热钱流动对资产价格波动和金融脆弱性的影响——基于SVAR模型的实证分析

On the Effect of Hot Money Flows on Asset Price Fluctuation and Financial Fragility——Based on Empirical Analysis of SVAR Model

本文在对热钱流动导致资产价格波动进而影响金融脆弱性的进行系统论述的基础上,基于国内2003年1月至2011年12月月度股票收益率和房屋价格指数,利用SVAR模型研究了热钱对我国股票市场和房地产市场价格的影响。结果表明,热钱对股票市场和房地产市场有着长期均衡关系,热钱流入显著推动了股票价格指数上涨;股票收益率波动的30%是由热钱异动所致,但热钱对房屋价格指数影响相对较小,表现在房价变动中20%与热钱流动有关;股价上涨同时对房地产市场价格有着正向影响,被抬高的房价会进一步吸引热钱的流入。基于热钱对金融稳定与脆弱性的影响,提出完善人民币汇率和利率机制,合理疏导等治理热钱的政策建议。

In this paper, on the basis of a systematic discussion on the effect ofhot money flows on financial fragility by means of asset price fluctuation, based on the stock yield and housing price index from January 2003 to December 2011, we make a research on the effect of hot money on stock market and real estate market price in China with SVAR model. It turns out that there is a long- term equilibrium relationship between hot money and stock market and real estate market. And hot money flows remarkably leads the increase in stock market index, and 30~ of stock benefit rate is caused by the irregular hot money flows. But the effect of hot money on housing price index is rela tively not obvious; on the other hand, the increase in stock price has a positive effect on the real es- tate market price, and the elevated housing price will further attract hot money flows. Based on the effect of hot money on financial stability and fragility, we propose the policies and suggestions for improving RMB exchange rate and interest rate mechanism and reasonable guidance to control the hot money.