中国的短期国际资本流入及其动机——基于利率、汇率和价格三重套利模型的实证研究

An Empirical Analysis on Short-term International Capital Inflow and its Motivation in China:Based on Triple-arbitration Model

在经济全球化的背景下,短期国际资本流入对国民经济发展与安全的影响越来越大。本文在回顾国内外重要文献的基础上,构建了基于利率、汇率和价格的三重套利模型,并运用1996～2005年的统计数据,对中国的短期国际资本流入及其动机进行实证研究。研究发现:中国的短期国际资本流入总量与国内外利率比具有显著的正向关系,资本和金融项目下证券投资贷方余额与价格比之间也存在显著的正向关系,资本和金融项目下其他投资中短期投资贷方余额加净误差与遗漏项目贷方余额之和与汇率比之间存在显著的负向关系,而与价格比之间则存在显著的正向关系。同时,外逃资本的回流也是构成短期国际资本流入的重要组成部分。为防范短期国际资本流入对国民经济造成不利的冲击,本文还提出了对策性建议。

With the economy globalization, the mobility of short-term international capital is very important to a country＇s economic development and safety. This paper gives a summary of short-term international capital theories firstly, and then combining with interest rate, exchange rate and assets price, constructs a triple-arbitrage model. The inflow and its moti- vation of short-term international capital in Chinese Mainland have been studied based on the model with the new data （1996-2005） . The empirical results show： inflow of short-term international capital positively relates with interest rate, inflow of portfolio investment negatively relates with price, errors and omissions account and other investment negatively relate with exchange rate, errors and omissions account and other investment but positively relates with price. In addition, the circumfluence of capital flight is also a main part of the short-term international capital inflow. To deal with inflow of short-term international capital and its possible negative effects on Chinese economy, this paper puts forward countermeasures finally.