本文關鍵詞：基于四重動因的我國短期國際資本流動的研究　出處：《山東財經(jīng)大學》2014年碩士論文　論文類型：學位論文

  更多相關文章： 短期國際資本 套利動因 套匯動因 套價動因 避險動因

【摘要】：隨著經(jīng)濟全球化和金融網(wǎng)絡化的不斷發(fā)展，資本開始在全球范圍內(nèi)配置，尋求套利、獲利的機會。新興市場國家由于其潛在的發(fā)展能力突出，套利、獲利機會大，因而特別受到國際資本的青睞。但是，一方面，美國在逐漸退出量化寬松經(jīng)濟刺激政策的同時歐洲各國和日本仍然沉浸在貨幣狂歡之中。另一方面，我國房地產(chǎn)市場、外匯市場、股票市場震蕩加劇�？梢灶A見，面對政策和經(jīng)濟的不確定性，資本跨國流動的速度會越來越快。 但是，大規(guī)模資本的快進快出必然會對一國的經(jīng)濟穩(wěn)定、貨幣政策有效性、金融系統(tǒng)的安全性甚至政治的穩(wěn)定性都帶來了巨大的挑戰(zhàn)。特別是，經(jīng)濟勢頭逆轉(zhuǎn)之后的集體撤離行為會嚴重影響一國的經(jīng)濟、金融的穩(wěn)定甚至會引發(fā)經(jīng)濟危機。因此，本文旨在對短期國際資本流動的動因進行全面而深入的分析，以便能更好的認識短期國際資本，從而能夠更合理的引導短期國際資本流動。 全文主要分為六大章節(jié)。第一章節(jié)概述了本文的選題背景和研究意義。其次，梳理了國內(nèi)外關于國際資本流動影響因素的文獻綜述，并對其簡要評述，提出了本文研究的重點和創(chuàng)新點。第二、三章分別詳盡闡述了國際資本流動理論的發(fā)展脈絡和短期國際資本在我國流動的兩個鮮明階段。 第四、第五章是本文的主體部分。在分析了短期國際資本流入我國的套利、套匯、套價、避險動因基礎上，通過VAR模型、格蘭杰因果檢驗、脈沖響應、方差分解實證研究了國際資本流入我國的主要動因。實證結果顯示，人民幣預期匯率變動（套匯動因）、反映投資者風險態(tài)度的美國10年期國債收益率變化（避險動因）、中美房地產(chǎn)價格收益率變化（套價動因）是影響我國短期國際資本流動的主要動因，而中美利率之差（套利動因）、中美股票市場收益率變化（套價動因）則對資本在我國的流入和流出影響并不明顯。 第六章則在分析了短期國際資本對我國宏觀經(jīng)濟的影響及影響機制的基礎上，，根據(jù)實證檢驗結果提出，我國政府應該靈活運用利率政策、適度的擴大人民幣匯率的波動范圍，完善資本流動的跨境監(jiān)管機制等綜合措施有效的引導短期資本流動，減輕和緩和短期資本對我國經(jīng)濟、金融穩(wěn)定的沖擊。
[Abstract]:With the continuous development of economic globalization and financial networking, capital began to be allocated in the global scope, seeking arbitrage, profit opportunities. Emerging market countries because of its potential development capacity outstanding arbitrage. The opportunity for profit is great and therefore particularly favored by international capital. However, on the one hand. While the United States gradually withdrew from the quantitative easing economic stimulus, European countries and Japan are still immersed in the monetary carnival. On the other hand, China's real estate market, the foreign exchange market. Volatility in the stock market has intensified. It is foreseeable that in the face of policy and economic uncertainty, capital flows across borders will become faster and faster. However, the rapid entry and exit of large-scale capital will inevitably bring great challenges to a country's economic stability, the effectiveness of monetary policy, the security of the financial system and even the political stability. The collective withdrawal after the reversal of economic momentum will seriously affect a country's economy, financial stability and even lead to economic crisis. This paper aims to conduct a comprehensive and in-depth analysis of the causes of short-term international capital flows in order to better understand short-term international capital flows and guide them more reasonably. This paper is divided into six chapters. The first chapter summarizes the background and research significance of this paper. Secondly, combing the domestic and foreign literature on the factors affecting international capital flows, and briefly comments on it. Chapter two and three elaborate the development of international capital flow theory and two distinct stages of short-term international capital flow in China. Chapter 4th, 5th is the main part of this paper. Based on the analysis of short-term international capital inflows into China, arbitrage, arbitrage, hedging, risk aversion, VAR model, Granger causality test, impulse response. The empirical results show that the expected exchange rate of RMB (arbitrage) is the main reason for the inflow of international capital into China. The change of 10-year Treasury bond yield which reflects investors' risk attitude and the change of real estate price return rate in China and America are the main factors that affect the short-term international capital flow of our country. However, the difference of interest rate between China and the United States (arbitrage motivation) and the change of return rate in the stock market of China and the United States have little effect on the inflow and outflow of capital in China. Based on the analysis of the impact of short-term international capital on China's macroeconomic and its impact mechanism, Chapter 6th puts forward that our government should use interest rate policy flexibly according to the empirical results. To expand the fluctuation range of RMB exchange rate, improve the cross-border supervision mechanism of capital flow and other comprehensive measures to effectively guide short-term capital flows, mitigate and mitigate the impact of short-term capital on China's economic and financial stability.
【學位授予單位】：山東財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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