【摘要】：當(dāng)巨額熱錢進(jìn)出一國時(shí)，會(huì)對(duì)該國的金融穩(wěn)定構(gòu)成極大的威脅。如果處理不當(dāng)甚至有發(fā)生金融危機(jī)的危險(xiǎn)。而之前學(xué)者在關(guān)于人民幣匯率變動(dòng)對(duì)熱錢流動(dòng)的影響方面的研究還有一些不足。此文通過運(yùn)用2006年1月到2014年8月月度熱錢流動(dòng)的高頻數(shù)據(jù)，分別對(duì)美元兌人民幣即期匯率變動(dòng)對(duì)熱錢流動(dòng)的影響及遠(yuǎn)期匯率變動(dòng)對(duì)熱錢流動(dòng)的影響進(jìn)行實(shí)證研究及對(duì)比分析。 以CIP模型為理論基礎(chǔ)，同時(shí)建立熱錢流動(dòng)受即期匯率波動(dòng)(EFS)、利率差(Margin)影響以及熱錢流動(dòng)受遠(yuǎn)期匯率波動(dòng)(EFF)、利率差影響的向量自回歸（VAR）模型，進(jìn)行脈沖響應(yīng)分析、方差分解分析，最終得出以下結(jié)論：第一、熱錢流動(dòng)會(huì)受到上一個(gè)月和上兩個(gè)月的熱錢流動(dòng)（HMF）、Margin、EFS、EFF的影響，同時(shí)從包含EFF的向量自回歸模型中發(fā)現(xiàn)熱錢流入還具備一定的趨勢(shì)。具體來說：熱錢流動(dòng)隨著之前月份HMF的增加有所增加，隨著上一個(gè)月Margin的增大而增加，隨著上兩個(gè)月Margin的增大而減少，近期效應(yīng)明顯；隨著上一個(gè)月和上兩月人民幣貶值有所減少；第二、與包含EFS的向量自回歸模型相比，包含EFF的向量自回歸模型的擬合程度更高、效果更好，所以遠(yuǎn)期匯率的狀況對(duì)熱錢流動(dòng)的沖擊更顯著；第三、通過脈沖響應(yīng)分析發(fā)現(xiàn)，不論是Margin、EFS、還是EFF對(duì)熱錢跨境流動(dòng)的影響都是長遠(yuǎn)的；第四、HMF產(chǎn)生波動(dòng)時(shí)，可以將82%的影響歸因于HMF本身，7.0%左右的影響可以歸因于Margin因素,11%左右的影響歸因于EFF因素。 根據(jù)這些結(jié)論，提出以下的政策建議：第一，可以通過增加匯率浮動(dòng)區(qū)間、外匯市場操作來控制匯率預(yù)期，并且制定政策要有前瞻性。第二、通過完善國際收支檢測(cè)系統(tǒng)、制定熱錢流動(dòng)應(yīng)急預(yù)案以及建立跨國熱錢監(jiān)測(cè)預(yù)警機(jī)制來加強(qiáng)外匯變動(dòng)的檢測(cè)與統(tǒng)計(jì)。第三、短期控制國際資本流動(dòng)成本來調(diào)控資本流動(dòng)規(guī)模，，長期則要積極推動(dòng)利率市場化，逐漸減少利率差波動(dòng)導(dǎo)致的巨額跨境流動(dòng)。第四、制定政策要考慮政策的時(shí)滯性以及匯率、利率變動(dòng)對(duì)熱錢影響的時(shí)滯性。
[Abstract]:When a huge amount of hot money flows in and out of a country, it poses a great threat to the country's financial stability. If mishandled, there is even a risk of a financial crisis. Previous scholars on the RMB exchange rate changes on the impact of hot money flows, there are some deficiencies. By using the high frequency data of monthly hot money flow from January 2006 to August 2014, this paper makes an empirical study and comparative analysis on the impact of spot exchange rate changes against RMB on hot money flows and forward exchange rate changes on hot money flows. Based on CIP model, a vector autoregressive (VAR) model of hot money flows affected by spot exchange rate fluctuation, (EFS), rate difference (Margin) and forward exchange rate volatility (EFF), interest rate difference is established. The impulse response analysis and variance decomposition analysis are carried out. Finally, the following conclusions are drawn: first, hot money flows will be influenced by the flow of hot money in the last month and two months. At the same time, from the vector autoregressive model including EFF, it is found that there is a certain trend in the inflow of hot money. Specifically, the flow of hot money increased with the increase of HMF in the previous month, increased with the increase of Margin in the last month, and decreased with the increase of Margin in the last two months. With the decrease of RMB depreciation in the last month and the last two months, second, the vector autoregressive model including EFF has higher fitting degree and better effect than the vector autoregressive model including EFS. Therefore, the impact of forward exchange rate status on hot money flows is more significant. Thirdly, the impulse response analysis shows that both the margin EFS and EFF have a long-term impact on the cross-border flow of hot money. 82% of the effects can be attributed to the HMF itself, about 7.0% of the effect can be attributed to the Margin factor, about 11% of the effect can be attributed to the EFF factor. According to these conclusions, the following policy suggestions are put forward: first, we can control the exchange rate expectation by increasing the exchange rate floating band, foreign exchange market operation, and make the policy to be forward-looking. Secondly, we should strengthen the detection and statistics of foreign exchange by perfecting the balance of payments detection system, formulating emergency plan of hot money flow and establishing transnational hot money monitoring and warning mechanism. Third, to control the cost of international capital flows in the short term to control the scale of capital flows, in the long run, we should actively promote the marketization of interest rates and gradually reduce the huge cross-border flows caused by the fluctuation of interest rates. Fourth, we should consider the delay of policy and the influence of exchange rate and interest rate on hot money.
【學(xué)位授予單位】：沈陽工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：F832.6

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