我國短期國際資本流動影響因素的實證研究
發(fā)布時間：2018-09-14 11:26
【摘要】：自21世紀以來,世界各國家之間的聯(lián)系越來越緊密,科學技術的高速發(fā)展讓“地球村”概念有實現的可能,世界經濟一體化、金融市場全球化趨勢日益凸顯,國際資本也乘著這股東風順勢而起,以更大的資本規(guī)模和更高的流動速度在國際金融市場上大顯身手,成為國家間經濟聯(lián)系的重要紐帶之一。當然,它也對各老牌經濟強國和新興經濟體都產生了深遠的影響。 我國是最大的發(fā)展中國家之一,近幾十年的發(fā)展速度讓世界都為之矚目,特別是最近幾年,西方其他國家因經濟危機深陷各種困境,使我國一躍成為世界經濟發(fā)展的新興火車頭,成為國際資本的聚集地之一。但是,我國在經濟發(fā)展中遇到的一些問題也顯現出大量短期國際資本流動帶來的負面影響越來越顯著：持續(xù)輸入型的通貨膨脹、不斷擴大房地產價格泡沫、虛擬經濟遠超實體經濟發(fā)展速度、貨幣政策效力不顯、投機資本控制不力、人民幣匯率不斷升值等等。綜合考慮短期國際資本流動給我國帶來的影響,使我們不得不直接面對如何控制好短期國際資本流動、探究我國短期國際資本流動的影響因素、如何減小短期國際資本流動的負面效應等問題,這也成為當今我國學者的重要課題之一。 本文希望通過引用傳統(tǒng)的經濟金融學理論,結合現代一些對于短期國際資本流動研究的文獻資料,較為全面的梳理國際資本流動的歷史脈絡,為今后對短期國際資本的研究提供一些資料和參考。本文對于傳統(tǒng)金融理論的繼承與適當拓展的同時,進一步結合中國宏觀經濟的具體運行狀況進行了一些實證分析,從而希望能找出影響我國短期國際資本流動的特殊因素和規(guī)律,為傳統(tǒng)理論的發(fā)展盡一點綿薄之力。 本文主要包括以下三個部分： 第一部分,對有關短期國際資本流動的理論總結和文獻研究。短期國際資本流動是國際資本流動的一種重要形式,影響國際資本流動的因素從理論上也應該是短期國際資本流動的影響因素,從最早的國際貿易理論到最新的金融危機理論都來看,實體經濟發(fā)展速度,利率差和匯率差以及資本市場收益率是影響國際資本流動所公認的幾個最主要因素,結合我國現狀來看,由于我國資本市場還處于不完善狀態(tài),其發(fā)展速度和市場潛力不容忽視,所以本文在選取以上幾個共通的變量之外還加入了資本市場發(fā)展速度這一變量并結合相關的理論和研究文獻加以分析。 第二部分,介紹我國短期國際資本流動的歷史及現狀,通過相關的資料和文獻總結出我國短期國際資本流動的特點和進出途徑,我國的短期國際資本流動顯現出資本流動規(guī)模激增,方向多變的新特點,而其進出途徑除了正常的匯入匯出外,經常項目下的外匯自由兌換,利用虛假交易、進出口偽報、所謂的“僑匯”以及捐贈款；資本項目下的虛假驗資、虛假合同以及股權投資資金用作他途、外資或者是合資金融機構在境內外不同分支機構的資金轉移實現短期國際資本的流入或流出以及很難被監(jiān)管部門控制的地下錢莊等非正常途徑也擴大了我國短期國際資本流動的規(guī)模。 第三部分,實證部分選取匯差(EX)、利差(R_CPI)、我國經濟發(fā)展速度(GROW).資本市場收益率(INDEX)以及我國資本市場發(fā)展程度(REP)作為考察我國短期國際資本流動的影響因素,運用相關的計量經濟學方法,采用多元回歸模型、GRANGER因果關系檢驗法、VAR模型。實證結論為：匯率因素是現階段影響我國短期國際資本流動最重要的因素,而資本市場發(fā)展程度以及收益率也具有一定的影響,我國經濟發(fā)展速度以及利率差因素卻并沒有體現出相應的效果。最終根據實證結果和之前的理論分析結合博弈論分析提出了一些政策建議：第一,完善匯率形成機制,增加人民幣匯率彈性；第二,適當加快利率市場化進程,恢復利率渠道的調節(jié)功能;第三,進一步完善資本市場體制,有效發(fā)揮資本市場功能；第四,強化對短期國際資本的風險監(jiān)管,提高資本投機成本,從而使得我國短期國際資本流動真正的為我國經濟發(fā)展服務。
[Abstract]:Since the 21st century, the links between countries in the world have become more and more close. The rapid development of science and technology has made the concept of "global village" possible. With the integration of the world economy and the globalization of financial markets, international capital has risen with the tide of shareholders, with a larger scale of capital and a higher speed of flow in the world. The emergence of financial markets has become an important link in economic ties between countries. Of course, it has also had a profound impact on old-fashioned economic powers and emerging economies.
China is one of the largest developing countries. The speed of development in recent decades has attracted worldwide attention. Especially in recent years, other western countries have been in various difficulties because of the economic crisis, which has made China a new engine of world economic development and one of the places where international capital is concentrated. Some problems also show that a large number of short-term international capital flows have brought about more and more significant negative impacts: sustained imported inflation, expanding real estate price bubbles, virtual economy far exceeds the speed of real economic development, monetary policy effectiveness is not obvious, speculative capital control is not effective, the RMB exchange rate continues to appreciate and so on. Considering the impact of short-term international capital flows on China, we have to face the problems of how to control short-term international capital flows, explore the influencing factors of short-term international capital flows and how to reduce the negative effects of short-term international capital flows, which has become one of the important topics for Chinese scholars.
In this paper, we hope that by citing the traditional economic and financial theory, combining with some modern literature on short-term international capital flows, we can sort out the historical context of international capital flows in a more comprehensive way, and provide some information and reference for future research on short-term international capital. At the same time, this paper makes some empirical analysis on the specific operation of China's macro-economy, hoping to find out the special factors and laws that affect China's short-term international capital flows, and to contribute a little to the development of traditional theories.
This article mainly includes the following three parts:
The first part is a theoretical summary and literature study on short-term international capital flows. Short-term international capital flows are an important form of international capital flows, and the factors affecting international capital flows should theoretically be the factors affecting short-term international capital flows, from the earliest international trade theory to the latest financial crisis theory. On the whole, the real economic development speed, interest rate difference, exchange rate difference and the return rate of capital market are recognized as the most important factors affecting international capital flows. Considering the current situation of our country, because our capital market is still in an imperfect state, its development speed and market potential can not be ignored, so this paper selects the above several. In addition to the common variables, we also add the variable of the development speed of the capital market and analyze it with relevant theories and research literature.
The second part introduces the history and current situation of China's short-term international capital flows, summarizes the characteristics of China's short-term international capital flows and the ways of their entry and exit through relevant information and literature. China's short-term international capital flows show the new characteristics of the rapid increase in the scale of capital flows and the changeable direction of their entry and exit channels in addition to normal inward and outward remittances. Foreign exchange under current account is convertible freely, and short-term international capital is realized by means of false transactions, false import and export reports, so-called "overseas remittances" and donations; false capital verification under capital account, false contracts and equity investment funds are used for other purposes; and funds transferred by foreign capital or joint venture financial institutions from different branches at home and abroad are used to realize short-term international capital. The scale of China's short-term international capital flows is also enlarged by abnormal channels such as inflows and outflows and underground banks that are difficult to be controlled by regulatory authorities.
In the third part, the empirical part selects the exchange rate spread (EX), interest rate spread (R_CPI), China's economic growth rate (GROW), capital market return (INDEX) and China's capital market development level (REP) as the influencing factors to examine China's short-term international capital flows, using relevant econometric methods, using multiple regression model, GRANGER causality test. The empirical conclusion is that the exchange rate factor is the most important factor affecting China's short-term international capital flow at this stage, and the degree of development of the capital market and the rate of return also have a certain impact on China's economic development speed and interest rate spread factors have not shown the corresponding effect. Theoretical analysis and game theory analysis put forward some policy recommendations: first, improve the exchange rate formation mechanism, increase the RMB exchange rate elasticity; second, properly accelerate the process of interest rate marketization, restore the adjustment function of interest rate channels; third, further improve the capital market system, effectively play the role of the capital market; fourth, strengthen the short-term countries Risk supervision of international capital can raise the cost of capital speculation, so that China's short-term international capital flows can truly serve China's economic development.
【學位授予單位】：江西財經大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F224;F832.6
本文編號：2242574
[Abstract]:Since the 21st century, the links between countries in the world have become more and more close. The rapid development of science and technology has made the concept of "global village" possible. With the integration of the world economy and the globalization of financial markets, international capital has risen with the tide of shareholders, with a larger scale of capital and a higher speed of flow in the world. The emergence of financial markets has become an important link in economic ties between countries. Of course, it has also had a profound impact on old-fashioned economic powers and emerging economies.
China is one of the largest developing countries. The speed of development in recent decades has attracted worldwide attention. Especially in recent years, other western countries have been in various difficulties because of the economic crisis, which has made China a new engine of world economic development and one of the places where international capital is concentrated. Some problems also show that a large number of short-term international capital flows have brought about more and more significant negative impacts: sustained imported inflation, expanding real estate price bubbles, virtual economy far exceeds the speed of real economic development, monetary policy effectiveness is not obvious, speculative capital control is not effective, the RMB exchange rate continues to appreciate and so on. Considering the impact of short-term international capital flows on China, we have to face the problems of how to control short-term international capital flows, explore the influencing factors of short-term international capital flows and how to reduce the negative effects of short-term international capital flows, which has become one of the important topics for Chinese scholars.
In this paper, we hope that by citing the traditional economic and financial theory, combining with some modern literature on short-term international capital flows, we can sort out the historical context of international capital flows in a more comprehensive way, and provide some information and reference for future research on short-term international capital. At the same time, this paper makes some empirical analysis on the specific operation of China's macro-economy, hoping to find out the special factors and laws that affect China's short-term international capital flows, and to contribute a little to the development of traditional theories.
This article mainly includes the following three parts:
The first part is a theoretical summary and literature study on short-term international capital flows. Short-term international capital flows are an important form of international capital flows, and the factors affecting international capital flows should theoretically be the factors affecting short-term international capital flows, from the earliest international trade theory to the latest financial crisis theory. On the whole, the real economic development speed, interest rate difference, exchange rate difference and the return rate of capital market are recognized as the most important factors affecting international capital flows. Considering the current situation of our country, because our capital market is still in an imperfect state, its development speed and market potential can not be ignored, so this paper selects the above several. In addition to the common variables, we also add the variable of the development speed of the capital market and analyze it with relevant theories and research literature.
The second part introduces the history and current situation of China's short-term international capital flows, summarizes the characteristics of China's short-term international capital flows and the ways of their entry and exit through relevant information and literature. China's short-term international capital flows show the new characteristics of the rapid increase in the scale of capital flows and the changeable direction of their entry and exit channels in addition to normal inward and outward remittances. Foreign exchange under current account is convertible freely, and short-term international capital is realized by means of false transactions, false import and export reports, so-called "overseas remittances" and donations; false capital verification under capital account, false contracts and equity investment funds are used for other purposes; and funds transferred by foreign capital or joint venture financial institutions from different branches at home and abroad are used to realize short-term international capital. The scale of China's short-term international capital flows is also enlarged by abnormal channels such as inflows and outflows and underground banks that are difficult to be controlled by regulatory authorities.
In the third part, the empirical part selects the exchange rate spread (EX), interest rate spread (R_CPI), China's economic growth rate (GROW), capital market return (INDEX) and China's capital market development level (REP) as the influencing factors to examine China's short-term international capital flows, using relevant econometric methods, using multiple regression model, GRANGER causality test. The empirical conclusion is that the exchange rate factor is the most important factor affecting China's short-term international capital flow at this stage, and the degree of development of the capital market and the rate of return also have a certain impact on China's economic development speed and interest rate spread factors have not shown the corresponding effect. Theoretical analysis and game theory analysis put forward some policy recommendations: first, improve the exchange rate formation mechanism, increase the RMB exchange rate elasticity; second, properly accelerate the process of interest rate marketization, restore the adjustment function of interest rate channels; third, further improve the capital market system, effectively play the role of the capital market; fourth, strengthen the short-term countries Risk supervision of international capital can raise the cost of capital speculation, so that China's short-term international capital flows can truly serve China's economic development.
【學位授予單位】：江西財經大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F224;F832.6
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