升值预期真的驱动国际游资流入中国了吗--基于四重套利和边限协整模型的新证据

Does Appreciation Anticipation Significantly Drive ' Hot Money' Flowing into China as Expected?-A New Proof Based on Quadruple Arbitrage Model and Bounds Testing

国际游资跨境频繁转移冲击经济稳定性问题是当前金融学研究的热点。美联储量化宽松货币政策刺激国际游资加速流人中国。而最新的统计数据显示国际游资流人中国的趋势出现拐点。是什么决定了国际游资的跨境流动呢?人民币升值预期对国际游资流入的影响真的如很多人预测的那样显著吗?论文构建了一个反映流入我国的游资规模与人民币升值预期、国内外利差及国内资产价格之间内生关系的四重套利模型,并利用边限协整模型进行了实证检验。结论认为:利差和房地产价格在短期和长期内均与国际游资流入有显著的关联性,且房地产市场对国际游资流入规模的影响程度最大;股票市场仅在短期内与国际游资流入存在瞬时关联性,长期关联性不显著;而人民币升值预期与国际游资流入之间无论是在2005年至2008年人民币快速升值阶段,还是量化宽松政策后人民币升值预期强劲阶段,在长期还是短期内均不具备统计显著性。

What factors significantly influence cross-border hot money flowing？ Does RMB appreciation indeed drive hot money influx as expected？ Based on these questions, this study constructs a quadruple arbitrage model and applies bounds testing approach analyzing the level relationship among hot money inflow, RMB appreciation expectation, interest difference between China and American and the increases of domestic asset prices. The re- sult demonstrated that RMB appreciation expectation does not significantly influence the hot money inflow no matter in the long run or the short run. It is the real estate price increasing and the interest difference conspicu- ously drive the hot money inflow.