【作者】 田苗；

【导师】 高铁梅；

【作者基本信息】 东北财经大学 ， 数量经济学， 2010， 博士

【摘要】 20世纪90年代以后的经济全球化将世界经济带入一个全新时代。世界经济的全球化和自由化,一方面促进了经济的繁荣和发展,带来了全球整体福利的改善,另一方面也使世界经济更加充满不确定性和风险,各经济体联系更加密切。国际资本流动规模的扩大,为全球金融活动注入了巨大的推动力。然而在充分肯定国际资本流动积极效应的同时,也应该看到国际资本的过度流动和流动方向的易变性可能带来的消极影响,使相关国家金融体系受到外来冲击,金融市场不稳定,甚至带来金融与经济危机。从国际资本流动角度看,2008年的金融危机能够迅速波及全球,必然存在着与危机相关的国际传导机制,这种机制与国际资本流动有着深刻的联系。但是,这场危机与国际资本流动究竟有着何种关系?这场发端于国际经济和金融中心、全球经济和金融制高点的危机,这场在技术最先进、制度最完善、监管最严格的国家发生的金融危机,与以往多发生于国际经济外围、边缘和制度不健全、监管不充分地区的危机以及传导机制,究竟有何不同?国际资本流动在其中发挥的作用又有何不同?从国际资本流动角度来进行分析和研究是当前学术界研究的一个重要的切入点。国际资本流动与此次国际金融风暴的发生具有深刻的内在联系,与国际经济长期不平衡性的累积密切相关,而日益发达的国际资本市场和贸易往来成为危机酝酿和传递的主要渠道。对于像中国这样的发展中国家,金融市场发展较为滞后,金融机构也不具备大规模跨国投资衍生金融产品的能力与经验,或市场本身就未完全开放,所受到的直接损失相对较轻。总的来看,在国际资本流动与国际金融危机的形成发展中,发达国家和地区通过以间接投资为途径的资本流动将危机传导给了西欧发达资本主义国家,再通过直接投资和贸易途径传导给了发展中国家,因此发展中国家受到金融风暴的冲击与国际资本流动的波动密切相关。正是在这样的背景下,本文试图通过国际资本流动这个渠道,来考察其对中国经济诸如股票市场、出口贸易、资本账户、金融稳定性是否存在显著影响,以及如果存在影响,国内的货币当局应当怎样调整货币政策来减少国际资本流动带来的不利影响,因此本文的选题和研究具有深刻的理论意义和实际意义。本文所做的研究具体如下：1.短期国际资本流动对中美股票市场之间的波动具有明显的传递效应本文验证了中美股票市场均存在波动的ARCH效应,并通过GARCH模型,刻画了中美股票市场的波动性,生成波动序列,利用Granger因果检验,验证了短期国际资本流动作为一种渠道,确实能够在中美股票市场间起到传递作用,也就是说短期国际资本流动能够把美国股票市场的波动传导到中国股票市场,从而引起了中国股票市场的波动。随后构建了中国股票市场的TARCH模型。选取了反映国际资本流动规模的若干指标。如体现一个国家金融自由化、金融市场改革程度的资本账户开放度指标,它对新兴市场国家股票市场的发展起到促进作用的同时,也带来了巨大的风险；经常项目和资本项目的双顺差,造成外汇储备的增加,中央银行被迫采取货币冲销政策,而被动扩大基础货币的投放量,从而增加国内的流动性,这些流动性进入股票市场,会对股票市场产生深刻影响；不同股票市场的收益率差,也决定了国际资本的流向,从而对股票市场产生影响；2008年次贷危机的全面爆发,世界经济流动性产生逆转,对中国股票市场波动的影响也是显著的；同时还发现中国的股票市场本身也具有非对称效应,出现利好和利空的冲击时,对股票市场的影响程度是不同的。2.构建了中国出口贸易的依存度方程,考察了国际资本流动对我国出口贸易的冲击影响本文在分析国际流动资本进入我国的渠道时,首先考察了国际收支平衡表中的经常账户(贸易渠道)。经常项目多年来保持强劲的顺差势头,这与我国的经济发展战略、经济增长结构、对外进出口贸易政策和国内快速发展的经济势头有着密切的联系。在金融危机爆发与扩散的环境下,通过对中国出口的依存度的实证分析,发现中国贸易出口对美国和欧元区具有过高的依赖程度,美国和欧元区的经济因素是中国经常项目中贸易项巨大波动和衰退的原因。运用VAR模型的广义脉冲响应函数,具体考察美国和欧元区居民消费、货币政策的变化以及FDI形式的国际流动资本对我国出口贸易的冲击影响。美国的居民消费总额的变化冲击对中国出口贸易的影响具有短期特点,而欧美的货币政策和FDI的冲击具有中长期效应。3.利用国际资本流动和汇率、利率政策的联动机制构建VEC模型本文利用国际资本流动、汇率和中美利差的联动影响机制,实证分析汇率因素、中外利差因素和国际资本流动之间的长期协整关系和短期的冲击效应。在构建的两个VEC模型实证结果中显示,对于国际资本流动的汇率、利差联动机制的研究,应该区别对待：汇率因素和利差因素对短期资本流动和长期资本流动的冲击影响是完全不同的。汇率因素对短期资本流动的长期均衡影响是显著的,而利差因素和汇率因素在长期资本流动的长期均衡方程中尽管都不显著,但利差因素相对而言似乎更重要一些。因此央行在应对不同类型的国际资本流动对资本项目的冲击时,应运用汇率和利率的联动机制来调节国际资本流动,选择合理的资本账户开放步骤。4.构建了中国国际资本流动安全测算指标体系本文从资本流入规模、资本流入结构和外汇储备、经常项目三个层面选取8个指标,构建了我国国际资本流动安全测度指标体系。从结构和规模的角度,基本涵盖了中国国际资本流动体系所涉及到的诸多因素,能够全面而有效的评价当前中国国际资本流动体系的安全度。从实证结果来看,中国国际资本流动体系在考察期内是安全的,绝大多数指标处于安全状态,但仍存在风险点,外债结构不合理,短期外债占比上升较快,存在一定的风险。应当适当调整我国外债的期限结构,降低短期外债的比重,减少流动性风险。5.研究了中国国际收支和货币供应量之间的相互影响关系利用Granger因果检验,考察了央行资产负债表中资产和负债项之间的关联程度。中国在近十年来一直面临着国际收支双顺差的外部不均衡性问题,大量的国际资本通过各种渠道进入我国,对我国的实体经济和金融体系产生了巨大的影响,主要体现为国外净资产成为总资产的主要组成部分,而央行票据发行在总负债的比例逐年上升,总资产和总负债的变动关联性很高。根据国际收支影响货币供给的传导机制理论,考察我国是否存在“货币需求机制”和“汇率安排机制”两个传导渠道,运用Granger因果检验和状态空间方法的可变参数模型进行验证。前者最终通过国际储备表现出来,而国际储备又通过“汇率安排途径”影响基础货币,最终影响货币供给量。外汇储备对货币供给量平均影响强度为0.606,高于外汇占款作用于基础货币的平均强度为0.446,说明外汇占款作用于基础货币亦即“汇率安排机制”并非国际收支影响货币供给的唯一传导途径,间接证明了“货币需求机制”传导途径的存在。上述实证研究在验证了国际资本流动对我国股票市场、国际收支、金融安全和货币政策等产生深刻影响的同时,也为我国货币当局进一步推进人民币汇率体制变革、推进利率市场化和提高货币政策调控有效性提供了相应的理论支持和实证依据。更多还原

【Abstract】 After 90 years of the 20th century economic globalization will bring a new era for the world economy. Globalization and liberalization of the world economy, on the one hand promots economic prosperity and development, bringing the world to improve the overall well-being, on the other hand the world economy is full of uncertainties and risks, economies become more closely linked. Expansion of the scale of international capital flows, the global financial activities go into a great impetus.However, fully affirmed the positive effects of international capital flows, we should be note that international capital flows and the flow direction over the volatility of the possible negative effects make the national financial systems from external shocks, to financial market instability, even to financial and economic crisis.From the perspective of international capital flows, the financial crisis of 2008 quickly spread to the world, there is bound to crisis-related international transmission mechanism, which is connected with international capital flows. However, what kind of relationship which between the crisis and international capital flows? This crisis originated in the international economic and financial center, commanding heights of global economic and financial crisis, in the most technologically advanced system is the most perfect, the most stringent state regulation of the financial crisis and has previously occurred in the international economic periphery, edge and systems, and inadequate supervision of the crisis region and the transmission mechanism, what is the difference? What is different between the international capital flows play a role? From the perspective of international capital flows to analyze and study is an important entry point with the current academic research.International capital flows and the international financial turmoil of profound inner connection, and long-term imbalances in international economic accumulation closely related to the increasingly developed international capital markets and trade into a crisis brewing and delivery of the main channel. For developing countries like China, financial markets are more backward, large-scale cross-border financial institutions do not have the ability to invest in derivative financial products and experience, or the market itself is not fully open, the direct loss suffered relatively light. Overall, international capital flows and the formation and development of international financial crises in developed countries and regions by means of indirect investment capital flows to the Crisis and the developed capitalist countries of Western Europe, then through direct investment and trade to conduction to the developing countries, so developing countries affected by the financial crisis and the volatility of international capital flows are closely related.In this context, the paper tries to use the channel of international capital flows, to study on China’s economy such as the stock market, export trade, capital account, financial stability, the existence of significant influence, and if the impact exits, domestic monetary authorities should adjust monetary policy to reduce the adverse international capital flows, the impact and research topics of this paper was of profound theoretical and practical significance.This article studies conducted as follows:1. Short-term international capital flows between the China and U.S. stock market has significant transfer effect of volatility.This verified the existence of Sino-US stock market fluctuations are ARCH effects, and through GARCH model, describe the Sino-US stock market volatility, fluctuations generated sequence, using Granger causality test to verify the short-term international capital flows as a channel for true can play a pass between the role of U.S. stock market, which means short-term international capital flows to the U.S. stock market fluctuations transmitted to the Chinese stock market, causing the Chinese stock market volatility.Then constructed for the stock market TARCH model. Selected to reflect the scale of international capital flows, a number of indicators. Such as the embodiment of a country’s financial liberalization, financial market reform level of capital account openness index, its stock market in emerging market countries promote the development, but also brought great risks; the current and capital projects of the two-surplus, resulting in the increase of foreign exchange reserves, the central bank was forced to take monetary sterilization policies, but the passive expansion of base money, thereby increasing domestic liquidity, the liquidity into the stock market, the stock market will have a profound effect; different stocks difference between the market rate of return, but also determines the flow of international capital, which impact on the stock market; 2008 subprime crisis broke out, the reversal of liquidity the world economy, the impact on the Chinese stock market volatility is also significant; the same time China’s stock market found itself with non-symmetrical effect, occurs when the impact of positive and negative, impact on the stock market is different. 2. Construct the China’s export dependence equations, study the impact of international capital flows to the of China’s export trade.This paper analyzes the international flow of capital into our channels, the first study the international balance of payments current account (trade channel). Current account surplus remains strong momentum over the years, which is China’s economic development strategy, economic growth structure, import and export trade policies and domestic economic momentum of rapid development are closely linked.In the financial crisis and the proliferation of environment, dependence on Chinese exports by empirical analysis, found that Chinese exports to the United States and the euro area has high dependence on the United States and euro zone economic factors in China’s current trade key reasons for large fluctuations and decline.VAR model using the generalized impulse response function, specifically the United States and the euro zone consumer study, changes in monetary policy and the forms of international flow of FDI capital on the impact of China’s export trade. Residents of the United States the impact of changes in total spending on the impact of China’s exports have short-term characteristics, while Europe and the United States monetary policy and the impact of FDI has a long-term effects.3. Use of international capital flows and exchange rates, interest rate policy of linkage mechanism building VEC model.In this paper, international capital flows, exchange rates and interest rates affect the mechanism of interaction, empirical analysis of exchange rates, foreign interest rate differentials between international capital flows and long-term cointegration relationships and short-term impact effect.VEC model in building the two empirical results show that international capital flows for the linkage mechanism of the exchange rate spread should be treated differently:the exchange rate factor and the interest rate factors on short-term capital flows and the impact of long-term capital flows are completely different. Exchange rates on short-term capital flows, long-term equilibrium effects are significant, while the interest rate differentials and exchange rate factors in long-term capital flows, despite the long-run equilibrium equation is not significant, but the spread factor seems to be relatively more important than others. Therefore, the central bank in dealing with different types of international capital flows on capital account shocks, exchange and interest rates should be used to the linkage mechanism to regulate international capital flows that reasonable steps open capital account.4. Construct the China measurement of international capital flows security index system.In this paper, the scale of capital inflows, capital inflow structure and foreign exchange reserves, current indicators of three levels of 8 selected to construct the security of our international system of measuring capital flows. From the perspective of structure and size, covering China’s system of international capital flows to the many factors involved, can a comprehensive and effective evaluation of China’s current system of international capital flows of security. From the empirical results, the China International Capital Flow system is safe in the study period, most indicators are in safe condition, but there is a risk point, external debt structure is irrational, short-term debt proportion rose rapidly, there are certain risks. Should be adjusted to the term structure of China’s foreign debt, reducing the proportion of short-term debt, reducing liquidity risk.5. Using Granger causality test to investigate in the central bank balance sheet including the degree of correlation between assets and liabilities. Using Granger causality test and the state-space variable parameter model to study the relationship between China’s international payments and money supply affect the.In the past decade China has been facing balance of payments surplus in the external imbalance dual problem, a large number of international capital into China through various channels, China’s real economy and financial system has a huge impact, mainly reflected in the net foreign assets to become a major component of total assets, while the central bank bills issued in the ratio of total liabilities increased year by year, total assets and total liabilities associated with very high. According to balance of payments impact of the transmission mechanism of money supply theory to examine the existence of our country, "the demand for money mechanism" and "exchange rate arrangements that" the two transmission channels, using the state space of variable parameters to verify the model. The former eventually manifested through international reserves, and international reserves through the "exchange rate arrangements way" affect the monetary base and ultimately affect the money supply. Foreign exchange reserves, the money supply affect the strength of an average of 0.606, higher than the Foreign Exchanges acting on the basis of the average strength of the currency 0.446, indicating the role of Foreign Exchanges on which the base currency "exchange rate arrangements that" does not affect the money supply balance of payments the only pathway, which indirectly proves that "money demand mechanism." pathway exists.Validate the empirical study of international capital flows on China’s stock market, the international balance of payments, financial security and monetary policies have a profound impact, but also for the Chinese government to further promote the reform of RMB exchange rate regime and promote the interest rate market and improve monetary policy effectiveness of providing the appropriate theoretical support and empirical evidence.更多还原