汇率改革、短期国际资本流动与资产价格

Exchange Rate Reform, Short-Term International Capital Flows and Asset Prices

本文结合DCC-GARCH模型和DAG-SVAR模型对中国资产价格与短期国际资本流动的相互关系进行分析,并考察三次汇改对二者关系的影响。研究表明:资产价格与短期国际资本流动之间存在显著的相关性和因果性,但在汇改的不同阶段表现有所差异;在汇率改革的不同阶段,短期国际资本流动对于资产价格的上涨均具有推动作用;汇率改革对资产价格与短期国际资本流动的关系有一定影响。

Based on the DCC-GARCH model and the DAG-SVAR model, the authors of this paper analyze the rela- tionship between Chinese asset prices and short-term international capital flows,and the impacts of the three exchange rate reforms on the relationship. It＇s found that there are significant correlations and causalities between asset prices and short-term international capital flows, and they vary in different stages of exchange rate reform; in all stages of exchange rate reform, the short-term international capital flows promote the increase in the asset prices; the exchange rate reform impacts the relationship between asset prices and short-term international capital flows.