基于VAR模型中国热钱流动影响因素实证分析被引量：4

Empirical Study of Influential Factors on Hot Money Flows in China: Based on VAR Model

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摘要热钱流向逆转对中国的金融稳定和宏观经济产生了不利的影响。本文依据VAR模型,以中国热钱流动的影响因素为研究对象,选取2008年1月～2011年12月的月度数据进行了实证研究。研究发现中国汇率预期水平、名义利差、物价水平、房地产价格对热钱流动影响显著,而经济增长率和股票价格指数影响相对较小,因而需要加强在敏感领域的调控力度,进而增强对热钱流动的调控管理。 Reversion of hot money flows leaves an adverse impact on China＇ s financial stability and macro-economy. Based on VAR model, this paper makes a deep analysis into the influential factors of China＇ s hot money by adopting monthly data from 2008/01 to 2011/12; Combined with the not significant factors economic growth rate and stock price index, the result shows that expected exchange rate, minimal interest difference, price level and real estate price can ex- plain hot money flows better. Maeroeeonomic control effect will be more efficient if targeted economic policies can be taken.

作者李永崔习刚孟祥月

机构地区同济大学经济与管理学院

出处《预测》 CSSCI 北大核心 2013年第1期7-11,共5页 Forecasting

关键词 VAR模型热钱脉冲响应方差分解 VAR model hot money impulse response variance decomposition

分类号 F831 [经济管理—金融学]

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