本文關鍵詞：中國短期國際資本流動動因研究　出處：《北京交通大學》2017年碩士論文　論文類型：學位論文

  更多相關文章： 短期國際資本流動 利差 人民幣升值預期 股市收益率 TVP-VAR

【摘要】：隨著全球經濟、金融一體化的不斷發(fā)展,資本在全球范圍內的流動變得愈發(fā)頻繁,科技的發(fā)展使得資本可以在短時間內實現(xiàn)跨境轉移,逐漸表現(xiàn)出短期化的特征。近年來,隨著美聯(lián)儲退出量化寬松政策,開啟加息周期,人民幣面臨貶值壓力,我國資本出現(xiàn)明顯外流,其中不乏大量短期國際資本的流出。短期國際資本大進大出,會對一國經濟的穩(wěn)定發(fā)展造成嚴重的負面影響。在此背景下,探討我國短期國際資本流動的驅動因素具有十分重要的價值。本文以短期國際資本的經典動因理論為基礎,借鑒國內外學者研究成果,選取利率市場、匯率市場、股票市場、房地產市場、避險情緒、經濟增長率以及制度政策作為主要研究方向,從中選取合適的指標,以所選指標2003.1-2016.8期間的月度數(shù)據(jù)作為樣本數(shù)據(jù),對數(shù)據(jù)進行初步分析之后,采用計量分析的方法進行實證研究,通過向量自回歸(VAR)模型和時變參數(shù)向量自回歸(TVP-VAR)模型,結合我國現(xiàn)實情況,探討影響我國短期國際資本流動的主要因素。研究結論:通過VAR模型進行實證,得出人民幣升值預期、中美利差、股市收益率是影響我國短期國際資本流動的主要因素,其中,方差分解結果顯示人民幣升值預期的解釋程度最高,是最主要的影響因素。之后,選取中美利差、人民幣升值預期和股市收益率作為主要指標,構建包含四個變量的TVP-VAR模型。實證結果說明人民幣升值預期對短期國際資本的影響存在明顯的時變特征,而中美利差和股市收益率指標存在時變效應,但不明顯。美國退出量化寬松政策對我國短期國際資本流動產生了明顯的影響,放大了短期國際資本對于所選指標的脈沖響應程度。未來,開放是大勢所趨,短期資本進出我國的障礙將會逐漸減少。資本賬戶開放應遵循循序漸進的原則,開放進程不宜過快,應逐步降低資本管制程度,努力完善宏觀審慎視角下的短期資本的管理工作,增強宏觀經濟政策和管理工具的協(xié)調配合,防范短期國際資本對我國經濟金融體系的沖擊。
[Abstract]:With the continuous development of global economic and financial integration, the flow of capital in the global scope has become increasingly frequent, the development of science and technology that can realize the cross-border transfer of capital in a short period of time, gradually showing the characteristics of short-term. In recent years, with the Fed's exit quantitative easing, opening the RMB interest rate hike cycle, downward pressure. China's capital outflow appeared, including a large number of short-term international capital outflows. The short-term international capital in great quantities, will cause serious negative impact on the stable development of the economy of a country. Under this background, it has very important value to explore the driving factors of the short-term international capital flows of China. This paper is based on the classical theory reason of short-term international capital, research of scholars at home and abroad, choose the interest rate market, the exchange rate market, stock market, real estate market, hedge sentiment, economic growth rate System and policy as the main research direction, selecting the appropriate index in the selected index during 2003.1-2016.8 monthly data as the sample data, after a preliminary analysis of the data, using quantitative analysis method of empirical research, through vector autoregressive (VAR) model and time-varying parameter vector autoregressive (TVP-VAR) model. According to the practical situation of our country, explore the main factors influencing the short-term international capital flows of China. The empirical research conclusion: through the VAR model, the expectation of RMB appreciation, interest rate, stock market returns are the main factors that affect China's short-term international capital flows, the variance decomposition results show that the RMB appreciation is expected to explain the highest level it is the main factor. After the selection of Sino US spreads, RMB appreciation and the stock market yield as the main index, the construction contains four variables TVP-VAR Model. The empirical results show that the effect of the RMB appreciation on short-term international capital has obvious time-varying characteristics, while the U.S. interest rate and stock market yield index time-varying effect, but not obvious. The United States withdraw from the quantitative easing policy impact significantly on China's short-term international capital flows, short-term international capital for pulse amplification the response degree of selected indicators. The future is open, short-term capital in China represent the general trend, import barriers will be reduced gradually. The opening of the capital account should follow the principle of gradual opening process, should not be too fast, should gradually reduce the degree of capital control, efforts to improve the macro Prudential perspective of short-term capital management, strengthen macroeconomic policy coordination and management tools, to prevent the impact of short-term international capital to China's economic and financial system.

【學位授予單位】：北京交通大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.6

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