【摘要】：作為全球短期資本的重要組成部分，國(guó)際游資已成為當(dāng)今世界經(jīng)濟(jì)中一股極為活躍的力量，在人民幣升值預(yù)期和資產(chǎn)升值預(yù)期等市場(chǎng)因素的驅(qū)動(dòng)下，大量國(guó)際游資涌入國(guó)內(nèi)，無論是中國(guó)官方還是國(guó)際貨幣基金組織都承認(rèn)“國(guó)際熱錢已經(jīng)盯上了中國(guó)”。大規(guī)模國(guó)際游資的注入，在一定程度和一定時(shí)期內(nèi)可以暫時(shí)緩解國(guó)內(nèi)的短期資金需求，彌補(bǔ)國(guó)內(nèi)資金缺口，刺激金融市場(chǎng)的繁榮，與此同時(shí)，國(guó)際游資通過影響銀行體系的資產(chǎn)負(fù)債結(jié)構(gòu)對(duì)銀行體系的流動(dòng)性造成沖擊，進(jìn)而影響到金融體系的穩(wěn)定。 本文的研究?jī)?nèi)容主要包括以下3個(gè)方面：1、我國(guó)游資規(guī)模的測(cè)算模型設(shè)計(jì)：利用殘差法，結(jié)合國(guó)際收支平衡表，對(duì)波動(dòng)可能性較大的跨境短期流動(dòng)資金做了分析；2、國(guó)際游資對(duì)銀行系統(tǒng)流動(dòng)性的傳導(dǎo)機(jī)制：基于臨界值法，從銀行系統(tǒng)的可貸資金規(guī)模、資產(chǎn)負(fù)債結(jié)構(gòu)，金融發(fā)展環(huán)境，國(guó)際游資的風(fēng)險(xiǎn)傳染效應(yīng)分析了商業(yè)銀行的流動(dòng)性風(fēng)險(xiǎn)；3、商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)壓力測(cè)試：通過設(shè)計(jì)存款準(zhǔn)備金率、利率、匯率變動(dòng)的壓力情景設(shè)計(jì)，分析了商業(yè)銀行的流動(dòng)性承壓能力。 本文的研究結(jié)論包括以下5個(gè)方面：1、在資本管制的背景下，國(guó)際游資主要通過經(jīng)常項(xiàng)目下的國(guó)際貿(mào)易偽報(bào)、商品價(jià)格偽報(bào)、國(guó)際貿(mào)易資金的預(yù)收或延付，金融項(xiàng)目下的FDI、QFII、外債和貨幣互換渠道入境；2、2004年起游資開始大規(guī)模入境，2001年到2011年大約有11000億美元的游資入境，，從房地產(chǎn)收益率與游資變動(dòng)規(guī)模的比較分析來看，大量的游資流入到了房地產(chǎn)領(lǐng)域；3、2003年-2012年游資指標(biāo)對(duì)銀行系統(tǒng)的穩(wěn)定性影響程度上升了7個(gè)百分點(diǎn)，銀行自身因素對(duì)銀行系統(tǒng)的穩(wěn)定性影響程度下降了10個(gè)百分點(diǎn)，宏觀經(jīng)濟(jì)指標(biāo)對(duì)銀行系統(tǒng)的穩(wěn)定性影響基本保持不變；4、在單一流動(dòng)性風(fēng)險(xiǎn)因子、不同情景下的動(dòng)態(tài)壓力測(cè)試中，準(zhǔn)備金、利率和匯率對(duì)商業(yè)銀行的流動(dòng)性影響區(qū)間依次為16.89%-35.89%、0.84%-4.24%、0.84%-4.24%；5、考慮到2007年以來存款準(zhǔn)備金率的歷史調(diào)整幅度、利率市場(chǎng)化進(jìn)程、人民幣升值的強(qiáng)烈預(yù)期，本文認(rèn)為在利率重度情景下，存款準(zhǔn)備金變動(dòng)0.5個(gè)百分點(diǎn)，匯率變動(dòng)5個(gè)或10個(gè)百分點(diǎn)下的風(fēng)險(xiǎn)組合比較合理，即現(xiàn)階段，法定存款準(zhǔn)備金率、利率、匯率對(duì)商業(yè)銀行流動(dòng)性的聯(lián)動(dòng)影響程度在16.40%-22.53%之間的可能性較大。
[Abstract]:As an important part of global short-term capital, international hot money has become an extremely active force in the world economy. Driven by market factors such as RMB appreciation expectation and asset appreciation expectation, a large number of international hot money poured into China. Both Chinese officials and the International Monetary Fund acknowledge that "international hot money is targeting China." The injection of large-scale international hot money can, to a certain extent and for a certain period of time, temporarily alleviate the domestic short-term capital needs, make up for the domestic capital gap, and stimulate the prosperity of the financial market. At the same time, By influencing the structure of assets and liabilities of the banking system, the international hot money has an impact on the liquidity of the banking system, thus affecting the stability of the financial system. The research contents of this paper mainly include the following three aspects: 1, the design of the calculation model of China's floating capital scale: by using residual method, combined with the balance of payments statement, the paper makes an analysis of the possibility of volatility of cross-border short-term liquidity; (2) the transmission mechanism of international hot money to the liquidity of banking system: based on the critical value method, from the scale of loanable funds, the structure of assets and liabilities, the financial development environment of the banking system, The risk contagion effect of international hot money analyzes the liquidity risk of commercial banks. The liquidity risk stress test of commercial banks: by designing the pressure scenarios of deposit reserve ratio, interest rate, exchange rate change, The liquidity bearing capacity of commercial banks is analyzed. The conclusions of this paper include the following five aspects: 1. Under the background of capital control, international hot money is mainly paid in advance or deferred through international trade counterfeiting under current account, false declaration of commodity prices, or advance payment of international trade funds. The FDI QFII, the foreign debt and currency swap channels, began to enter China on a large scale in 2004. From 2001 to 2011, there were about 1.1 trillion US dollars of floating capital. From the comparative analysis of the real estate yield and the scale of floating capital movements, A large number of floating capital flows into the real estate sector. From 2003 to 2012, the impact of the floating capital index on the stability of the banking system has increased by 7 percentage points, while the degree of influence of the banks' own factors on the stability of the banking system has decreased by 10 percentage points. The influence of macroeconomic indicators on the stability of the banking system remains basically unchanged. In the single liquidity risk factor and the dynamic pressure test under different scenarios, the range of the influence of reserve, interest rate and exchange rate on the liquidity of commercial banks is 16.89-35.890.84 -4.240.84 -4.24. 5. Considering the historical adjustment of the reserve requirement ratio since 2007, the marketization process of interest rate and the strong expectation of RMB appreciation, this paper holds that under the heavy interest rate scenario, the reserve fund changes by 0.5 percentage points. At this stage, the legal reserve ratio, interest rate and exchange rate affect the liquidity of commercial banks in the range of 16.40- 22.53 percent.
【學(xué)位授予單位】：貴州財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.33;F831.7

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 周輝莉;;國(guó)際游資沖擊對(duì)我國(guó)房地產(chǎn)價(jià)格影響探析[J];北方經(jīng)濟(jì);2010年18期

2 劉雪梅;;當(dāng)前“熱錢”對(duì)我國(guó)貨幣政策的沖擊及應(yīng)對(duì)策略[J];商業(yè)研究;2006年05期

3 尹宇明,陶海波;熱錢規(guī)模及其影響[J];財(cái)經(jīng)科學(xué);2005年06期

4 馮彩;;我國(guó)短期國(guó)際資本流動(dòng)的影響因素——基于1994—2007年的實(shí)證研究[J];財(cái)經(jīng)科學(xué);2008年06期

5 王擎;張恒;;國(guó)際熱錢與我國(guó)股價(jià)的關(guān)系[J];財(cái)經(jīng)科學(xué);2010年10期

6 胡新智;金融安全:國(guó)家經(jīng)濟(jì)安全的重中之重[J];國(guó)家安全通訊;2000年02期

7 王信;林艷紅;;90年代以來我國(guó)短期資本流動(dòng)的變化[J];國(guó)際金融研究;2005年12期

8 李成;郝俊香;;基于金融安全的資本流動(dòng)：理論解讀與中國(guó)實(shí)證[J];國(guó)際金融研究;2006年08期

9 李曉峰;中國(guó)資本外逃的理論與現(xiàn)實(shí)[J];管理世界;2000年04期

10 陳奉先;;國(guó)際投機(jī)資本對(duì)我國(guó)貨幣政策有效性沖擊的研究[J];湖北經(jīng)濟(jì)學(xué)院學(xué)報(bào)(人文社會(huì)科學(xué)版);2005年03期

本文編號(hào)：2150034