【摘要】：作為全球短期資本的重要組成部分，國際游資已成為當今世界經濟中一股極為活躍的力量，在人民幣升值預期和資產升值預期等市場因素的驅動下，大量國際游資涌入國內，無論是中國官方還是國際貨幣基金組織都承認“國際熱錢已經盯上了中國”。大規(guī)模國際游資的注入，在一定程度和一定時期內可以暫時緩解國內的短期資金需求，彌補國內資金缺口，刺激金融市場的繁榮，與此同時，國際游資通過影響銀行體系的資產負債結構對銀行體系的流動性造成沖擊，進而影響到金融體系的穩(wěn)定。 本文的研究內容主要包括以下3個方面：1、我國游資規(guī)模的測算模型設計：利用殘差法，結合國際收支平衡表，對波動可能性較大的跨境短期流動資金做了分析；2、國際游資對銀行系統流動性的傳導機制：基于臨界值法，從銀行系統的可貸資金規(guī)模、資產負債結構，金融發(fā)展環(huán)境，國際游資的風險傳染效應分析了商業(yè)銀行的流動性風險；3、商業(yè)銀行流動性風險壓力測試：通過設計存款準備金率、利率、匯率變動的壓力情景設計，分析了商業(yè)銀行的流動性承壓能力。 本文的研究結論包括以下5個方面：1、在資本管制的背景下，國際游資主要通過經常項目下的國際貿易偽報、商品價格偽報、國際貿易資金的預收或延付，金融項目下的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，，從房地產收益率與游資變動規(guī)模的比較分析來看，大量的游資流入到了房地產領域；3、2003年-2012年游資指標對銀行系統的穩(wěn)定性影響程度上升了7個百分點，銀行自身因素對銀行系統的穩(wěn)定性影響程度下降了10個百分點，宏觀經濟指標對銀行系統的穩(wěn)定性影響基本保持不變；4、在單一流動性風險因子、不同情景下的動態(tài)壓力測試中，準備金、利率和匯率對商業(yè)銀行的流動性影響區(qū)間依次為16.89%-35.89%、0.84%-4.24%、0.84%-4.24%；5、考慮到2007年以來存款準備金率的歷史調整幅度、利率市場化進程、人民幣升值的強烈預期，本文認為在利率重度情景下，存款準備金變動0.5個百分點，匯率變動5個或10個百分點下的風險組合比較合理，即現階段，法定存款準備金率、利率、匯率對商業(yè)銀行流動性的聯動影響程度在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.
【學位授予單位】：貴州財經大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.33;F831.7

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