本文關(guān)鍵詞： 熱錢 結(jié)構(gòu)轉(zhuǎn)變 向量誤差修正模型　出處：《吉林大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：2007年2月美國(guó)次級(jí)貸款質(zhì)量問題浮出水面，2007年4月4日美國(guó)次貸危機(jī)正式爆發(fā)，2007年世界股指均出現(xiàn)大幅下滑，2008年開始，美聯(lián)儲(chǔ)緊急大幅降息75個(gè)基點(diǎn)，中美利率開始出現(xiàn)倒掛，2008年4月8日，IMF稱全球次貸虧損一萬億美元，2008年9月15日雷曼兄弟宣布破產(chǎn)。而與此同時(shí)，2007年，中央銀行10次提高銀行法定準(zhǔn)備金率，5次提高利息率，2010年6月實(shí)行二次匯改，進(jìn)一步加大了人民幣彈性。在2009年以來，歐美發(fā)達(dá)國(guó)家通過向金融市場(chǎng)投放流動(dòng)性為代價(jià)的量化寬松貨幣政策來使經(jīng)濟(jì)復(fù)蘇，造成了熱錢在市場(chǎng)上的活躍，增加了我國(guó)的熱錢監(jiān)控壓力，對(duì)我國(guó)造成了非常不利的影響。本文旨在研究熱錢規(guī)模流動(dòng)趨勢(shì)以及熱錢影響因素，研究得出我國(guó)今后在面對(duì)危機(jī)時(shí)應(yīng)針對(duì)哪些方面對(duì)熱錢進(jìn)行控制。 本文將從（1）熱錢的規(guī)模測(cè)算方式；（2）熱錢規(guī)模流動(dòng)趨勢(shì)分解；（3）時(shí)間序列結(jié)構(gòu)轉(zhuǎn)變檢驗(yàn)；（4）熱錢規(guī)模長(zhǎng)期均衡關(guān)系；（5）熱錢規(guī)模短期波動(dòng)效應(yīng)；（6）熱錢影響的主要因素這幾個(gè)方面進(jìn)行研究。在直接法、間接法、全口徑測(cè)算方式這三種方式比較下最終選擇間接法作為接下來研究的依據(jù)。而BP濾波方法將熱錢規(guī)模進(jìn)行趨勢(shì)分解后發(fā)現(xiàn)，中國(guó)的熱錢規(guī)模正處于大量流出的長(zhǎng)期趨勢(shì)，而短期波動(dòng)幅度也有明顯加大，這說明我國(guó)依然是一個(gè)很大的熱錢集散地市場(chǎng)，并且我國(guó)熱錢壓力正在增大，加大了監(jiān)管的難度。接著，我們選用GDP增長(zhǎng)率、CPI增長(zhǎng)率、中美利率差、NDF（美元兌人民幣遠(yuǎn)期（一年期）匯率）、上證A股綜指、國(guó)房景氣指數(shù)作為具有代表性的研究變量對(duì)熱錢流動(dòng)進(jìn)行實(shí)證分析。通過Bai-Perron結(jié)構(gòu)轉(zhuǎn)變檢驗(yàn)又發(fā)現(xiàn)，我國(guó)的熱錢系統(tǒng)在經(jīng)歷了全球性的次貸危機(jī)后并沒有出現(xiàn)結(jié)構(gòu)轉(zhuǎn)變，即熱錢投資的選擇模式并沒有改變。通過協(xié)整檢驗(yàn)發(fā)現(xiàn)的五個(gè)長(zhǎng)期均衡關(guān)系表明中美利率差、GDP增長(zhǎng)率是推動(dòng)整個(gè)系統(tǒng)變化的最主要因素。用向量誤差修正模型繼續(xù)探討熱錢的短期波動(dòng)影響因素，，其中只有NDF和國(guó)房景氣指數(shù)是對(duì)熱錢流動(dòng)短期波動(dòng)產(chǎn)生影響的因素。另外，國(guó)房景氣指數(shù)是比較重要的影響因素，不論是脈沖檢驗(yàn)還是方差分解都體現(xiàn)出國(guó)房景氣指數(shù)解釋了大部分的影響變化�；谝陨辖Y(jié)論，本文提出了努力維持我國(guó)宏觀環(huán)境的穩(wěn)定；維持國(guó)內(nèi)金融系統(tǒng)的穩(wěn)定，尤其是利率和匯率；維持房地產(chǎn)市場(chǎng)的合理增長(zhǎng)等政策建議。
[Abstract]:In February 2007, the quality of subprime loans in the United States came to the surface. In April 4th 2007, the subprime mortgage crisis officially broke out in the United States. In 2007, the world stock indexes all showed a sharp decline. Since 2007, the Federal Reserve has cut interest rates by 75 basis points in an emergency manner. Interest rates in China and the United States began to rise upside down, with the IMF saying a $1 tillion global subprime loss on April 8th 2008 and Lehman Brothers' bankruptcy on September 15th 2008. Meanwhile, in 2007, The Central Bank raised the bank's legal reserve ratio five times and the interest rate five times. In June 2010, the Central Bank implemented a second exchange rate reform, which further increased the flexibility of the renminbi. Since 2009, Developed countries in Europe and the United States have made the economic recovery by pouring liquidity into the financial market at the expense of quantitative easing monetary policy, which has caused hot money to become active in the market and increased the pressure on our country to monitor hot money. The purpose of this paper is to study the trend of hot money flow and the influencing factors of hot money, and to find out which aspects of hot money should be controlled in the future in the face of crisis. In this paper, we will analyze the scale of hot money (1) the scale of hot money (2) the trend of flow of hot money (3) the structural transformation of time series, test the long-term equilibrium relationship of scale of hot money (5) the effect of short-term fluctuation of hot money scale and the influence of hot money on the main factors. Several aspects of the study. In the direct method, The indirect method, the full caliber measurement method and the final selection of the indirect method as the basis for the next research under the comparison of the three methods, and the BP filtering method, after the trend decomposition of the scale of hot money, was found. The scale of hot money in China is in the long-term trend of a large outflow, and the short-term fluctuations have also increased significantly. This shows that China is still a large hot money distribution center market, and the pressure on hot money in our country is increasing. We then chose the GDP growth rate to match the GDP growth rate, the China-US interest rate difference, the forward (one-year) rate of the US dollar to the renminbi, and the Shanghai A-share Composite. The national housing boom index is used as a representative research variable to analyze the hot money flow. Through the Bai-Perron structural transformation test, it is found that the hot money system of our country has not experienced the structural change after the global subprime mortgage crisis. That is, the choice mode of hot money investment has not changed. The five long-term equilibrium relations found by cointegration test show that the growth rate of GDP of interest rate difference between China and the United States is the most important factor to promote the whole system change. The vector error correction model is followed by the vector error correction model. Continue to explore the factors that affect the short-term fluctuations of hot money, Among them, only NDF and the national housing boom index are the factors that affect the short-term fluctuations of hot money flows. In addition, the national housing boom index is a relatively important factor. Both pulse test and variance decomposition show that the national housing boom index explains most of the changes. Based on the above conclusions, this paper proposes to maintain the stability of the macro environment of our country; to maintain the stability of the domestic financial system. In particular, interest rates and exchange rates; to maintain reasonable growth in the real estate market and other policy recommendations.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F832.6

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