中国的短期国际资本流动——基于月度VAR模型的三重动因解析

China's Short-term International Capital Flows:A Triple-motive Analysis Based on Monthly VAR Model

本文在已有文献的基础上,选择短期国际资本流动及套利、套汇和套价三类因素共六个变量,采集2002年1月至2011年6月的中国月度数据构建VAR模型,分析三类因素对中国短期国际资本流动的驱动因素影响。结果表明,中国短期国际资本流动在较大程度上由其自身变化解释;在三大因素的可解释部分中,套汇因素的影响最大,且主要表现为预期汇率驱动,套价因素的影响次之,其表现为股价和房价驱动,套利因素的影响极弱。这一结论与中国外汇市场和货币市场的现状密切相关,同时对短期国际资本流入的监测管理和人民币汇率制度改革具有重要的启示意义。

This paper gives a review on relevant research studies, selects six variables including short-term international capital flows and its three factors-arbitrage aimed at interest, exchange rate and asset price, collects data from January 2002 to June 2011 to construct a VAR model, and analyzes the three major driving factors＇ impacts on China＇s international capital flows. The results show that short-term international capital flows in China largely can be explained by fluctuations of their own; and that in the rest part that can explained by three factors, the ＂exchange rate arbitrage＂ factor, mainly the expected exchange rate, plays the most influential driving role, asset price factor comes next with stock price and housing price as its representatives, while effect＇s of ＂interest arbitrage＂ is quite weak. This conclusion is closely related to the status quo of the Chinese foreign exchange market and currency market, and has significant implications for monitoring and management of short-term international capital flows and the exchange rate reform.