本文選題：熱錢　切入點：規(guī)模測算　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：向縱深發(fā)展的金融全球化為熱錢跨境流動提供了巨大的機會,近年來,我國的資本市場環(huán)境也已成為吸引熱錢流動的溫床。熱錢以最大限度地追逐短期收益為目的,其大規(guī)模流動對一國的實體經(jīng)濟和資本資產(chǎn)市場都造成劇烈沖擊,尤其當(dāng)熱錢巨額流出時,可能引發(fā)資本流出國嚴(yán)重的金融危機。本文研究的重點是我國的熱錢流動。首先本文對熱錢的概念進行界定,并基于國際收支平衡表,梳理熱錢流入我國的渠道。然后本文使用學(xué)術(shù)界廣泛使用的直接法和間接法測算熱錢流動規(guī)模,為克服兩種方法的不足,本文又進一步在調(diào)整間接法的基礎(chǔ)上對熱錢流動規(guī)模進行重新估算。重新估算以熱錢流入我國的渠道為依據(jù),涉及調(diào)整外匯儲備增加額、測算隱藏在貿(mào)易順差和FDI中的熱錢規(guī)模,以及通過地下錢莊流入的熱錢規(guī)模。本文的第三章從理論和實證兩方面分析熱錢流動的影響因素,即利差收益率、匯差收益率、資產(chǎn)價格上漲收益和經(jīng)濟增長收益。實證研究部分利用2002-2012年月度數(shù)據(jù),建立向量自回歸(VAR)模型,結(jié)果表明,匯差收益率是影響我國熱錢流動的最主要因素,人民幣升值預(yù)期越強烈,熱錢流入越多。熱錢流入動因的實證分析表明資產(chǎn)價格上漲收益并非影響熱錢流動的重要因素,但理論上熱錢大規(guī)模流入可能催生資產(chǎn)價格泡沫。在第四章本文著重分析了熱錢流動對股票價格和房地產(chǎn)價格的影響機制,并建立聯(lián)立方程組模型進行實證研究。實證結(jié)果表明,熱錢流動與股價之間存在顯著的正相關(guān)關(guān)系,熱錢流入會推動股票價格上漲；但熱錢流動與房價之間不存在顯著的相關(guān)性。最后本文針對我國熱錢流入的渠道和驅(qū)動因素,借鑒熱錢流動監(jiān)管的國際經(jīng)驗,提出了疏堵結(jié)合的政策建議。
[Abstract]:The deep development of financial globalization provides a great opportunity for the cross-border flow of hot money. In recent years, China's capital market environment has also become a hotbed for attracting hot money flows. Its large-scale flows have had a severe impact on both the real economy and the capital asset markets of a country, especially when large amounts of hot money flow out. This paper focuses on the hot money flow in China. Firstly, this paper defines the concept of hot money, and based on the balance of payments statement, Combing the channels through which hot money flows into our country. Then this paper uses the direct and indirect methods widely used in academic circles to calculate the scale of hot money flows, in order to overcome the shortcomings of the two methods. On the basis of adjusting indirect method, this paper further reestimates the scale of hot money flow. The revaluation is based on the channel of hot money flowing into China, and involves adjusting the increase of foreign exchange reserves. Calculate the scale of hot money hidden in trade surplus and FDI, as well as the scale of hot money flowing through underground banks. The third chapter analyzes the influencing factors of hot money flow, that is, the rate of interest difference, the rate of exchange difference, the rate of return of exchange difference, the theoretical and empirical aspects of the flow of hot money. Based on the monthly data from 2002 to 2012, the VAR model is established. The results show that the rate of return on exchange difference is the most important factor affecting the flow of hot money in China. The stronger the expectation of RMB appreciation, the more hot money inflow. However, in theory, the large-scale inflow of hot money may lead to asset price bubbles. In Chapter 4th, this paper focuses on the analysis of the influence mechanism of hot money flows on stock prices and real estate prices. The empirical results show that there is a significant positive correlation between the hot money flow and the stock price, and the inflow of hot money will promote the stock price to rise. However, there is no significant correlation between hot money flow and house price. Finally, aiming at the channel and driving factors of hot money inflow in China, this paper puts forward some policy suggestions on the combination of thinning and plugging according to the international experience of hot money flow supervision.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.6;F299.23

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