跨境热钱的传导机制——基于动态贝叶斯网络模型

THE TRANSMISSION MECHANISM OF THE CROSS-BORDER HOT MONEY——An Approach of Dynamic Bayesian Network

本文将动态贝叶斯网络模型引入到对我国跨境热钱问题的分析中,运用2006年10月至2016年2月的数据研究了我国跨境热钱与外汇市场、房地产市场、股票市场以及货币市场之间的网络传导关系。结果表明:一方面,我国跨境热钱流动的主要原因是受房地产市场与境内外利差的驱动;另一方面,跨境热钱对我国房地产市场的影响最为显著,其次是外汇市场,但并不会显著影响股票市场和货币市场。本文从研究问题、对象和方法等角度进一步丰富了现有相关文献,有助于更全面地认识我国跨境热钱流动的市场反应机制,对相关部门采取前瞻性的调控措施有所启示。

This paper employs the dynamic Bayesian network method to the problem of cross-border hot money. Based on the sample from October 2006 to February 2015, we analyze the network relationship among the hot money and the four finance markets of foreign exchange market, real estate market, stock market and money market. The results show that cross-border hot money is significantly attracted by the real estate market and the interest rate spread. The real estate market can be mostly affected by hot money, exchange rate can also be affected, but the hot money has no impact on the stock market and money market. The research point, method and object of this paper enrich the existing literatures. The findings can help to understand the effect mechanism of cross-border hot money, and may be used for reference to policy-makers.