本文選題：境外熱錢 + 人民幣匯率��； 參考：《廣東商學(xué)院》2013年碩士論文

【摘要】：境外熱錢與人民幣匯率是近十年來凸顯在我國金融市場的熱點話題，受到了國內(nèi)外學(xué)術(shù)界的高度關(guān)注。隨著我國資本項目的放寬，以及人民幣國際化的推進，境外熱錢頻繁涌動對人民幣匯率的沖擊將趨于常態(tài)化、復(fù)雜化，基于此背景，探討境外熱錢對人民幣匯率的影響，對監(jiān)控境外熱錢和防范人民幣匯率風(fēng)險都具有重要的意義。 在回顧國內(nèi)外文獻基礎(chǔ)上，本文首先剖析了境外熱錢規(guī)模估算的常用方法，并用間接修正法估算了每月境外熱錢規(guī)模。其次，總結(jié)出境外熱錢對人民幣匯率影響的五個傳導(dǎo)機制——直接影響和貨幣政策、國際收支、通貨膨脹、相對利率，并結(jié)合“三元悖論”理論、國際收支說、購買力平價理論、利率平價理論，重點分析了境外熱錢對人民幣匯率的影響機理。再次，結(jié)合2001年1月至2012年12月月度數(shù)據(jù)，通過格蘭杰因果關(guān)系檢驗、脈沖響應(yīng)函數(shù)和方差分解方法，實證分析了境外熱錢對人民幣匯率的影響關(guān)系。結(jié)果表明：境外熱錢是人民幣匯率的格蘭杰原因，人民幣匯率不是境外熱錢的格蘭杰原因。境外熱錢流入會直接推動人民幣升值，人民幣升值會吸引境外熱錢流入；境外熱錢流入通過外匯儲備和貨幣供給傳導(dǎo)機制會增加人民幣升值壓力；通過國際收支和中美利差傳導(dǎo)機制，短期內(nèi)會增加人民幣升值壓力，長期內(nèi)會增加人民幣貶值壓力；通過通貨膨脹傳導(dǎo)機制，短期內(nèi)會增加人民幣貶值壓力，長期內(nèi)會增加人民幣升值壓力。人民幣匯率方差變化的71%可以由人民幣匯率自身解釋，4%可以由境外熱錢解釋。 最后，根據(jù)理論與實證研究結(jié)果，，從境外熱錢角度提出了防范人民幣匯率波動風(fēng)險的措施建議，即嚴格監(jiān)管境外熱錢流動、完善人民幣匯率形成機制、合理協(xié)調(diào)各項調(diào)控政策、逐步推進利率市場化改革、加強國內(nèi)外相關(guān)部門合作，試圖為有關(guān)部門人員應(yīng)對境外熱錢流動和人民幣匯率波動提供可供參考的建議。
[Abstract]:The exchange rate of foreign hot money and RMB is a hot topic in China's financial market in recent ten years, which has been highly concerned by domestic and foreign academic circles. With the relaxation of China's capital account and the promotion of RMB internationalization, the impact of frequent inflows of foreign hot money on the RMB exchange rate will tend to be normalized and complicated. Based on this background, this paper discusses the impact of foreign hot money on the RMB exchange rate. It is of great significance to monitor overseas hot money and guard against RMB exchange rate risk. Based on the review of domestic and foreign literature, this paper first analyzes the common methods of estimating the scale of overseas hot money, and estimates the monthly scale of overseas hot money by indirect correction method. Secondly, it summarizes the five transmission mechanisms of the influence of foreign hot money on the RMB exchange rate-direct influence and monetary policy, balance of payments, inflation, relative interest rate, and combined with the theory of "ternary paradox", the balance of payments theory. Purchasing power parity theory and interest rate parity theory focus on the influence mechanism of foreign hot money on RMB exchange rate. Thirdly, combining monthly data from January 2001 to December 2012, using Granger causality test, impulse response function and variance decomposition method, the paper empirically analyzes the influence of foreign hot money on RMB exchange rate. The results show that the foreign hot money is the Granger reason of RMB exchange rate, and the RMB exchange rate is not the Granger reason of overseas hot money. The inflow of foreign hot money will directly promote the appreciation of RMB, the appreciation of RMB will attract the inflow of foreign hot money, the inflow of foreign hot money will increase the pressure of RMB appreciation through the transmission mechanism of foreign exchange reserve and money supply. Through the international balance of payments and the spread transmission mechanism between China and the United States, the pressure of RMB appreciation will be increased in the short term, and the pressure of RMB depreciation will be increased in the long run; through the inflation transmission mechanism, the pressure of RMB depreciation will be increased in the short term. In the long run, it will increase the pressure of RMB appreciation. 71% of the variance can be explained by the yuan itself. 4% can be explained by foreign hot money. Finally, according to the theoretical and empirical research results, the paper puts forward the measures to prevent the risk of RMB exchange rate fluctuation from the perspective of overseas hot money, that is, strictly supervising the flow of foreign hot money, perfecting the formation mechanism of RMB exchange rate, and reasonably coordinating the various regulation and control policies. We should push forward the reform of interest rate marketization step by step, strengthen the cooperation of relevant departments at home and abroad, and try to provide some suggestions for relevant departments to deal with the flow of hot money abroad and the fluctuation of RMB exchange rate.
【學(xué)位授予單位】：廣東商學(xué)院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.6

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本文編號：1845873