我国跨境短期资本流动的成因结构分析:2005～2008——一个基于VAR模型的实证研究

A Structural Analysis of the Causes of Short-term Cross Border Capital Flow in China——An Empirical Study Based on VAR Model

本文利用2005年7月以来的月度统计数据,通过基于VAR模型的脉冲响应分析和方差分解分析,从实证意义上验证了国内汇率、利率、房地产市场和股票市场对跨境短期资本流动的现实影响作用,且诸变量中,以汇率和地产价格的影响力为相对最强。据此本文认为,为了有效应对短期资本跨境流动的问题,今后一个阶段,应合理引导汇率预期并努力维持房地产价格的相对稳定。

This paper sets up a VAR model and makes some empirical study on the interactions between short -term capital flow （SCF） and other variables like exchange rate, interest rate and asset prices, employing such techniques as Impulse Response and Variance Decomposition. The research finds out that RMB exchange rate and real estate prices contribute to SCF comparatively more than other factors. Therefore a rational expectation on RMB exchange rate, as well as a relatively stable real estate market, is currently the key point in coping with hot money inflows and outflows.