国际投机资本流入:动机与冲击——基于中国大陆1999～2011年样本数据的实证检验

The International Speculative Capital Inflows;Motivation and Impact—Based on the Data from 1999 to 2011 of China's Mainland

为研究国际投机资本流入中国大陆的动机及其对经济发展的冲击效应,本文基于所构建的向量自回归分布滞后模型,选取中国大陆1999.1～2011.6期间的样本数据进行实证检验。研究发现:套汇与套利是国际投机资本流入中国大陆的主要动机,其中套汇的动机更为强烈,出于套利动机的国际投机资本流入对国内外利差变化存在明显的时滞。国际投机资本流入会对中国大陆金融资产价格指数和商品价格指数产生冲击,其中对金融资产价格指数的冲击效应更为明显,对商品价格指数的冲击效应存在明显的时滞。研究还发现,中国大陆的金融市场与商品市场是相互联接的,国际投机资本流入对这两个市场的冲击呈现出非对称性。

In order to analyze the motivation and the impact on the economic development of international specu- lative capital inflows in China's Mainland, the paper empirically tests this issue based on the extension vector au- toregressive distributed lag model and the sample data from Jan. 1999 to June, 2011. The test result shows that although the foreign exchange arbitrage and the interest rate arbitrage are the main motivations of international speculative capital inflows, the foreign exchange arbitrage motivation is more Strongly. The Commodity price and financial asset price will be impacted by the international speculative capital inflows. Specially, the impact on the financial asset prices is more obvious. The test also found that the impact was asymmetric between commodity and financial market, because the funds can freely move from one market to another market.