發(fā)布時(shí)間：2018-01-15 04:09

  本文關(guān)鍵詞：金融危機(jī)后中國(guó)跨境短期資本流動(dòng)與人民幣匯率及資產(chǎn)價(jià)格波動(dòng)關(guān)聯(lián)研究　出處：《數(shù)學(xué)的實(shí)踐與認(rèn)識(shí)》2017年08期 　論文類型：期刊論文

  更多相關(guān)文章： 跨境短期資本流動(dòng) 人民幣匯率 資產(chǎn)價(jià)格

【摘要】：基于綜合資產(chǎn)收益率平價(jià)理論構(gòu)建理論模型,研究探討了中國(guó)跨境短期資本流動(dòng)規(guī)模與資產(chǎn)價(jià)格及人民幣匯率預(yù)期變動(dòng)之間的動(dòng)態(tài)關(guān)系.然后在此基礎(chǔ)上通過建立VAR模型,采用格蘭杰因果檢驗(yàn)以及脈沖響應(yīng)分析等方法實(shí)證分析了2010年7月至2015年6月中國(guó)跨境短期資本流動(dòng)、人民幣匯率預(yù)期波動(dòng)、利率、房?jī)r(jià)和股價(jià)變動(dòng)之間的關(guān)聯(lián)關(guān)系.實(shí)證結(jié)果表明:中國(guó)房地產(chǎn)市場(chǎng)、股票市場(chǎng)上漲會(huì)吸引短期跨境資本流入;美元利率上升和人民幣貶值預(yù)期會(huì)引致短期跨境資本的流出;短期跨境資本流入會(huì)造成國(guó)內(nèi)利率降低,但對(duì)房地產(chǎn)市場(chǎng)、股票市場(chǎng)的影響不顯著;中國(guó)房地產(chǎn)市場(chǎng)與股票市場(chǎng)之間會(huì)有聯(lián)動(dòng)效應(yīng),人民幣的貶值預(yù)期也會(huì)引致房地產(chǎn)價(jià)格下降.
[Abstract]:Comprehensive income rate of asset parity theoretical model based on the research of China cross-border short-term capital flows and asset prices and the RMB exchange rate is expected to change the dynamic relationship between. Then on this basis, through the establishment of VAR model, using the Grainger causality test and pulse analysis from July 2010 to June 2015 China cross-border short-term capital flow response analysis and other empirical methods the RMB exchange rate, interest rate, expected volatility, the relationship between house prices and stock prices. The empirical results show that: Chinese real estate market, the stock market rose will attract short-term cross-border capital inflows; dollar interest rates rise and the expected devaluation will lead to short-term cross-border capital outflows; short-term cross-border capital inflows will cause the domestic interest rate is reduced, but the the real estate market, the impact of the stock market is not significant; China real estate market and the stock market. There will be a linkage effect, and the expected devaluation of the RMB will also lead to a decline in real estate prices.

【作者單位】： 中國(guó)科學(xué)院大學(xué)經(jīng)濟(jì)與管理學(xué)院;
【基金】：國(guó)家自然科學(xué)基金面上項(xiàng)目”新時(shí)期國(guó)際資本流動(dòng)特征及我國(guó)跨境資本流動(dòng)風(fēng)險(xiǎn)預(yù)警”(71273257);國(guó)家自然科學(xué)基金重點(diǎn)項(xiàng)目”大數(shù)據(jù)環(huán)境下金融風(fēng)險(xiǎn)傳導(dǎo)與防范研究”(71532013)
【分類號(hào)】：F832.5;F832.6
【正文快照】： 1引言與文獻(xiàn)綜述跨境短期資本流動(dòng),又稱國(guó)際熱錢流動(dòng),具有很強(qiáng)的短期投機(jī)性和逐利性.2008年金融危機(jī)爆發(fā)后,國(guó)際熱錢風(fēng)險(xiǎn)偏好下降,自2008年9月起,中國(guó)外匯儲(chǔ)備近十年來首次出現(xiàn)下降(據(jù)中國(guó)人民銀行公布數(shù)據(jù)),人民幣匯率出現(xiàn)貶值,國(guó)際熱錢呈現(xiàn)從中國(guó)流出的趨勢(shì).由于受到國(guó)際金

【相似文獻(xiàn)】

相關(guān)期刊論文 前10條

1 馮菊平;國(guó)際短期資本流動(dòng)的影響及對(duì)策[J];中國(guó)經(jīng)貿(mào)導(dǎo)刊;2000年18期

2 李，

本文編號(hào)：1426710