢驗(yàn)。格蘭杰因果關(guān)系檢驗(yàn)的結(jié)論認(rèn)為：人民幣匯率變動(dòng)是短期國際資本流動(dòng)及股票價(jià)格變動(dòng)的原因,匯率彈性空間擴(kuò)大后,股票價(jià)格變動(dòng)是房地產(chǎn)價(jià)格變動(dòng)的原因。預(yù)測方差的分解結(jié)論認(rèn)為：匯改初期,短期國際資本流動(dòng)的變動(dòng)除50%左右與自身有關(guān)外,資產(chǎn)價(jià)格的驅(qū)動(dòng)影響占比最大,為38%；匯率彈性空間擴(kuò)大后,短期國際資本流動(dòng)自身解釋能力達(dá)到82%,其余各因素的解釋能力占比較為平均。為了更好地應(yīng)對(duì)短期國際資本流動(dòng)對(duì)我國經(jīng)濟(jì)安全的沖擊,我國政府應(yīng)該在完善監(jiān)管配套機(jī)制的基礎(chǔ)上,加強(qiáng)對(duì)短期國際資本流動(dòng)渠道的監(jiān)管,建立動(dòng)態(tài)監(jiān)測機(jī)制,全面加強(qiáng)國際合作,并逐步增加其流動(dòng)成本。
[Abstract]:After 2003, the recovery of the global economy promoted the flow of international capital, and the flow of international capital into our country increased obviously. Especially in July 2005, the appreciation of RMB was expected to be strengthened, and the large-scale short-term international capital went into China frequently and sought arbitrage opportunities. The high profit sector, including the stock market and the real estate market, will threaten the security of China's capital market and the real economy once the economic situation turns straight down, and the international short-term capital flow is the main line and the basic connotation, characteristics, ways and inflow motives and channels are expounded. This paper analyzes the transmission mechanism of the influence of international short-term capital flows on China's stock and real estate prices, combs the impact of short-term international capital flows on the economy, and provides valuable experience for the short-term international capital flow regulation in China. The relationship between real estate prices and important factors is tested empirically. The conclusion of Grainger causality test is that the change of RMB exchange rate is the cause of short-term international capital flow and stock price change. After the expansion of exchange rate elastic space, the change of stock price is the cause of the change of real estate price. The conclusion is that in the early period of the reform, the changes in the short-term international capital flow in the short term are 50% and their own, and the driving influence of asset prices is the largest, which is 38%. After the expansion of the exchange rate elastic space, the explanation ability of the short-term international capital flow is 82% and the other factors account for the average. With the impact of short-term international capital flow on China's economic security, the government should strengthen the supervision of short-term international capital flow channels, establish a dynamic monitoring mechanism, strengthen international cooperation and gradually increase the cost of flow on the basis of perfecting the regulatory supporting mechanism.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.6

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本文編號(hào)：1912489