短期国际资本流动、汇率与资产价格——基于汇改后数据的实证研究

Short-run International Capital Flows,Exchange Rate and Asset Prices——An Empirical Study Based on Data After Exchange Rate Reform Since 2005

本文通过理论分析探讨了短期国际资本流动、汇率及资产价格之间的相互关系,采用VAR模型实证分析了2005年汇改以来我国短期国际资本流动、汇率、股价和房价之间的动态关系。实证结果表明:短期国际资本流入会导致人民币汇率升值和市场对人民币升值预期,还会导致股价和房价上涨;而人民币升值、升值预期以及股价上涨都会造成短期国际资本流入;股价上涨会导致房价上涨;房价的上涨会导致资本流出,股价下跌。为了更好地应对国际资本流动的冲击,我国必须完善国内金融体系和经济体系;在制定货币政策时,既要考虑国外货币政策的溢出效应,又要顾及国内货币政策的独立性。

We theoretically analyze the interactive-relationship among short-run international capital flows, exchange rate and assets prices. Then we use VAR model to empirically analyze the dynamic relationship among these variables since exchange rate reform in 2005. We find that short-run capital inflow may result the appreciation of RMB and appreciation expectation of RMB as well. Meanwhile, the capital inflow will push up the stock price and housing price, while the appreciation of RMB and appreciation expectation of it, as well as the increase of stock prices may induce international capital to flow into China. The increase of stock price will lead to that of housing price. Then the increase of house price may result in the flow out of international capital and the decrease of stock price. In order to cope with the impact of international capital flows, China must improve domestic financial system and economic system. When making monetary policies, it is necessary to take into account the spillover effects of foreign monetary policy and the independence of domestic monetary policies.