“四重套利”模型与短期国际资本流动

Quadruplex Arbitrage Model and Short-term International Capital Flow

本文从人民币升值预期、资产溢价、中美利差和中美税差等方面探讨短期国际资本流动的影响因素,并构建了基于"套汇"、"套价"、"套利"和"套税"的"四重套利"模型,利用中美之间2002—2009年的月度数据进行实证研究。研究表明:"套汇"和"套价"是短期国际资本持续流入的主要动机,而"套利"和"套税"又在一定程度上加快其流入。因此,弱化人民币升值预期、遏制资产价格膨胀和利用税收手段将有助于解决"套利"资本过剩问题。

The Quadruplex Arbitrage Model and Short-term International Capital FlowABSTRACT：The paper mainly probes into the influences of the Short-term International Capital flow from the appreciation anticipation of RMB,rising price of assets,interest and tax differences between China and America. We make use of the Quadruplex Arbitrage Model and monthly data from 2002 to 2009 to study empirically. The results show arbitrage of exchange and price is the main motivations of short-term capital continuing inflow China. The arbitrage interest and tax accelerates it inflow. So weakening the appreciation anticipation of RMB,controlling the rising price and making use of tax measures will benefit to solve the problem of arbitraged capital surplus.