發(fā)布時(shí)間：2019-02-09 17:47

【摘要】：當(dāng)今世界經(jīng)濟(jì)全球化、金融自由化趨向明顯，短期資本的大規(guī)模流動(dòng)成為常態(tài)。并且隨著世界證券市場(chǎng)以及金融衍生品市場(chǎng)的發(fā)展，熱錢(qián)流動(dòng)規(guī)模日趨龐大，短期國(guó)際資本中的熱錢(qián)已經(jīng)成為影響世界資本市場(chǎng)的重要力量，不僅對(duì)國(guó)家的經(jīng)濟(jì)發(fā)展、對(duì)外貿(mào)易以及金融政策產(chǎn)生巨大影響，而且嚴(yán)重干擾了一國(guó)的市場(chǎng)穩(wěn)定以及金融秩序。從我國(guó)發(fā)展實(shí)際來(lái)看，我國(guó)資本管制逐漸弱化，熱錢(qián)流動(dòng)的顯性及隱形障礙逐漸清除，熱錢(qián)因?yàn)樘桌�、套匯以及套價(jià)的動(dòng)機(jī)而大肆涌入中國(guó)，對(duì)我國(guó)的宏觀經(jīng)濟(jì)政策的制定以及資產(chǎn)價(jià)格泡沫都產(chǎn)生了巨大的影響，而且熱錢(qián)逆轉(zhuǎn)隱含著巨大的金融風(fēng)險(xiǎn)。研究熱錢(qián)的規(guī)模以及動(dòng)因很有必要。 本文研究的總體思路是基于國(guó)內(nèi)外關(guān)于熱錢(qián)的概念、動(dòng)因等理論研究的基礎(chǔ)之上，進(jìn)一步在既存的熱錢(qián)測(cè)度方法上進(jìn)行改進(jìn)，，利用相應(yīng)的方法測(cè)量熱錢(qián)的規(guī)模，然后分析熱錢(qián)流動(dòng)的套利、套匯以及套價(jià)三大動(dòng)因，對(duì)其進(jìn)行實(shí)證檢驗(yàn)。 關(guān)于熱錢(qián)測(cè)度的具體方法，本文是在直接法以及間接法的基礎(chǔ)之上，探討了熱錢(qián)流動(dòng)的隱藏渠道，并結(jié)合實(shí)際提出本研究測(cè)度熱錢(qián)的具體計(jì)算公式。三種方法測(cè)得的結(jié)果有著一定的區(qū)別，但在流動(dòng)的總體趨勢(shì)上比較相似。 關(guān)于影響因素的分析，本文在我國(guó)熱錢(qián)流動(dòng)現(xiàn)狀及特點(diǎn)的基礎(chǔ)之上，建立三重套利模型，利用VAR模型、脈沖響應(yīng)及格蘭杰因果檢驗(yàn)等手段，探討了影響熱錢(qián)流動(dòng)的套利、套匯以及套價(jià)三大動(dòng)機(jī)，結(jié)果顯示：（1）人民幣升值預(yù)期是熱錢(qián)流入的主要原因，人民幣升值預(yù)期在很大程度上決定了熱錢(qián)的流動(dòng)；并且當(dāng)滯后期提高到8或者更高時(shí)，熱錢(qián)的流入會(huì)對(duì)人民幣造成升值壓力。（2）中美間利差對(duì)于熱錢(qián)流入的影響較小，同時(shí)熱錢(qián)了流入不會(huì)對(duì)中美利差造成影響。（3）資產(chǎn)價(jià)格的上漲不是熱錢(qián)流入的初始目的，但是在熱錢(qián)流入一段時(shí)間后確實(shí)進(jìn)入了房地產(chǎn)市場(chǎng)，加劇了房地產(chǎn)市場(chǎng)的價(jià)格上漲。
[Abstract]:With the globalization of the world economy and the trend of financial liberalization, the large-scale flow of short-term capital has become the norm. With the development of the world security market and the financial derivatives market, the scale of hot money flow is becoming larger and larger. The hot money in the short-term international capital has become an important force affecting the world capital market, not only to the economic development of the country. Foreign trade and financial policies have a great impact, and seriously disturb a country's market stability and financial order. From the development reality of our country, the capital control in our country has gradually weakened, the explicit and invisible obstacles to hot money flow have been gradually removed, and hot money has poured into China because of the motives of arbitrage, arbitrage and arbitrage. It has a great influence on the formulation of macroeconomic policy and asset price bubble in China, and the reversal of hot money implies huge financial risk. It is necessary to study the scale and motivation of hot money. The general idea of this paper is to improve the existing hot money measurement method and measure the scale of hot money by using the corresponding methods based on the theoretical research on the concept and motivation of hot money at home and abroad. Then, the paper analyzes the arbitrage, arbitrage and price of hot money flow, and makes an empirical test. On the basis of direct method and indirect method, this paper discusses the hidden channel of hot money flow, and puts forward the concrete calculation formula of measuring hot money. The results obtained by the three methods have some differences, but the general trend of flow is similar. On the basis of the current situation and characteristics of hot money flow in China, a triple arbitrage model is established. By means of VAR model, pulse response and Granger causality test, the arbitrage that affects hot money flow is discussed. The results show that: (1) the expectation of RMB appreciation is the main reason for the inflow of hot money, and the expectation of RMB appreciation largely determines the flow of hot money; And when the lag is increased to 8 or higher, the inflow of hot money will cause appreciation pressure on the RMB. (2) the interest rate difference between China and the United States has little effect on the inflow of hot money. At the same time, the inflow of hot money will not affect the interest rate difference between China and the United States. (3) the rise in asset prices is not the initial purpose of the inflow of hot money, but it did enter the real estate market after a period of hot money inflows. The price rise in the real estate market has been exacerbated.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.6

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