本文關(guān)鍵詞：基于四重動(dòng)因的我國(guó)短期國(guó)際資本流動(dòng)的研究　出處：《山東財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 短期國(guó)際資本 套利動(dòng)因 套匯動(dòng)因 套價(jià)動(dòng)因 避險(xiǎn)動(dòng)因

【摘要】：隨著經(jīng)濟(jì)全球化和金融網(wǎng)絡(luò)化的不斷發(fā)展，資本開(kāi)始在全球范圍內(nèi)配置，尋求套利、獲利的機(jī)會(huì)。新興市場(chǎng)國(guó)家由于其潛在的發(fā)展能力突出，套利、獲利機(jī)會(huì)大，因而特別受到國(guó)際資本的青睞。但是，一方面，美國(guó)在逐漸退出量化寬松經(jīng)濟(jì)刺激政策的同時(shí)歐洲各國(guó)和日本仍然沉浸在貨幣狂歡之中。另一方面，我國(guó)房地產(chǎn)市場(chǎng)、外匯市場(chǎng)、股票市場(chǎng)震蕩加劇。可以預(yù)見(jiàn)，面對(duì)政策和經(jīng)濟(jì)的不確定性，資本跨國(guó)流動(dòng)的速度會(huì)越來(lái)越快。 但是，大規(guī)模資本的快進(jìn)快出必然會(huì)對(duì)一國(guó)的經(jīng)濟(jì)穩(wěn)定、貨幣政策有效性、金融系統(tǒng)的安全性甚至政治的穩(wěn)定性都帶來(lái)了巨大的挑戰(zhàn)。特別是，經(jīng)濟(jì)勢(shì)頭逆轉(zhuǎn)之后的集體撤離行為會(huì)嚴(yán)重影響一國(guó)的經(jīng)濟(jì)、金融的穩(wěn)定甚至?xí)l(fā)經(jīng)濟(jì)危機(jī)。因此，本文旨在對(duì)短期國(guó)際資本流動(dòng)的動(dòng)因進(jìn)行全面而深入的分析，以便能更好的認(rèn)識(shí)短期國(guó)際資本，從而能夠更合理的引導(dǎo)短期國(guó)際資本流動(dòng)。 全文主要分為六大章節(jié)。第一章節(jié)概述了本文的選題背景和研究意義。其次，梳理了國(guó)內(nèi)外關(guān)于國(guó)際資本流動(dòng)影響因素的文獻(xiàn)綜述，并對(duì)其簡(jiǎn)要評(píng)述，提出了本文研究的重點(diǎn)和創(chuàng)新點(diǎn)。第二、三章分別詳盡闡述了國(guó)際資本流動(dòng)理論的發(fā)展脈絡(luò)和短期國(guó)際資本在我國(guó)流動(dòng)的兩個(gè)鮮明階段。 第四、第五章是本文的主體部分。在分析了短期國(guó)際資本流入我國(guó)的套利、套匯、套價(jià)、避險(xiǎn)動(dòng)因基礎(chǔ)上，通過(guò)VAR模型、格蘭杰因果檢驗(yàn)、脈沖響應(yīng)、方差分解實(shí)證研究了國(guó)際資本流入我國(guó)的主要?jiǎng)右颉?shí)證結(jié)果顯示，人民幣預(yù)期匯率變動(dòng)（套匯動(dòng)因）、反映投資者風(fēng)險(xiǎn)態(tài)度的美國(guó)10年期國(guó)債收益率變化（避險(xiǎn)動(dòng)因）、中美房地產(chǎn)價(jià)格收益率變化（套價(jià)動(dòng)因）是影響我國(guó)短期國(guó)際資本流動(dòng)的主要?jiǎng)右�，而中美利率之差（套利�?dòng)因）、中美股票市場(chǎng)收益率變化（套價(jià)動(dòng)因）則對(duì)資本在我國(guó)的流入和流出影響并不明顯。 第六章則在分析了短期國(guó)際資本對(duì)我國(guó)宏觀經(jīng)濟(jì)的影響及影響機(jī)制的基礎(chǔ)上，，根據(jù)實(shí)證檢驗(yàn)結(jié)果提出，我國(guó)政府應(yīng)該靈活運(yùn)用利率政策、適度的擴(kuò)大人民幣匯率的波動(dòng)范圍，完善資本流動(dòng)的跨境監(jiān)管機(jī)制等綜合措施有效的引導(dǎo)短期資本流動(dòng)，減輕和緩和短期資本對(duì)我國(guó)經(jīng)濟(jì)、金融穩(wěn)定的沖擊。
[Abstract]:With the continuous development of economic globalization and financial networking, capital began to be allocated in the global scope, seeking arbitrage, profit opportunities. Emerging market countries because of its potential development capacity outstanding arbitrage. The opportunity for profit is great and therefore particularly favored by international capital. However, on the one hand. While the United States gradually withdrew from the quantitative easing economic stimulus, European countries and Japan are still immersed in the monetary carnival. On the other hand, China's real estate market, the foreign exchange market. Volatility in the stock market has intensified. It is foreseeable that in the face of policy and economic uncertainty, capital flows across borders will become faster and faster. However, the rapid entry and exit of large-scale capital will inevitably bring great challenges to a country's economic stability, the effectiveness of monetary policy, the security of the financial system and even the political stability. The collective withdrawal after the reversal of economic momentum will seriously affect a country's economy, financial stability and even lead to economic crisis. This paper aims to conduct a comprehensive and in-depth analysis of the causes of short-term international capital flows in order to better understand short-term international capital flows and guide them more reasonably. This paper is divided into six chapters. The first chapter summarizes the background and research significance of this paper. Secondly, combing the domestic and foreign literature on the factors affecting international capital flows, and briefly comments on it. Chapter two and three elaborate the development of international capital flow theory and two distinct stages of short-term international capital flow in China. Chapter 4th, 5th is the main part of this paper. Based on the analysis of short-term international capital inflows into China, arbitrage, arbitrage, hedging, risk aversion, VAR model, Granger causality test, impulse response. The empirical results show that the expected exchange rate of RMB (arbitrage) is the main reason for the inflow of international capital into China. The change of 10-year Treasury bond yield which reflects investors' risk attitude and the change of real estate price return rate in China and America are the main factors that affect the short-term international capital flow of our country. However, the difference of interest rate between China and the United States (arbitrage motivation) and the change of return rate in the stock market of China and the United States have little effect on the inflow and outflow of capital in China. Based on the analysis of the impact of short-term international capital on China's macroeconomic and its impact mechanism, Chapter 6th puts forward that our government should use interest rate policy flexibly according to the empirical results. To expand the fluctuation range of RMB exchange rate, improve the cross-border supervision mechanism of capital flow and other comprehensive measures to effectively guide short-term capital flows, mitigate and mitigate the impact of short-term capital on China's economic and financial stability.
【學(xué)位授予單位】：山東財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51

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