我国月度国际游资规模的测算及分析

Calculation and Analysis of the Monthly International Hot Money Scale in China

国际游资的大规模涌入流出对我国经济的稳定造成了严峻的考验,通过分析不同国际游资的测算方法,最终采用修正的残差法,剔除了外贸顺差和FDI中的国际游资,使其规模更接近真实的存在量。从月度国际游资的规模中可以看出其符合时间金融序列的群集性和持续性,因此接下来借助GARCH模型进行拟合,并通过TARCH、EGARCH模型判断利好、利差因素对国际游资的涌入撤离的影响程度。

The influx and outflow of large scale international hot money brings a severe challenge to China’s economic stability.This thesis through analyzing the different measurement methods of international hot money,choosing the correctional residual method at last and rejecting the trade surplus and international hot money in FDI,makes it more close to the real figure.From the scale of monthly international hot money,we can see the nature of clustering and persistence according to the financial order.Then with the help of imitating EGARCH model,ARCH model and GARCH model,judges the influence of the positive factor and negative factor on international hot money’s influx and outflow.