人民币升值、股价上涨和热钱流入关系的实证研究

An Empirical Research on the Appreciation of RMB,Rising of Stock Price and Hot Money Inflow

本文基于CLR(1996)模型和多重套利模型(2007)这两个重要理论模型来解释国内人民币升值、股票价格上涨和热钱流入之间存在的互动关系。并结合样本数据通过Granger因果关系对人民币升值、股票价格上涨和热钱流入的关系进行了实证检验。结果显示:人民币升值和上证综合指数上涨是热钱流入中国大陆的原因,但热钱流入不是人民币升值和上证综合指数上涨的原因。对理论模型解释和实证检验结果之间出现的异同。本文做出分析和解释。最后给出政策建议。

Based on Calvo, Leiderman ＆ Reinhart Model （1996） and Multi Arbitrage Model （2007）, the paper interprets the theoretical correlation among three variables, namely, appreciation of RMB, rising of stock price and hot money inflow. In addition, By using the Granger Causality Testing method with the new monthly data from July, 2005 to Sept. 2007 to give an empirical research on appreciation of RMB, stock price rising and hot money inflow. The empirical results shows that the appreciation of RMB and stock price rising are closely relating with the inflow of hot money, but hot money inflow is not closely relates with the appreciation of RMB and stock price rising. The paper also analyzes the disagreement of the theory interpreting and empirical results and the are puts forward finally