【摘要】：資本如水,流動是永恒的。近年,隨著我國經(jīng)濟(jì)總量的持續(xù)擴(kuò)大和外匯儲備的大幅增加,以及世界金融逐漸向自由化和全球化方向發(fā)展,熱錢的大規(guī)模流動也越來越頻繁。追逐短期巨額收益的熱錢大規(guī)模頻繁進(jìn)出一國的境內(nèi)市場,可能會對該國的匯率、金融市場和實(shí)體經(jīng)濟(jì)造成強(qiáng)烈沖擊。本文亦將關(guān)注的目光集中在我國熱錢大規(guī)模高頻率的流動方面。 首先本文通過熱錢的特點(diǎn)來區(qū)別和界定熱錢的定義,同時(shí)根據(jù)我國國際收支賬戶特別是資本項(xiàng)目的特殊性來分析熱錢在我國境內(nèi)市場流動的隱藏渠道。 然后本文根據(jù)各隱藏渠道的特點(diǎn)來還原了其隱藏的熱錢規(guī)模,并結(jié)合間接法測算出每期的熱錢流動規(guī)模。其中,貿(mào)易項(xiàng)目下隱藏的熱錢規(guī)模的估算采用中國內(nèi)地和香港間轉(zhuǎn)口貿(mào)易統(tǒng)計(jì)差額的方法進(jìn)行估算；FDI項(xiàng)目下采用BOP表統(tǒng)計(jì)值與實(shí)際投資額的差額進(jìn)行估算；凈誤差與遺漏項(xiàng)目下隱藏的熱錢規(guī)模的估算方法采用國際公認(rèn)合理水平進(jìn)行估算；地下錢莊項(xiàng)目下隱藏的熱錢規(guī)模的估算方法采用調(diào)整因子進(jìn)行估算。 在已有的熱錢規(guī)模估算結(jié)果的基礎(chǔ)上,本文分析我國熱錢流動的驅(qū)動因素,即“套利”、“套匯”和“套價(jià)”,建立三重套利模型進(jìn)行格蘭杰因果檢驗(yàn),確定人民幣匯率變動為熱錢流入我國的最主要驅(qū)動因素。 最后針對目前熱錢在我國的大規(guī)模流動本文分析了其對我國金融市場造成的影響,主要包括對我國人民幣實(shí)際匯率的沖擊、催生資產(chǎn)價(jià)格泡沫化以及央行貨幣政策調(diào)節(jié)困境等。
[Abstract]:Capital is like water, and the flow is eternal. In recent years, with the continuous expansion of China's total economic volume and the sharp increase of foreign exchange reserves, as well as the gradual development of world finance in the direction of liberalization and globalization, the large-scale flow of hot money is becoming more and more frequent. Hot money, which pursues huge short-term gains, flows into and out of a country's domestic markets on a large scale, which could have a strong impact on the country's exchange rate, financial markets and the real economy. This paper also focuses on the large-scale and high-frequency flow of hot money in China. First of all, this paper distinguishes and defines the definition of hot money through the characteristics of hot money, and analyzes the hidden channels of hot money flow in China's domestic market according to the particularity of China's balance of payments account, especially the capital account. Then, according to the characteristics of each hidden channel, this paper restores the hidden hot money scale, and calculates the flow scale of each phase of hot money by indirect method. Among them, the estimation of the hidden hot money scale under the trade project is estimated by the method of the statistical difference of the re-export trade between the mainland of China and Hong Kong, the difference between the statistical value of the BOP table and the actual investment under the FDI project, and the estimation method of the hidden hot money scale under the net error and omission item is estimated by the internationally recognized reasonable level. The estimation method of the hidden hot money scale under the underground bank project is estimated by the adjustment factor. On the basis of the existing estimation results of hot money scale, this paper analyzes the driving factors of hot money flow in China, that is, "arbitrage", "arbitrage" and "arbitrage", establishes a triple arbitrage model to carry out Granger causality test, and determines that the change of RMB exchange rate is the most important driving factor for the inflow of hot money into China. Finally, in view of the current large-scale flow of hot money in China, this paper analyzes its impact on China's financial market, including the impact on the real exchange rate of RMB in China, the emergence of asset price bubbles and the adjustment dilemma of central bank monetary policy, and so on.
【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】：2012
【分類號】：F832.6

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