境外热钱对人民币汇率影响的理论与实证研究

发布时间：2018-05-05 03:00

本文选题：境外热钱 + 人民币汇率　；参考：《广东商学院》2013年硕士论文

【摘要】：境外热钱与人民币汇率是近十年来凸显在我国金融市场的热点话题，受到了国内外学术界的高度关注。随着我国资本项目的放宽，以及人民币国际化的推进，境外热钱频繁涌动对人民币汇率的冲击将趋于常态化、复杂化，基于此背景，探讨境外热钱对人民币汇率的影响，对监控境外热钱和防范人民币汇率风险都具有重要的意义。在回顾国内外文献基础上，本文首先剖析了境外热钱规模估算的常用方法，并用间接修正法估算了每月境外热钱规模。其次，总结出境外热钱对人民币汇率影响的五个传导机制——直接影响和货币政策、国际收支、通货膨胀、相对利率，并结合“三元悖论”理论、国际收支说、购买力平价理论、利率平价理论，重点分析了境外热钱对人民币汇率的影响机理。再次，结合2001年1月至2012年12月月度数据，通过格兰杰因果关系检验、脉冲响应函数和方差分解方法，实证分析了境外热钱对人民币汇率的影响关系。结果表明：境外热钱是人民币汇率的格兰杰原因，人民币汇率不是境外热钱的格兰杰原因。境外热钱流入会直接推动人民币升值，人民币升值会吸引境外热钱流入；境外热钱流入通过外汇储备和货币供给传导机制会增加人民币升值压力；通过国际收支和中美利差传导机制，短期内会增加人民币升值压力，长期内会增加人民币贬值压力；通过通货膨胀传导机制，短期内会增加人民币贬值压力，长期内会增加人民币升值压力。人民币汇率方差变化的71%可以由人民币汇率自身解释，4%可以由境外热钱解释。最后，根据理论与实证研究结果，，从境外热钱角度提出了防范人民币汇率波动风险的措施建议，即严格监管境外热钱流动、完善人民币汇率形成机制、合理协调各项调控政策、逐步推进利率市场化改革、加强国内外相关部门合作，试图为有关部门人员应对境外热钱流动和人民币汇率波动提供可供参考的建议。
[Abstract]:The exchange rate of foreign hot money and RMB is a hot topic in China's financial market in recent ten years, which has been highly concerned by domestic and foreign academic circles. With the relaxation of China's capital account and the promotion of RMB internationalization, the impact of frequent inflows of foreign hot money on the RMB exchange rate will tend to be normalized and complicated. Based on this background, this paper discusses the impact of foreign hot money on the RMB exchange rate. It is of great significance to monitor overseas hot money and guard against RMB exchange rate risk. Based on the review of domestic and foreign literature, this paper first analyzes the common methods of estimating the scale of overseas hot money, and estimates the monthly scale of overseas hot money by indirect correction method. Secondly, it summarizes the five transmission mechanisms of the influence of foreign hot money on the RMB exchange rate-direct influence and monetary policy, balance of payments, inflation, relative interest rate, and combined with the theory of "ternary paradox", the balance of payments theory. Purchasing power parity theory and interest rate parity theory focus on the influence mechanism of foreign hot money on RMB exchange rate. Thirdly, combining monthly data from January 2001 to December 2012, using Granger causality test, impulse response function and variance decomposition method, the paper empirically analyzes the influence of foreign hot money on RMB exchange rate. The results show that the foreign hot money is the Granger reason of RMB exchange rate, and the RMB exchange rate is not the Granger reason of overseas hot money. The inflow of foreign hot money will directly promote the appreciation of RMB, the appreciation of RMB will attract the inflow of foreign hot money, the inflow of foreign hot money will increase the pressure of RMB appreciation through the transmission mechanism of foreign exchange reserve and money supply. Through the international balance of payments and the spread transmission mechanism between China and the United States, the pressure of RMB appreciation will be increased in the short term, and the pressure of RMB depreciation will be increased in the long run; through the inflation transmission mechanism, the pressure of RMB depreciation will be increased in the short term. In the long run, it will increase the pressure of RMB appreciation. 71% of the variance can be explained by the yuan itself. 4% can be explained by foreign hot money. Finally, according to the theoretical and empirical research results, the paper puts forward the measures to prevent the risk of RMB exchange rate fluctuation from the perspective of overseas hot money, that is, strictly supervising the flow of foreign hot money, perfecting the formation mechanism of RMB exchange rate, and reasonably coordinating the various regulation and control policies. We should push forward the reform of interest rate marketization step by step, strengthen the cooperation of relevant departments at home and abroad, and try to provide some suggestions for relevant departments to deal with the flow of hot money abroad and the fluctuation of RMB exchange rate.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6

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