热钱流入中国动因的实证分析

Motivation factor of hot money flowing into China

热钱在历次金融危机中扮演着重要的角色,有时甚至成为金融危机的直接导火索。在中国深入改革开放的制度环境下,热钱在中国的流动日增,为深入分析其动因,在理论分析的基础上提出了热钱流入动因的假设,并使用ARMA模型,针对流入中国的热钱在套利、套汇、套价三方面的影响因素进行了实证研究。实证表明,套利和套汇是导致中国热钱流入规模不断增加的重要原因,而来自证券市场和房地产市场的套价因素影响并不显著。为此,提出应从疏导资本流入流出渠道、改善资本管制、改革外汇管理体系和监督预警体系,完善相应的法律法规方面加强对热钱的监管。

The hot money has played an important role in all previous financial crisis, sometimes even becomed financial crisis＇s direct blasting fuse. More hot money is flowing in China in the era of China thorough reform and open policy. To analyze its motivation thoroughly, this paper proposes the hot money inflow agent＇s supposition based on theoretical analysis, and uses the ARMA model to analyze the influencing factors in the interest arbitrage, the exchange arbitrage, the wrap price three aspect. The real diagnosis indicates that the interest arbitrage and /he exchange arbitrage cause the substantial clause which the Chinese hot money inflow scale increases unceasingly, while the influence of wrap price from stock market and real estate market is not remarkable. Therefore, the paper proposes that hot money should be supervised by the way of improving capital control system, and reforming exchange control system as well as early warning system, and consummating corresponding laws and regulations.