【作者】 胡馨月；

【导师】 史永东；

【作者基本信息】 东北财经大学 ， 金融学， 2011， 硕士

【摘要】 随着国际经济一体化的加快发展,国际资本流动自由化也明显加强。资本流动在促进各国经济发展的同时也影响着各国的经济结构。历史表明,全球爆发的几次金融危机都与危机前巨额的短期资本流入有着直接的关系。一旦出现金融危机征兆,外来资金必然夺路而逃,随之本币急剧贬值,最终金融危机爆发。中国经济在近几年来的蓬勃发展吸引了海外投资者的极大关注,大量国外短期资本流入中国。外汇储备的不断扩大造成了国内金融市场流动性过剩,通货膨胀和宏观经济过热等一系列问题,并且进一步加剧了人民币升值的压力。从我国目前的经济状况看,中国发生金融危机的可能性很小,但是短期资本—般具有不稳定性,过多的流入会导致中国经济失衡,最终对中国的金融稳定产生冲击。因此深入分析国外短期资本流入的影响因素,对于防范化解短期资本流入给中国带来的风险具有重要的现实意义。本文致力于研究国外短期资本流入影响因素的实证分析,总结回顾了国内外相关理论和研究状况,阐述了国外短期资本流入我国的原因、现状及问题。基于理论分析的基础之上,选取2001年到2010年季度数据,采用计量分析的方法对影响国外短期资本流入的五个因素,包括利率、汇率、通货膨胀率、资本市场收益率以及经济增长因素,进行了实证分析。首先建立回归模型,然后进行了单位根检验,确定变量为平稳变量后,进一步作协整检验,确定变量之间存在长期稳定关系。接着对以上检验结果进行格兰杰检验,判断变量之间的因果关系,最终检验结果显示经济增长为国外短期资本流入的主要影响因素。由于我国对短期资本流入的监管机制还不够完善,因此加强和完善国外短期资本流入的监测和管理对于我国金融的稳定非常重要。最后,根据实证研究结果,对国外短期资本流入的监管提出了政策性建议。我国应采取有效的宏观经济政策,保持良好的经济发展态势；加强金融监管力度,建立风险预警机制；完善国内金融体制,强化应用外资能力；采取必要资本管制,规范稳定金融市场；鼓励科技金融创新,树立潜在危机意识。更多还原

【Abstract】 With the accelerated development of international economic integration, the liberalization of international capital flows is significantly strengthened. Capital flows are promoting the economic development, at the same time also affecting the country’s economic structure. History shows that global financial crises which broke out several times had a direct relationship with huge short-term capital inflows before the crises. Once the sign of the financial crisis appears, foreign capital will inevitably leave the market, following the sharp domestic currency devaluation, and ultimately the financial crisis breaks out.China’s booming economy in recent years has attracted great interest of overseas investors, and a large number of foreign short-term capital inflows into China. The expansion of foreign exchange reserves results in excess liquidity of domestic financial market, inflation, overheated macro-economy and other issues, and further aggravates the pressure on RMB appreciation. In view of our country’s current economic situation, China’s financial crisis is unlikely. However, short-term capital generally has instability, excessive inflows will lead to the imbalances of Chinese economy, and ultimately has the impact on China’s financial stability. Therefore, in-depth analysis on the influencing factors of foreign short-term capital inflows has important practical significance for preventing and resolving the risk of foreign short-term capital inflowing to China.This paper is devoted to the empirical analysis on the influencing factors of foreign short-term capital inflows. It summarizes and reviews relevant theory and research status at home and abroad, elaborates the reasons, current situation and problems of foreign short-term capital inflowing to China. Based on the theoretical analysis, the paper selects quarterly data from 2001 to 2010, and uses the method of metrical analysis to carry on the empirical analysis on five influencing factors of foreign short-term capital inflows, including interest rate, exchange rate, inflation rate, capital market return rate and economic growth factor. At first, it establishes the regression model, and then uses the unit root test to determine the variables for stable variables, and further does co-integration test to make sure the long-term stable relationship existing between the variables. And then, based on the above test results, it carries out Grainger test to judge the causal relationship between the variables. The final result shows that economic growth is the main influencing factor of foreign short-term capital inflows. The supervision mechanism of China’s short-term capital inflows is not perfect, so strengthening and improving of monitoring and management of foreign short-term capital inflows for China’s financial stability is very important. Finally, according to the results of empirical research, it puts forward policy recommendations for the regulation of foreign short-term capital inflows. China should take effective macroeconomic policies to maintain good economic development momentum; strengthen financial supervision and establish the risk warning mechanism; improve the domestic financial system and strengthen the capacity of using foreign investment; take the necessary capital controls, standardize and stabilize the financial market; encourage the innovation of science and finance, and establish the sense of potential crisis.更多还原